Duration is the primary measure of interest rate sensitivity — it is the percentage change in price for a 1% change in interest rates. However, practitioners also look at convexity, which is the ...
Interest-rate sensitivity, credit risk, and exposure to the yield curve are three of the biggest factors that have an impact on a bond's price. As a measure of interest-rate sensitivity, duration ...
In a few recent columns, we’ve talked about duration and convexity in the context of changing market prices. They are some of the most misunderstood and misused terms in finance, and clarifying them ...
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