In addition to effective duration, analysts often use measures such as Value–at–Risk (VaR) to estimate the price sensitivity of bonds to changes in interest rates because these measures also incorporate the effects of:
| ||
| ||
|
The volatility of a bond’s yield should be considered along with the bond’s effective duration when estimating its price sensitivity to interest rates. Measures of price risk such as VaR account for yield volatility. Effective duration includes the effects of time to maturity and embedded options.
| 欢迎光临 CFA论坛 (http://forum.theanalystspace.com/) | Powered by Discuz! 7.2 |