A bond has a modified duration of 25 and a convexity of 65. If there is a

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A bond has a modified duration of 25 and a convexity of 65. If there is a 75 basis point change in interest rates.

What will the convexity adjustment for the bond be?

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Financial Institutions Management A Risk Management Approach

ISBN: 978-0071051590

8th edition

Authors: Marcia Cornett, Patricia McGraw, Anthony Saunders

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Posted Date: May 17, 2023 03:32 AM

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A bond has a modified duration of 25 and a convexity of 65. If there is a

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Expert Answer:

The convexity adjustment for a bond can be calculated using the following formula Convex... View the full answer

Financial Institutions Management A Risk Management Approach

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