Suppose that the change in portfolio value for a 1

Suppose that the change in portfolio value for a 1 - basis

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Suppose that the change in portfolio value for a 1 - basis point shift in the 3 month, 6 month, 1 year , 2 year 3 year 4 year and 5 year rate are (in million) + 5 - 3 -1 +2 + 5 + 7 + 8 respectively. Estimate the delta of the portfolio with the respect to the first three factors in table 7.7. Quantify the relative importance of the three factor for this portfolio.

Reference no: EM13597088

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