Exit 2016-FRR Financial Risk and Regulation (FRR) Series
Question 1 of 5
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Q1 Single choice

A risk associate evaluating his current portfolio of assets and liabilities wants to determine how sensitive this portfolio is to changes in interest rates.

Which one of the following four metrics is typically used for this purpose?

  • A

    Modified duration

  • B

    Duration of default

  • C

    Effective duration

  • D

    Macaulay duration

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