A risk manager is analyzing a long-dated bond that matures, Ask an Expert

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A risk manager is analyzing a long-dated bond that matures in 25 years and pays 8% coupon. He is told that the modified duration is 11.65 years and the bond convexity is 165. The bond is currently trading at 8% yield to maturity. Assuming a par value of $1000, should the yield to maturity increase by 1.5%, compute the expected bond price using both duration and convexity adjustments.

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Financial Management, Finance

Category:- Financial Management
Reference No.:- M92095013

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