medium · FRM Part 1
A 300 million position with a modified duration of 8.0 is hedged with bond futures (V_F = $110,000, D_mod, CTD = 6.0).
If the portfolio's duration increases to 9.0 and the CTD bond's duration increases to 7.0, what is the new required number of contracts (N)?
- 3,636
- 3,857
- 3,506
- 3,273
Sign up free to see the explanation and track your rank →
More FRM Part 1 practice
- According to the CAPM, which type of risk are investors compensated for bearing?
- What specific variety of liquidity risk is being described?
- How is 'Risk Capacity' distinguished from 'Risk Appetite' in a standard risk governance fr
- If a loan has a Probability of Default (PD) of 2.0%, an Exposure at Default (EAD) of $1,00
- If two portfolios have the same Sharpe ratio but one has positive skewness and the other h
- In a 'Liquidity Spiral', what is the primary channel by which market liquidity risk and fu
- In the context of the CAPM, what is the definition of 'Alpha' (α)?
- In the risk decomposition formula σ^2_i = β^2_i σ^2_M + σ^2_ε, what does σ^2_ε represent?