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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Fixed Income Analysis

ISBN: 9781119850540

5th Edition

Authors: Barbara S. Petitt

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