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Chapter 26: Managing Yield Curve and Spread Risks

In this section

  • Parallel Shifts vs. Twists vs. Curvature Changes
    Explore how changes in the yield curve’s level, slope, and curvature affect bond portfolios, hedging strategies, and valuation.
  • Bullet vs. Barbell Strategies
    A comprehensive look at Bullet and Barbell bond portfolio strategies for managing yield curve and spread risks, with practical insights, examples, and advanced considerations.
  • Hedging with Swaps and Other Instruments
    Discover strategies to manage yield curve and spread risk using interest rate swaps, futures, forwards, swaptions, and more advanced structures. Learn how to systematically identify, measure, and hedge bond portfolio exposures.
  • Vignette: Multi-Factor Risk Management
    Explore multi-factor risk management in a yield-curve context, focusing on partial parallel shifts, slope changes, credit spread risk, scenario analysis, and derivative-based hedging solutions.
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Chapter 25: Measuring Interest Rate Risk
Chapter 27: Fixed Income Portfolio Construction