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25 Cards in this Set
- Front
- Back
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What could be another assumption about changes in the term structure? |
Back (Definition) |
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Price of a coupon Bond? |
10 |
|
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Price of a floating rate bond |
Back (Definition) |
|
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Dollar duration |
17 |
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When does it make sense to use dollar duration |
17 |
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Price value of a basis point |
18 |
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Yield based PV01 |
18 |
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VaR |
19 |
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Eq VaR |
19 |
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Idea of VaR |
19 |
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Duration and VaR |
19 |
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Calculation of VaR |
20 |
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Problems with VaR |
21 |
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Expected shortfall |
22 |
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ES eq |
22 |
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Calc ES |
22 |
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Why does immunization work? |
24 |
|
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Bullet versus barbell investment |
27 |
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Asset-liability management |
29 |
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Maturity and curvature |
32 |
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Positive convexity? |
40 |
|
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Dollar convexity |
43 |
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Yield based duration |
13 |
|
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Price of a coupon Bond using YTM |
13 |
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|
Yield-based convexity |
42 |
