# Tag Archives: Fixed Income

## The Big Short case study. For value investors, portfolio managers and fixed income traders.

The Big Short case study. For value investors and portfolio managers. For portfolio management and fixed income students the 2008 – 2009 financial crisis represents a terrific learning opportunity.  As I teach portfolio management to Executive MBA students I have started to use a class room

## 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

## More Forward Rates Lessons: How to calculate Forward Rates – Calculations walk through

How to determine Spot Rates and Forward Rates & Yield to Maturity How to determine Forward Rates from Spot Rates The relationship between spot and forward rates is given by the following equation: ft-1, 1=(1+st)t ÷ (1+st-1)t-1 -1 Where st is the t-period spot rate

## Bond Convexity and Sensitivity for Fixed Income securities

Bond Convexity calculation example A working example of bond convexity and sensitivity calculation. Earlier we had reviewed the calculation process for Effective Duration. In this post we will see how bond convexity is calculated. We will also see how the Effective Duration and Convexity are

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