Interest Rate Sensitivities of Bond Risk Measures

We derive a simple expression for the sensitivity of duration, convexity, and higher-order bond risk measures to changes in term structure shape parameters. Our analysis enables fixed income portfolio managers to capture the combined effects of term structure level, slope, and curvature shifts on any specific bond risk measure. These results are particularly important in volatile interest rate environments. We provide simple numerical examples

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Year of publication:	[2021]
Authors:	Crack, Timothy Falcon ; Nawalkha, Sanjay K.
Publisher:	[S.l.] : SSRN
Subject:	Anleihe \| Bond \| Zinsrisiko \| Interest rate risk \| Zins \| Interest rate \| Risiko \| Risk \| Theorie \| Theory \| Kapitaleinkommen \| Capital income \| Messung \| Measurement \| Zinsstruktur \| Yield curve

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Extent:	1 Online-Ressource (32 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	In: Financial Analysts Journal, Vol. 56, No. 1, 2000 Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments September 26, 1999 erstellt
Classification:	G11 - Portfolio Choice ; G12 - Asset Pricing
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10013211994