GARP Exam 2016-FRR Topic 2 Question 6 Discussion

Actual exam question for GARP's 2016-FRR exam

Question #: 6
Topic #: 2

[All 2016-FRR Questions]

Sam has hedged a portfolio of bonds against a small parallel shift in the yield curve using the duration measure. What should Sam do to ensure that the portfolio is hedged against larger parallel shifts in the yield curve?

ATake positions to reduce the duration

BTake positions to increase the duration

CTake positions to make the convexity zero

DSince the portfolio is duration hedged Sam does not need to take additional positions.

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Suggested Answer: C

by Gail at May 05, 2025, 09:18 PM

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