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Duration matching immunizes a portfolio against
A.Any parallel shift in the yield curve
B.All shifts in the yield curve
C.Changes in the steepness of the yield curve
D.Small parallel shifts in the yield curve
A.Any parallel shift in the yield curve
B.All shifts in the yield curve
C.Changes in the steepness of the yield curve
D.Small parallel shifts in the yield curve
Answer: D
Duration matching only protects against small parallel shifts. It does not provide protection against large parallel shifts and non-parallel shifts.
Duration matching only protects against small parallel shifts. It does not provide protection against large parallel shifts and non-parallel shifts.
Karteninfo:
Autor: CoboCards-User
Oberthema: Finance & Investment
Thema: Derivatives
Veröffentlicht: 27.10.2015