'Macaulay duration' presentation slideshows

Bond Price Volatility

Bond Price Volatility. Zvi Wiener Based on Chapter 4 in Fabozzi Bond Markets, Analysis and Strategies. You Open a Bank!. You have 1,000 customers. Typical CD is for 1-3 months with $1,000. You pay 5% on these CDs. A local business needs a $1M loan for 1 yr.

1.29k views • 76 slides

BUFN 722

BUFN 722 ch-10 Market Risk Overview This chapter discusses the nature of market risk and appropriate measures Dollar exposure RiskMetrics Historic or back simulation Monte Carlo simulation Links between market risk and capital requirements Market Risk:

1.33k views • 70 slides

BUFN 722

BUFN 722. ch-10 Market Risk. Overview. This chapter discusses the nature of market risk and appropriate measures Dollar exposure RiskMetrics Historic or back simulation Monte Carlo simulation Links between market risk and capital requirements. Market Risk:.

1.1k views • 70 slides

Valuing Cash Flows

674 views • 61 slides

Valuing Cash Flows

617 views • 61 slides

???????

815 views • 47 slides

???????

560 views • 47 slides

Duration , Modified Duration, Convexity

1.01k views • 32 slides

BONDS HAVE DIFFERENT INTEREST SENSITIVITIES

BONDS HAVE DIFFERENT INTEREST SENSITIVITIES. BOND PRICE-YIELD RELATIONSHIP. MEASURES OF INTEREST SENSITIVITY. Price Value of a Basis Point (PVBP) Change in bond price given a one basis point change in yield Yield Value of a 32nd (YV32) Change in yield given a price change of 1/32 Duration

300 views • 20 slides

Bond Price Volatility

377 views • 17 slides

Bond Duration

336 views • 11 slides

Bond Duration

1.71k views • 11 slides