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g calculate and interpret approximate convexity and distinguish between approximate and effective convexity; Flashcards Preview
L1 55 Understanding Fixed-Income RIsk and Return
> g calculate and interpret approximate convexity and distinguish between approximate and effective convexity; > Flashcards
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g calculate and interpret approximate convexity and distinguish between approximate and effective convexity;
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L1 55 Understanding Fixed-Income RIsk and Return
Class (11):
A Calculate And Interpret The Sources Of Return From Investing In A Fixed Rate Bond;
B Define, Calculate, And Interpret Macaulay, Modified, And Effective Durations;
C Explain Why Effective Duration Is The Most Appropriate Measure Of Interest Rate Risk For Bonds With Embedded Options;
D Explain How A Bond’s Maturity, Coupon, Embedded Options, And Yield Level Affect Its Interest Rate Risk;
E Calculate The Duration Of A Portfolio And Explain The Limitations Of Portfolio Duration;
F Calculate And Interpret The Money Duration Of A Bond And Price Value Of A Basis Point (Pvbp);
G Calculate And Interpret Approximate Convexity And Distinguish Between Approximate And Effective Convexity;
H Estimate The Percentage Price Change Of A Bond For A Specified Change In Yield, Given The Bond’s Approximate Duration And Convexity;
I Describe How The Term Structure Of Yield Volatility Affects The Interest Rate Risk Of A Bond;
J Describe The Relationships Among A Bond’s Holding Period Return, Its Duration, And The Investment Horizon;
K Explain How Changes In Credit Spread And Liquid Affect Yield To Maturity Of A Bond And How Duration And Convexity Can Be Used To Estimate The Price Effect Of The Changes.