medium · FRM Part 1 Valuation and Risk Models
An institutional investor holds a bond portfolio with KRD_5y = 4.0 and KRD_20y = 8.0. The market experiences a yield curve steepening where the 5-year spot rate falls by 20 basis points and the 20-year spot rate rises by 30 basis points.
What is the approximate percentage change in the portfolio value?
- Decrease of 1.6%
- Decrease of 3.2%
- Increase of 1.6%
- Increase of 0.8%
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