Duration captures one important aspects of interest rate ris

Duration captures one important aspects of interest rate risk. Namely...

Question 4 options:

The price risk deriving from a large shift in the term structure.

The price risk deriving from a twist movement in the term structure.

The price risk deriving from a butterfly movement in the term structure.

The price risk deriving from a small shift in the yield term structure.

Solution

Duration captures the price risk deriving from a small shift in the yield term structure