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Paper / 2023SMQ / 107731305680214
Computing corporate bond returns: a word (or two) of caution
Diogo Palhares / Martina Andreani / Scott Anthony Richardson
fixed incomeResource overview

Computing corporate bond returns: a word (or two) of caution

Paper2023

by Diogo Palhares, Martina Andreani, Scott Anthony Richardson

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fixed income

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Suggested foundations for rates and fixed income. Specialist prerequisites vary by paper.

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  1. The Bank Account, Short Rate, and the Fundamental Pricing Equation

    Understand discounting in a stochastic-rate model.

  2. DV01, Dollar Duration, and One-Factor Price Sensitivity

    Translate yield movements into first-order price risk.

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  1. Bootstrapping the Spot Curve from Market Instruments

    Build a consistent discount curve.

  2. The Vasicek Model: Mean Reversion, Affine Bond Prices, and the Gaussian Distribution

    Study a tractable mean-reverting rate model.

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