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Category Archives: Asset Liability Management


Fixed Income Risk: Calculating Value at Risk (VaR) for Bonds

Fixed Income Risk: Calculating Value at Risk (VaR) for Bonds. Here are two common challenges that come up when we apply risk management concepts to individual bonds and bond portfolios within fixed income investment management: a) How do you measure risk of a newly issued bond that

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Using US Treasuries to calibrate the Black Derman Toy (BDT) Model

The Black Derman Toy (BDT) model is a one-factor, no-arbitrage interest rate model. One-factor in that the entire term structure of interest rates can be inferred with reference to the process underlying the short rates derived. No-arbitrage in that the term structure derived is exactly

Bond Duration

Bond Duration Convexity calculations for US Treasuries

Convexity & Duration calculator for US Treasury Bills, Notes and Bonds. To demonstrate how Duration and Convexity are calculated for specific US Treasuries we select instruments from recent US Treasury bill, note and bond auctions. Please note that we are determining these metrics (Convexity &


16 free Risk Treasury Option pricing lessons

Treasury Option pricing & Risk lessons directory Over the last few years we have posted some interesting training materials cutting across Risk, Treasury Option pricing education  themes. This post compiles our best free training lessons available  on  Course Topics include: Black Scholes, Greeks & Option Pricing