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The Bond Yield Conundrum : Alternative Hypotheses and the State of the Economy
Eijffinger, S.C.W. / Mahieu, R.J. / Raes, L.B.D.
financial economics / fixed incomeResource overview

The Bond Yield Conundrum : Alternative Hypotheses and the State of the Economy

Paper2010

by Eijffinger, S.C.W., Mahieu, R.J., Raes, L.B.D.

Tags
financial economicsfixed incomeinterest rates

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Suggested foundations for rates and fixed income and asset pricing and factor research. 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.

  3. Linear Regression

    Interpret exposures, residuals and uncertainty in fitted coefficients.

  4. Financial Return Characteristics

    Work with returns and recognise their empirical limitations.

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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.

  3. Factor construction

    Connect factor definitions to portfolio construction.

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