medium · FRM Part 1 Valuation and Risk Models
A fixed-income manager is concerned about a 'steepening' of the yield curve where the 30-year rate rises while the 2-year rate remains unchanged.
Which risk metric would best capture this exposure?
- Key-Rate Duration at the 30-year point.
- Macaulay Duration for the whole portfolio.
- The Portfolio Beta.
- Effective Convexity.
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