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Financial Risk Manager Part 1

Financial Risk Manager Part 1

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A portfolio manager uses her valuation model to estimate the value of a bond portfolio at USD 125.482 million. The term structure is flat. Using the same model, she estimates the value of the portfolio if interest rates increase by 50 basis points and finds it to be USD 122.345 million. She then estimates the value if interest rates decrease by 50 basis points and finds it to be USD 128.679 million. What is the approximate effective duration of the portfolio?

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