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Bond Risk - Part One

  • 1 hour
  • 25 US dollars
  • Location 1

Service Description

This course takes an in-depth look into the systematic market factors that drive bond price volatility. This starts with a look at the Treasury yield curve in terms of its term structure and the types of yield curve movements that we observe in the market. We also examine bond risk premia, with insights into the relationship of these spreads with the Treasury curve. This includes an analysis of the relatively complex issue of “optionality” that results from the embedded options found in corporate and mortgage backed bonds. We analyze the effect that these options have on expected cashflow as we delve into the complex issue of negative convexity; this includes a practical working example of the effect that this has on cash flow, bond value and return. We also review the historical record of spread changes, with a special emphasis on times of market stress. We conclude by applying all the insights we acquired from these three bond sessions, as we analyze the diversification potential of the various bond sectors and see how this allows us to create efficient bond portfolios that deliver the highest return at each level of volatility risk.

Contact Details

  • 860-214-7504

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