Question 4 (30 marks)

  • June 25, 2021

Question 4 (30 marks) (a)Describe the limitations of using duration to approximate the change in (15 marks) non-option embedded bond price against the change in interest rate. Explain your answer. (b) Following(a), what tool or measure will be used by risk manager together (15 marks) with duration to manage the portfolio’s exposure to interest rate risk? Explain your answer.

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