100+ Dollar duration PowerPoint (PPT) Presentations, Dollar duration PPTs

Dollar duration - PowerPoint PPT Presentation

International Fixed Income

International Fixed Income. Topic IB: Fixed Income Basics - Risk. Readings. Duration: An Introduction to the Concept and Its Uses, (Dym & Garbade, Bankers Trust (1984)) Convexity: An Introduction, (Yawitz, Goldman Sachs). Outline. II. Interest rate risk

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8. Measuring Interest Rate Risk-- Duration and Convexity

8. Measuring Interest Rate Risk-- Duration and Convexity Problems of interest rate sensitivity faced by investors and institutions: 1. Liquidity Management: An institution wants to ensure there was enough liquidity each year to cover its liabilities that come due that year.

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Duration and convexity for Fixed-Income Securities

Duration and convexity for Fixed-Income Securities. RES9850 Real Estate Capital Market Professor Rui Yao. Duration and convexity: Outline. I. Macaulay duration II. Modified duration III. Examples IV. The uses and limits of duration V. Duration intuition VI. Convexity.

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Dollar duration - PowerPoint PPT Presentation

International Fixed Income

8. Measuring Interest Rate Risk-- Duration and Convexity

Duration and convexity for Fixed-Income Securities