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Which of the following statements regarding controlling risk with derivatives is FALSE? A. To reduce the duration of a current portfolio to a target duration, a portfolio manager can sell T-bond futures contracts. B. To calculate the dollar duration of a portfolio, the manager multiplies the effective duration times the basis point movement times the value of the position. C. Credit spread risk refers to the risk that the difference between the yield on a risky asset and the yield on a risk-free asset increases. D. In a strip hedge, the portfolio manager buys more of the nearest-term futures contract than the amount the manager is hedging. |