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Extra-Financial Risk Factors and the Cost of Debt
Florian Berg
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Extra-Financial Risk Factors and the Cost of Debt

Paper2016

by Florian Berg

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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

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  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

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