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PRMIA Exam 8002 Topic 1 Question 50 Discussion

Actual exam question for PRMIA's Mathematical Foundations of Risk Measurement :II exam
Question #: 50
Topic #: 1
[All Mathematical Foundations of Risk Measurement :II Questions]

A bond has modified duration 6 and convexity 30. Find the duration-convexity approximation to the percentage change in bond price when its yield increases by 5 basis points

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Suggested Answer: D


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