CFA Level I · CFA Level I Exam · Introduction to Risk Management
In a risk management framework, a measure of how much the value of a bond portfolio changes for a small parallel shift in yields is most likely classified as a:
A measure of how a bond portfolio's value changes for a small parallel yield shift is a sensitivity measure. It links value to one risk factor, the yield. VaR gives a probabilistic loss threshold and downside measures capture shortfalls, so neither fits.
- Asensitivity measureCorrect
- Bvalue-at-risk measure
- Cdownside risk measure
Explanation
Duration and similar measures show the change in value for a small change in a single risk factor, which defines a sensitivity measure. VaR is a statistical loss threshold with a probability, and downside measures focus on shortfalls from a target.
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