Analyst Dojo

Learning Module 13 of Fixed Income 11–14% of the exam

Curve-Based and Empirical Fixed-Income Risk Measures

4 lessons. About 0 minutes in cram mode, 0 minutes in full.

Lessons for this module are being written. The outcomes and lesson plan below are final.

Lessons

  1. 1
    Curve-Based Interest Rate Risk Measures

    Coming soon

  2. 2
    Bond Risk and Return Using Curve-Based Duration and Convexity

    Coming soon

  3. 3
    Key Rate Duration as a Measure of Yield Curve Risk

    Coming soon

  4. 4
    Empirical Duration

    Coming soon

What the exam expects you to do

  1. Explain why effective duration and effective convexity are the most appropriate measures of interest rate risk for bonds with embedded options.
  2. Calculate the percentage price change of a bond for a specified change in benchmark yield, given the bond’s effective duration and convexity.
  3. Define key rate duration and describe its use to measure price sensitivity of fixed-income instruments to benchmark yield curve changes.
  4. Describe the difference between empirical duration and analytical duration.