An active fixed-income manager is conducting scenario analysis for the MBS component of a portfolio. Which of
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An active fixed-income manager is conducting scenario analysis for the MBS component of a portfolio. Which of the following analytical model input changes is most likely to reduce the future value of the MBS subportfolio versus similar option-free bond holdings?
A. An increase in benchmark yield curve volatility
B. A decrease in benchmark yield curve volatility
C. Upward parallel shift in the benchmark yield curve
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The correct answer is A The value of a bond with an embedded option is equal to the ...View the full answer
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