Yield Volatility (bonds) reading, current, course, former, higher

mfleming1983

I'm reading the last Reading in Fixed Income (hallelujah!) and of course, FI did not fail me in confusing the heck out of me on the last page of this section.

From page 549-550 of the textbook,

"..the higher the coupon, the lower the duration; the higher the yield level, the lower the duration. Given these two properties, a 10-year non-investment grade bond has a lower duration than a current coupon 10-year Treasury note since the former has a higher coupon rate and trade at a higher yield level. Does this mean that a 10-year non-investment grade bond has less interest rate risk than a current coupon 10-year Treasury note?...The missing link is the relative volatility of rates,... [aka] yield volatility or interest rate volatility.... The greater the expected yield volatility, the greater the interest rate risk for a given duration and current value of a position."

The book doesn't provide sufficient information as to what the relationship between duration and interest rate risk is, because what makes sense is that, the higher the yield volatility, the greater the interest rate risk, then the higher the duration. But the above example states otherwise - specifically, the higher the yield volatility, the greater the interest rate risk, then the lower the duration. How can we explain this?

Your explanation will prove your superiority in this facet of knowledge above all other Level 1'ers.