- CFA Exams
- CFA Level I Exam
- Study Session 15. Fixed Income (2)
- Reading 47. Fundamentals of Credit Analysis
- Subject 5. Credit Risk vs. Return: Yields and Spreads
CFA Practice Question
The effect on prices and returns from changes in spreads is driven by the magnitude of the spread change, the ______ and convexity.
A. modified duration
B. effective duration
C. Macaulay duration
Explanation: Longer duration bonds have greater price and return sensitivity to changes in spread than shorter-duration bonds.
User Contributed Comments 0
You need to log in first to add your comment.