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Duration as a Risk Management Tool

February 21, 2018
John Behof

Using duration, especially in the investment portfolio, can be challenging for the balance sheet manager. With conventional wisdom saying that rates are going to rise, the balance sheet manager has probably faced little second-guessing on this front. However, John Behof challenges this complacency and offers multiple reasons for maintaining the proper duration and relative size of the investment portfolio—as a tool for managing the risk of the institution as a whole—and not just interest rate risk.

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