medium · FRM Part 1 Valuation and Risk Models
A risk manager is evaluating a bond portfolio with a modified duration of 8.5 years and a convexity of 120.
If interest rates are expected to rise by 150 basis points, which calculation accurately estimates the percentage change in the bond's price?
- -11.40%
- -12.75%
- -10.05%
- -14.10%
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