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l1 55 understanding fixed-income risk and return

This class was created by Brainscape user Steven Popovic. Visit their profile to learn more about the creator.

By: Steven Popovic
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Decks in this class (11)

a calculate and interpret the sources of return from investing in a fixed-rate bond;
No deck description has yet been added by the author.
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b define, calculate, and interpret Macaulay, modified, and effective durations;
No deck description has yet been added by the author.
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c explain why effective duration is the most appropriate measure of interest rate risk for bonds with embedded options;
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d explain how a bond’s maturity, coupon, embedded options, and yield level affect its interest rate risk;
No deck description has yet been added by the author.
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e calculate the duration of a portfolio and explain the limitations of portfolio duration;
No deck description has yet been added by the author.
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f calculate and interpret the money duration of a bond and price value of a basis point (PVBP);
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g calculate and interpret approximate convexity and distinguish between approximate and effective convexity;
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h estimate the percentage price change of a bond for a specified change in yield, given the bond’s approximate duration and convexity;
No deck description has yet been added by the author.
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i describe how the term structure of yield volatility affects the interest rate risk of a bond;
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j describe the relationships among a bond’s holding period return, its duration, and the investment horizon;
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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.
No deck description has yet been added by the author.
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l1 55 understanding fixed-income risk and return

  • Class purpose General learning

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