The previous videos in this playlist have illustrated how we calculate the two most popular measures of single-factor interest rate sensitivity, that is duration and dv01, also called price value of the basis point. Now, knowing how these calculations work we will apply them to understand some of the relationship dynamics that aren't necessarily intuitive. Specifically, we'll look at what are the impact of (1) yield (2) coupon and (3) maturity on duration and price value of the basis point.
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For other videos in our Financial Risk Manager (FRM) series, visit these playlists:
Texas Instruments BA II+ Calculator
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Risk Foundations (FRM Topic 1)
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Quantitative Analysis (FRM Topic 2)
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Financial Markets and Products: Intro to Derivatives (FRM Topic 3, Hull Ch 1-7)
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Financial Markets and Products: Option Trading Strategies (FRM Topic 3, Hull Ch 10-12)
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FM&P: Intro to Derivatives: Exotic options (FRM Topic 3)
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Valuation and Risk Models (FRM Topic 4)
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Market Risk (FRM Topic 5)
Credit Risk (FRM Topic 6)
Operational Risk (FRM Topic 7)
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Current Issues (FRM Topic 9)
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Chartered Financial Analyst (CFA) Level 1 Volume 1
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r programming on linux Fixed Income: Impact of Yield and Coupon on Duration and DV01 (FRM T4-39) | |
| 9 Likes | 9 Dislikes |
| 410 views views | 61.5K followers |
| Education | Upload TimePublished on 27 Jun 2019 |
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