This can be used to make probability assessments of the sensitivity ofthe present value of an asset's cash flow stream to interest rate movements.doi:10.1111/j.1468-5957.1996.tb00406.xHuw RhysMark TippettJohn Wiley & Sons, LtdJournal of Business Finance & Accounting...
Duration can be used as a measure of a bond's sensitivity to interest rate changes. The higher the bond's duration, the greater its sensitivity to the change and vice versa. A key use of duration is that it enables us to estimate the effects of an interest rate change on a bonds pric...
Duration is one of the fundamental characteristics of a fixed income security (e.g., abond), alongside maturity, yield,coupon, and call features. It is the most commonly used tool in the bond markets as an assessment of the interest rate sensitivity of a fixed income security. Since theint...
The model for the fixed-income style box is based on the two pillars of fixed-income performance: interest-rate sensitivity and credit quality. The three interest sensitivity groups are limited, moderate and extensive and the three credit quality groups are high, medium and low. These groupings...
Convexity can be used to determine therisk levelof a bond – the greater the convexity of the bond, the greater the sensitivity of its price to interest rate movements. If two bonds are being analyzed for investment purposes and they have comparable yields and durations, the bond with the hi...
What is the relationship between Duration, Convexity and Asset Liability management. Let’s take a quick look Duration Duration is defined as interest rate sensitivity. For the purpose of this post modified duration is calculated by estimating the price change per unit of interest ra...
Duration is a measure of the sensitivity of the price of abondor otherdebt instrumentto a change ininterest rates. In general, the higher the duration, the more a bond’s price will drop as interest rates rise (and the greater the interest rate risk). For example, if rates were to ris...
The model for the fixed-income style box is based on the two pillars of fixed-income performance: interest-rate sensitivity and credit quality. The three interest sensitivity groups are limited, moderate and extensive and the three credit quality groups are high, medium and low. These groupings...
Duration is a measure of a security’s price sensitivity to changes in interest rates. Duration differs from maturity in that it considers a security’s interest payments in addition to the amount of time until the security reaches maturity, and also takes into account certain maturity shortening...
Investors who own fixed income securities should be aware of the relationship between a bond’s price and interest rates. As a general rule, the price of a bond moves inversely to changes in interest rates: a bond’s price will increase as rates decline an...