What's new

# fixed-income

1. ### YouTube T5-07: Risk-neutral probabilities

One of the harder ideas in fixed income is risk-neutral probabilities. In this video, I'd like to specifically illustrate, and define, what we mean by risk-neutral probabilities. I will do this in three steps. The first one is just a simple example of a coin toss, where my objective is to...
2. ### YouTube T4-43: Fixed Income: Key rate shift technique

The key rate shift technique overcomes the key limitation of duration and DV01 which is that they must assume a parallel shift in the yield curve because they are single-factor risk measures. The key rate shift technique, on the other hand, is multi-factor: the term structure is carved into a...
3. ### YouTube T4-42: Fixed Income: Duration and Convexity Summary

In this playlist, David has already recorded at least ten videos on duration and convexity which are the two most common measures of single-factor interest rate risk. So, in this video, we wrap it up in one simple explanation that tries to illustrate both duration and convexity and how we apply...
4. ### YouTube T4-41: Fixed Income: Analytical Convexity; aka, modified convexity

In this video, David shows you how to calculate modified convexity by matching the modified convexity that Tuckman shows in Table 4.6 in Chapter 4 of his book, Fixed Income Securities. You can find Tuckman's Fixed Income Securities book here: https://amzn.to/2SOMGzv
5. ### YouTube T4-40: Fixed Income: Bullet versus Barbell Bond Portfolio

The bullet portfolio invests in a single medium-term bond. The corresponding barbell portfolio invests the same amount of capital and achieves the same duration, but invests in a mix of the short-term plus long-term bond. But the barbell portfolio will have greater convexity. Tuckman explains...
6. ### YouTube T4-39: Fixed Income: Impact of Yield and Coupon on Duration and DV01

The previous videos in this playlist have illustrated how we calculate the two most popular measures of single factor interest rate sensitivity, that is duration and dv01, also called price value of the basis point. Now, knowing how these calculations work we will apply them to understand some...

13. ### YouTube T4-32: Fixed income: Bond DV01 (aka, price value of basis point)

Financial Risk Manager (FRM, Topic 4: Valuation and Risk Models, Fixed Income, Bruce Tuckman Chapter 4, One-factor Risk Metrics and Hedges). The DV01 stands for "dollar value of an .01% (one basis point)." It is also called the Price Value of a Basis Point (PVBP). It is the bond's or fixed...
14. ### YouTube T4-31: Fixed income: Carry roll down

Financial Risk Manager (FRM, Topic 4: Valuation and Risk Models, Fixed Income, Bruce Tuckman Chapter 3, Returns, Spreads and Yields). The Carry-Roll-Down is the price change in the bond due exclusively to the passage of time. It is only one component of a bond's total profit and loss (P&L). The...
15. ### YouTube T4-30: Fixed Income: Term Structure Scenarios

Financial Risk Manager (FRM, Topic 4: Valuation and Risk Models, Fixed Income, Bruce Tuckman Chapter 3, Returns, Spreads and Yields). The three basic term structure scenarios are: 1. Realized Forwards; 2. Unchanged Term Structure, and 3. Unchanged Yields. Realized Forwards implicitly assumes...
16. ### YouTube T4-29: Fixed Income: Yield to Maturity

Financial Risk Manager (FRM, Topic 4: Valuation and Risk Models, Fixed Income, Bruce Tuckman Chapter 3, Returns, Spreads and Yields). Yield to maturity (aka, yield) is the single rate that discounts a bond's cash flows to a present value that matches the bond's traded (observed) price.