This case deals with two measures price sensitivity: duration and convexity. These measures are typically used to estimate how sensitive a bond’s price to a change in interest rates. However, as concepts, both duration and convexity have wider application: Duration and Convexity consider any change for each risk factor, the price of financial instruments.

This case deals with two measures price sensitivity: duration and convexity. These measures are typically used to estimate how sensitive a bond’s price to a change in interest rates. However, as concepts, both duration and convexity have wider application: Duration and Convexity consider any change for each risk factor, the price of financial instruments
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from
George Chacko,
Peter Hecht,
Vincent Dessain,
Unlike Sjoman
10 pages.
Publication Date: Aug 27, 2004. Prod #: 205025-PDF-ENG
Note on duration and convexity HBR case solution

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