Fixed Income: Simple bond illustrating all three durations (effective, mod, Mac) (FRM T4-36)
Macaulay duration is the bond's weighted average maturity (where the weights are each cash flow's present value as a percent of the bond's price; in this example, the bond's Macaulay duration is 2.8543 years. Modified duration is the true (best) measure of interest rate risk; in this example, the modified duration is 2.7847 years. We use modified duration to estimate the price impact given a parallel shock to the yield curve: given Δy of X%, we estimate an D*X% = Δ%P change in the bond's price. In this example, a 1.0% increase in yield anticipates a 1.0% * 2.7847 = -2.7847% price drop. It's important to keep in mind that duration represents only the linear approximation (i.e., convexity is omitted) so as the yield shock increases, its estimate becomes less accurate. Effective duration is used to approximate modified duration when it is not easy to access analytically. As an estimate of modified duration, effective duration has the same use/purpose as modified duration.
💡 Discuss this video here in our FRM forum: https://trtl.bz/2QUvtUf
📗 You can find Tuckman's Fixed Income Securities book here: https://amzn.to/2SOMGzv
👉 Subscribe here https://www.youtube.com/c/bionicturtl...
to be notified of future tutorials on expert finance and data science, including the Financial Risk Manager (FRM), the Chartered Financial Analyst (CFA), and R Programming!
❓ If you have questions or want to discuss this video further, please visit our support forum (which has over 50,000 members) located at http://bionicturtle.com/forum
🐢 You can also register as a member of our site (for free!) at https://www.bionicturtle.com/register/
📧 Our email contact is support@bionicturtle.com (I can also be personally reached at davidh@bionicturtle.com)
For other videos in our Financial Risk Manager (FRM) series, visit these playlists:
Texas Instruments BA II+ Calculator
https://www.youtube.com/playlist?list=PLCBifSfCnx3sjobyTnEyv2N4baxF8-wiS
Risk Foundations (FRM Topic 1)
https://www.youtube.com/playlist?list=PLCBifSfCnx3sm2OmHA1BO41Zcc4ntUwMG
Quantitative Analysis (FRM Topic 2)
https://www.youtube.com/playlist?list=PLCBifSfCnx3sormazeHQr5G9etDITYStF
Financial Markets and Products: Intro to Derivatives (FRM Topic 3, Hull Ch 1-7)
https://www.youtube.com/playlist?list=PLCBifSfCnx3tQuvaS-lG-8ZqUh7NvxRDg
Financial Markets and Products: Option Trading Strategies (FRM Topic 3, Hull Ch 10-12)
https://www.youtube.com/playlist?list=PLCBifSfCnx3s7iycLx2eZQeIUPo_4a8n8
FM&P: Intro to Derivatives: Exotic options (FRM Topic 3)
https://www.youtube.com/playlist?list=PLCBifSfCnx3sfoUGYayuqJRhHA5jCFkGr
Valuation and Risk Models (FRM Topic 4)
https://www.youtube.com/playlist?list=PLCBifSfCnx3sqbQnW4HkZ3HoScTG0Lluz
Coming Soon ....
Market Risk (FRM Topic 5)
Credit Risk (FRM Topic 6)
Operational Risk (FRM Topic 7)
Investment Risk (FRM Topic 8)
Current Issues (FRM Topic 9)
For videos in our Chartered Financial Analyst (CFA) series, visit these playlists:
Chartered Financial Analyst (CFA) Level 1 Volume 1
https://www.youtube.com/playlist?list=PLCBifSfCnx3uvB-bf5flMe0gRt0fGyvuz
#bionicturtle #risk #financialriskmanager #FRM #finance #expertfinance
Our videos carefully comply with U.S. copyright law which we take seriously. Any third-party images used in this video honor their specific license agreements. We occasionally purchase images with our account under a royalty-free license at 123rf.com (see https://www.123rf.com/license.php); we also use free and purchased images from our account at canva.com (see https://about.canva.com/license-agreements/). In particular, the new thumbnails are generated in canva.com. Please contact support@bionicturtle.com or davidh@bionicturtle.com if you have any questions, issues or concerns.
Видео Fixed Income: Simple bond illustrating all three durations (effective, mod, Mac) (FRM T4-36) канала Bionic Turtle
💡 Discuss this video here in our FRM forum: https://trtl.bz/2QUvtUf
📗 You can find Tuckman's Fixed Income Securities book here: https://amzn.to/2SOMGzv
👉 Subscribe here https://www.youtube.com/c/bionicturtl...
to be notified of future tutorials on expert finance and data science, including the Financial Risk Manager (FRM), the Chartered Financial Analyst (CFA), and R Programming!
❓ If you have questions or want to discuss this video further, please visit our support forum (which has over 50,000 members) located at http://bionicturtle.com/forum
🐢 You can also register as a member of our site (for free!) at https://www.bionicturtle.com/register/
📧 Our email contact is support@bionicturtle.com (I can also be personally reached at davidh@bionicturtle.com)
For other videos in our Financial Risk Manager (FRM) series, visit these playlists:
Texas Instruments BA II+ Calculator
https://www.youtube.com/playlist?list=PLCBifSfCnx3sjobyTnEyv2N4baxF8-wiS
Risk Foundations (FRM Topic 1)
https://www.youtube.com/playlist?list=PLCBifSfCnx3sm2OmHA1BO41Zcc4ntUwMG
Quantitative Analysis (FRM Topic 2)
https://www.youtube.com/playlist?list=PLCBifSfCnx3sormazeHQr5G9etDITYStF
Financial Markets and Products: Intro to Derivatives (FRM Topic 3, Hull Ch 1-7)
https://www.youtube.com/playlist?list=PLCBifSfCnx3tQuvaS-lG-8ZqUh7NvxRDg
Financial Markets and Products: Option Trading Strategies (FRM Topic 3, Hull Ch 10-12)
https://www.youtube.com/playlist?list=PLCBifSfCnx3s7iycLx2eZQeIUPo_4a8n8
FM&P: Intro to Derivatives: Exotic options (FRM Topic 3)
https://www.youtube.com/playlist?list=PLCBifSfCnx3sfoUGYayuqJRhHA5jCFkGr
Valuation and Risk Models (FRM Topic 4)
https://www.youtube.com/playlist?list=PLCBifSfCnx3sqbQnW4HkZ3HoScTG0Lluz
Coming Soon ....
Market Risk (FRM Topic 5)
Credit Risk (FRM Topic 6)
Operational Risk (FRM Topic 7)
Investment Risk (FRM Topic 8)
Current Issues (FRM Topic 9)
For videos in our Chartered Financial Analyst (CFA) series, visit these playlists:
Chartered Financial Analyst (CFA) Level 1 Volume 1
https://www.youtube.com/playlist?list=PLCBifSfCnx3uvB-bf5flMe0gRt0fGyvuz
#bionicturtle #risk #financialriskmanager #FRM #finance #expertfinance
Our videos carefully comply with U.S. copyright law which we take seriously. Any third-party images used in this video honor their specific license agreements. We occasionally purchase images with our account under a royalty-free license at 123rf.com (see https://www.123rf.com/license.php); we also use free and purchased images from our account at canva.com (see https://about.canva.com/license-agreements/). In particular, the new thumbnails are generated in canva.com. Please contact support@bionicturtle.com or davidh@bionicturtle.com if you have any questions, issues or concerns.
Видео Fixed Income: Simple bond illustrating all three durations (effective, mod, Mac) (FRM T4-36) канала Bionic Turtle
Показать
Комментарии отсутствуют
Информация о видео
Другие видео канала
Killik Explains: Duration - The word every bond investor should understandFixed Income: Effective duration (FRM T4-34)Fixed income: Carry roll down (FRM T4-31)FRM: Key rate shift: calculationCFA level I: Fixed Income - Super Simplyfied Modified Duration ExplainedKey Rate DurationMacaulay DurationWhat is modified duration? | DejargonedWhat is Bond Yield? Why Bond Yield is rising? Why rising Bond Yield is dangerous for Economy? #UPSCFixed income: Effective Convexity (FRM T4-37)Modified DurationFixed Income: Modified and Macaulay Duration (FRM T4-35)Fixed income: Bond DV01 (aka, price value of basis point, FRM T4-32)Fixed Income: Key rate shift technique (FRM T4-43)Relationship between bond prices and interest rates | Finance & Capital Markets | Khan AcademyDerivation of a Bond's DurationKillik Explains: Fixed Income Basics - the yield curveFixed Income: Duration and Convexity Summary (FRM T4-42)The basics of bonds - MoneyWeek Investment Tutorials