If he were that kind of hands-on manager, this mess might not have happened in the first place.
The real risk-free rate is 4%. 1. The real risk-free rate is 4%. Inflation is expected to be 3% this year and 5% during the next 2 years. Assume that the maturity risk premium is zero.
BPV is an estimate of the interest rate risk you have. You can therefore use it to manage interest rate exposure. Some firms do this by giving traders a maximum BPV that they are permitted to run. For example, a limit where the portfolio BPV must not exceed $20,000.