Fixed Income Securities II: Interest-Rate Risk
Part of the Finance and Capital Markets Series book series (FCMS)
In this chapter we discuss the sensitivity of bond prices to changes in market interest rates, and the key concepts of duration and convexity.
KeywordsCash Flow Bond Price Bond Yield Modify Duration Coupon Bond
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Selected Bibliography and References
- Bierwag, G. O. ‘Immunization, duration and the term structure of interest rates,’ Journal of Financial and Quantitative Analysis, December 1977, pp. 725–41.Google Scholar
- Burghardt, G. The Treasury Bond Basis, McGraw-Hill, 1994, ch. 2.Google Scholar
- Butler, C. Mastering Value-at-Risk, FT Prentice Hall, 1998.Google Scholar
- Dattatreya, R. Fixed Income Analytics: State-of-the-Art Debt Analysis and Valuation Modeling, McGraw-Hill, 1991.Google Scholar
- Garbade, K. Fixed Income Analytics, MIT Press, 1996, chs 3, 4 and 12.Google Scholar
- Golub, B. and Tilman, L. Risk Management: Approaches in Fixed Income Markets, Wiley, 2000, ch. 2.Google Scholar
- Macaulay, F. Some Theoretical Problems Suggested by the Movements of Interest Rates, Bond Yields and Stock Prices in the United States since 1865, National Bureau of Economic Research, NY, 1938 (available from Risk Classics Publishing, under the title Interest Rates, Bond Yields and Stock Prices in the United States since 1856).Google Scholar
- Macaulay, F. The Movements of Interest Rates, Bond Yields and Stock Prices in the United States Since 1856, RISK Classics Library, 1999.Google Scholar
- Windas, T. An Introduction to Option-Adjusted Spread Analysis, Bloomberg, 1993.Google Scholar
© Moorad Choudhry, Didier Joannas, Richard Pereira and Rod Pienaar 2005