Bond pricing and interest rate risk (more advanced)

To be used after the intro Bond Pricing toolset

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    How does duration and covexity fit into risk management?

    Just a taste :) Duration gap analysis is a start to interest rate risk management.

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    Why duration matters

    A look at how duration gives us a look at how much interest rate risk we are exposed to.

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    Using Excel to Solve the Price of a Bond Problem

    Not fancy, but cookbook description of some of the excel tools you can use to price bonds

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    Bank Management (more advanced)

    This may be more than you want for in typical finance class, but for an upper level class covering risk management, it gets a gold star! Timothy W. Koch serves as Professor of Finance at the University of South Carolina. He received his B.A. degree in mathematics from Wartburg College and Ph.D. in economics from Purdue University. He taught at Baylor University and Texas Tech University before joining the University of South Carolina.

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    How to get yield to maturity (YTM) with Excel & TI BA II+

    How to calculate using Excel and two different calculators Yield to maturity (YTM, yield) is the bond's internal rate of return (IRR). It is the rate that discounts future cash flows to the current market price.

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    Bond duration (introduction) from Bionic turtle

    If you do not know of Bionic Turtle, you should! GREAT stuff Using a simple zero-coupon bond, I illustrate bond duration. We have a few variations, including weighted average time to cash flow, but the best way to view duration is as a SENSITIVITY: the % change in bond price given a % change in yield (YTM).

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    Understanding Bond Duration

    A simple introduction to duration One of the biggest dangers to bond investors can be calculated by something called bond duration. It is a measure of interest rate risk and, if left unchecked, having a higher bond duration than is appropriate for your risk profile can result in huge losses, sometimes much higher than short-term stock fluctuations.

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    A wonderful look at maturity, duration, and convexity from UVA

    Thank Thomas Jefferson for starting such a great school. We owe this great set of notes to them. Well done!!

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