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Risk Management > Interest Rate Risk

Risk Management > Interest Rate Risk

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Published by: api-27174321 on Oct 14, 2008
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03/18/2014

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Copyright ©1996-2006 Investment Analytics Slide: 1Interest Rate Risk 
Risk ManagementInterest Rate Risk 
Copyright ©1996-2006Investment Analytics
 
Copyright ©1996-2006 Investment Analytics Slide: 2Interest Rate Risk 
Agenda
Basic Concepts
Bond Values & Interest Rate Risk 
Interest Rate Risk Measurement
Duration
Immunization
Convexity
Multi-factor Duration Models
Advanced Interest Rate Risk Modeling
Index Rate Duration
Interest Rate Options
Deterministic & Simulation Analysis
 
Copyright ©1996-2006 Investment Analytics Slide: 3Interest Rate Risk 
Bond Values and Interest Rates
What is the relationship between a bond’sprice and interest rates?
How does this sensitivity depend on thematurity of the bond?
Are coupon bonds more sensitive to interestrates than zero coupon bonds?

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