Description

A practical look at interest rate risk and the most common sensitivity measures.

Learning Objectives

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1. Recall the function of interest rate risk and the key measures used to assess it.
2. Explore the drivers of interest rate sensitivity and understand its implications.
3. Recall the function of Macaulay duration, modified duration, and convexity.
4. Determine what convexity is and why it matters.
5. Recall the function of the dollar value of a basis point (DV01).
6. Recall the function interest rate sensitivity of floating rate notes (FRNs).