Portfolio duration most accurately approximates the sensitivity of the value of a bond portfolio to …Select one:a.Both increases and decreases in the slope of the yield curve.b.Parallel shifts in the yield curve.c.Decreases in the slope of the yield curve.d.Increases in the slope of the yield curve.

Which of the following statements is false?A.The higher the convexity of a bond (in absolute terms) the more inaccurate its duration is as a measure of interest rate sensitivity. B.Bonds with shorter maturities, all else being equal, have higher durations. C.A zero coupon bond with a longer maturity is more sensitive to changes in the interest rate than a shorter maturity zero coupon bond. D.Bonds with higher coupon rates, all else being equal, have lower durations.

Which of the following statements is FALSE?A.For a given maturity fixed-income asset, duration decreases as the market yield increases. B.Duration of a zero coupon bond is equal to the bond's maturity. C.Duration considers the timing of all the cash flows of an asset by summing the product of the cash flows and the time of occurrence. D.The economic meaning of duration is the interest elasticity of a financial asset’s price. E.Duration increases with the maturity of a fixed-income asset at a decreasing rate.

All else being equal, which of the following is true about duration:A bond's duration is higher when the yield is higher.A bond's duration is lower when the yield is higher.Duration is not affected by the size of coupons. Duration is not affected by maturity.

You are managing a portfolio of $1 million. Your target duration is 10 years and you can choose from two bonds: a zero-coupon bond with maturity of seven years and a perpetuity, each currently yielding 5%.a. how much of each bond will you hold in your portfolio?

Which of the following statements is TRUE?A.Duration is the weighted-average time to maturity on the loan using the present values of the cash flows as weights.B.An FI can immunize its portfolio by matching the maturity of its asset with its liabilities. C.The smaller the leverage-adjusted duration gap, the more exposed the FI is to interest rate shocks. D.The larger the numerical value of duration, the more sensitive is the price of that asset or liability to changes or shocks in interest rates.E.Setting the duration of the assets higher than the duration of the liabilities will exactly immunize the net worth of an FI from interest rate shocks.