A pension fund manager determines the interest rate sensitivityof his bond portfolio , under different interest rate

Fantastic news! We've Found the answer you've been seeking!

Question:

A pension fund manager determines the interest rate sensitivityof his bond portfolio , under different interest rate scenario to be as follows: what is the closest effective duration of the portfolio to 100 bps change'in benchmark rates .

Related Book For answer-question

Global Investments

ISBN: 978-0321527707

6th edition

Authors: Bruno Solnik, Dennis McLeavey

See More Books

Posted Date: Oct 08, 2020 08:35 PM

See More Questions

A pension fund manager is considering three mutual funds for investment. The first one is a stock fund, the second is a bond fund and the third is a money market fund. The money market fund yields a...
A pension fund manager expects a cash inflow of $250 million in two weeks. He wishes to avoid missing a significant increase in equity prices over the next two weeks. Assume that the beta of the...
A pension fund manager invests $10 million in a debt obligation that promises to pay 7.3% per year for four years. What is the future value of the $10 million?
This exercise investigates the way in which conditional independence relationships affect the amount of information needed for probabilistic calculations. a. Suppose we wish to calculate P (he1, e2)...
Which method of promotional budgeting should a small retailer use? A large retailer? Why?
Classify each property as physical or chemical. a. The tendency of ethyl alcohol to burn b. The shine on silver c. The odor of paint thinner d. The flammability of propane gas
The Wide World of Fluids article titled "New Hi-tech Fountains,". The fountain shown in Fig. P8.55 is designed to provide a stream of water that rises $h=10 \mathrm{ft}$ to $h=20 \mathrm{ft}$...
Briefly describe the elements of a business case for a new information systems project under the SDLC methodology.
Explain the use of predictive maintenance techniques within TPM. How do advanced technologies like machine learning, artificial intelligence, and condition-based monitoring improve equipment lifespan...
Assets 101 Cash Eli's Consulting Services Chart of Accounts 111 Accounts Receivable 121 Supplies 134 Prepaid Insurance 137 Prepaid Rent 141 Equipment 142 Accumulated Depreciation- Equipment...
Santana believes that sales will total195desks and144chairs for the next quarter if selling prices are reduced to $1,150for desks and $450for chairs and advertising expenses are increased to...
What kind of working capital policy does the company use? By the way here is the link for the financial statement for the year 2020 and 2019:...
Regarding a deal for widgets, X wants to buy them from Y but only if Z (an alternative widget maker) does not soon develop an improved widget design. Also, X wants flexibility about the amount. X...
Prepare trading account from the following particulars- (Opening stock) 25,000 (Gas and power) 5,000 (Sales) 3,00,000 (Fuel) 2,000 (Purchases) 1,40,000 (Wages) 20,000 (Carriage inwards) 3,000 5,000...
Gymnast Clothing manufactures expensive hockey jerseys for sale to college bookstores in runs of up to 250. Its cost (in dollars) for a run of x hockey jerseys is C(x) = 2500 + 10x + 0.2x2 (0 x 250)....
What specific elements of the hunger games catching fire transmedia storytelling would you reuse to promote the subsequent movie, the Hunger Games: Mockingjay part 1? what elements would you change?...
Java and Python are common programming languages used by organizations. At a party, you meet a lady who works at Exxon. She tells you that she writes software using Java. What is her job role?
Classify each of the following activities as proper or prohibited under the various consumer statutes you have studied. a. Calling a hospital room to talk to a debtor who is a patient there. b....
Criticize the full hedging approach, the approach that sets a unitary hedge ratio.
A U.S. institutional investor would like to purchase 10,000 shares of Lafarge. Lafarge is a French firm that trades on the Paris Bourse, the London stock exchange, and the NYSE as an ADR. At the...
The following table contains Japanese yen to dollar exchange rate data that were published in issues of Risk magazine. Each period is three months. Spot rate is the actual spot exchange rate...
For many years, womens professional basketball struggled for consistency in the United States. Since 1978, when the Womens Professional Basketball League (WBL) was formed, leagues have had difficulty...
What are the five forms of financing, and how is each used within sport?
That financial ratios are most valuable when viewed in comparison to the organizations historical ratio values and competitors values. Why is this context valuable when examining financial ratio...

A pension fund manager determines the interest rate sensitivityof his bond portfolio , under different interest rate

Question:

Expert Answer:

The higher the coupon charge the lower the duration and the decrease the hobby fee risk The period o... View the full answer

Global Investments

Students also viewed these finance questions