Interest Rate Risk II Chapter 9 © 2008 The McGraw-Hill Companies, Inc., All Rights Reserved.McGraw-Hill/Irwin 9-2 Overview  The weakness of repricing model is its reliance…

FIXEDINCOMESECURITIES Valuation, Risk and Risk Management Pietro Veronesi University of Chicago JOHN WILEY & SONS, INC. Copyright c 2011 by John Wiley & Sons, Inc.…

MANAGING THE FIXED INCOME PORTFOLIO CHAPTER NINETEEN Practical Investment Management Robert A. Strong South-Western / Thomson Learning © 2004 19 - 2 Outline  Fixed Income…

Slide 1 Drake DRAKE UNIVERSITY Fin 284 Slide 2 Drake Drake University Fin 284 Duration and Yield Changes Duration provides a linear approximation of the price change associated…

Identification of Risk Factors Market Risk and Credit risk Market risk is defined as the risk of fluctuations in portfolio values due to volatility in market price. Absolute…

VALUATION OF CMOS VALUATION OF CMOS Introduction STATIC VALUATION DYNAMIC VALUATION MODELING Option-adjusted spread(OAS) Other products of the OAS models Illustration Plain…

Chapter 4 Bond Price Volatility © 2013 Pearson Education, Inc. 4-2 Learning Objectives After reading this chapter, you will understand  the price-yield relationship of…

Identification of Risk Factors Market Risk and Credit risk Market risk is defined as the risk of fluctuations in portfolio values due to volatility in market price. Absolute…

Chapter 4  Bond Price Volatility Learning Objectives After reading this chapter, you will understand the price-yield relationship of an option-free bond the factors that…