Market Risk Measurement: Duration and Convexity
Interactive

Market Risk Measurement: Duration and Convexity

Intuition Publishing
Updated Aug 26, 2020

Duration is a measure of the sensitivity of bond prices (or bond
portfolio values) to small changes in interest rates. Duration can take the form of Macaulay duration or modified duration. Here we look at the calculation of duration for different types of bonds and bond portfolios, the properties of duration, and how changes in duration itself are handled.

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