Bond Portfolio Management Active & Passive Strategies
John Grady, Tom Tight
Interest-Rate Risk II. Duration Rules Rule 1: Zero Coupon Bonds What is the duration of a zero-coupon bond? Cash is received at one time t=maturity weight.
MRM FRM-GARP Oct-2001 Zvi Wiener 02-588-3049 mswiener/zvi.html Market Risk Management.
Chapter 11 Managing Bond Portfolios Copyright © 2010 by The McGraw-Hill Companies, Inc. All rights reserved.McGraw-Hill/Irwin.
CHAPTER 16
Interest-Rate Risk II
1 Chapter 12 Bond Selection. 2 Malkiel’s Interest Rate Theorems u Definition u Theorem 1 u Theorem 2 u Theorem 3 u Theorem 4 u Theorem 5.
Financial Engineering
Managing Bond Portfolios
