'Modified duration' diaporamas de présentation

Topic 8 (Ch. 16) Managing Bond Portfolios

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Chapter 4

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CHAPTER 20

CHAPTER 20. Futures, Swaps, and Risk Management. Futures can be used to hedge specific sources of risk. Hedging instruments include: Foreign exchange futures Stock index futures Interest rate futures Swaps Commodity futures. Futures. Foreign Exchange Futures.

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FINC4101 Investment Analysis

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Duration , Modified Duration, Convexity

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Chapter 6 Beyond Duration

FIXED-INCOME SECURITIES. Chapter 6 Beyond Duration. Outline. Accounting for Larger Changes in Yield Accounting for a Non Flat Yield Curve Accounting for Non Parallel Shits. Beyond Duration Limits of Duration. Duration hedging is Relatively simple Built on very restrictive assumptions

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Risk Measurement

Risk Measurement. Index. Risk Management Framework Risk Measurement Risk Attribution Risk Budgeting Risk Measures Volatility and Tracking Error (TE) Duration Shortfall probability Largest loss with given probability (VaR) Expected size of shortfall (C-VaR) Details on Volatility

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Greeks : Theory and Illustrations By A.V. Vedpuriswar

Greeks : Theory and Illustrations By A.V. Vedpuriswar. June 14, 2014. Introduction. Greeks help us to measure the risk associated with derivative positions. Greeks also come in handy when we do local valuation of instruments. But Greeks are not useful to get an aggregated view of risk.

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Chapter 5 Hedging Interest-Rate Risk with Duration

FIXED-INCOME SECURITIES. Chapter 5 Hedging Interest-Rate Risk with Duration. Outline. Pricing and Hedging Pricing certain cash-flows Interest rate risk Hedging principles Duration-Based Hedging Techniques Definition of duration Properties of duration Hedging with duration.

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Class Business

Class Business. Upcoming Homework. Duration. A measure of the effective maturity of a bond The weighted average of the times (periods) until each payment is received, with the weights proportional to the present value of the payment Duration is equal to maturity for zero coupon bonds

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Bond Price Volatility

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Duration

Duration. Duration is an empirical method of measuring the true life of a bond portfolio Comes into play in determining how to manage a bond portfolio. Six Propositions Regarding Interest Rate Sensitivity. Bond prices and yields are inversely related

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reverse mortgage calculator

reverse mortgage calculator

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