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Exam 2016-FRR Topic 1 Question 89 Discussion

Actual exam question for GARP's 2016-FRR exam
Question #: 89
Topic #: 1
A risk associate evaluating his current portfolio of assets and liabilities wants to determine how sensitive this portfolio is to changes in interest rates. Which one of the following four metrics is typically used for this purpose?

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Modified duration is a key metric used to measure the sensitivity of a portfolio of assets and liabilities to changes in interest rates. It adjusts Macaulay duration to account for changes in yield, providing a more accurate reflection of the price sensitivity of a bond or a portfolio of bonds to interest rate changes. It is particularly useful for managing interest rate risk in a portfolio.

by Victoria at Apr 29, 2025, 10:27 AM

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