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Paper / 2024SMQ / 247245030956507
Shifting the yield curve for fixed-income and derivatives portfolios
Anatoli Segura / Dario Ruzzi / Michele Leonardo Bianchi
derivatives / fixed incomeResource overview

Shifting the yield curve for fixed-income and derivatives portfolios

Paper2024

by Anatoli Segura, Dario Ruzzi, Michele Leonardo Bianchi

Tags
derivativesfixed incomeinterest ratesrisk management

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Understand this paper

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

Before you read

  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.

  3. Random Variables and Distributions

    Represent losses as a distribution rather than one forecast.

  4. Expected Shortfall and Other Tail Risk Measures

    Distinguish a loss quantile from the average loss in the tail.

Go further

  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.

  3. VaR Estimation in Practice: Variance-Covariance, Historical Simulation, Monte Carlo

    Compare risk estimators and their assumptions.

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Lesson links open public previews. Access to full lessons depends on the topic and your membership.

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