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Basic Question 8 of 13
What should be the sensitivity measure of futures on bonds?
B. Delta
C. Alpha
A. Duration
B. Delta
C. Alpha
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Edward Liu
Learning Outcome Statements
describe sensitivity risk measures and scenario risk measures and compare these measures to VaR;
demonstrate how equity, fixed-income, and options exposure measures may be used in measuring and managing market risk and volatility risk;
describe the use of sensitivity risk measures and scenario risk measures;
describe advantages and limitations of sensitivity risk measures and scenario risk measures;
CFA® 2025 Level II Curriculum, Volume 5, Module 41.