Yield curve analysis the fundamentals of risk and return

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yield curve analysis the fundamentals of risk and return

Yield Curve Analysis: The Fundamentals of Risk and Return by Livingston G. Douglas

With their increasing complexity, the fixed-income markets have made greater demands upon their participants. To be successful -- in this era of heightened volatility, especially -- requires a firm foundation in the precepts underlying the behavior of fixed-income investments. This book answers that need by presenting a comprehensive analysis of the two primary concepts: risk and return. Its four major sections develop and apply these concepts clearly and progressively, with outline and summary aids to enhance understanding and ample illustrations to reinforce the explanations.
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Published 19.12.2018

The Bond Yield Curve and Risk Factors

Yield Curve Analysis: The Fundamentals of Risk and Return

Several factors shape the treasury yield curve—monetary policy, inflation expectations, investor preferences, and macroeconomic influences from around the world. The treasury yield curve describes how treasury interest rates differ across the maturity of treasury assets. While shifts at the short end of the yield curve reflect immediate monetary policy, changes at the long end of the curve reflect the influence of various economic factors that are not limited to the United States alone. The shortest-term treasury bills 1 are mainly determined by monetary policy. The federal funds rate is then the main point of reference for various short-term interest rates including the rate on short-term treasury bills. Furthermore, the expectation hypothesis implies that holding a one-year bond and rolling the investment over into a new one-year bond each year for 10 years would result in the same wealth as investing in a year bond.

The treasury yield curve explained: Factors shaping the curve

View Larger Image. Covers the time value of money, compound interest, bond prices and yields, bond price volatility, and bond return, and explains the mathematics used to analyze yields. Visit Seller's Storefront. Payment is by Visa, Mastercard, or American Express. Shipping and insurance is extra and billed at cost. Returns accepted for full credit or refund with prior notification within 21 days of purchase.

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