Fixed Income Class Notes Chapter 8

Fixed Income Class Notes Chapter 8 - Volatility weighted...

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Fixed Income Class Notes Chapter 8 – 11/3/11 Empirical analysis - is an alternative to DV01 or duration measures. Techniques include measuring vs. a single driving interest rate factor across bond yields. , or a single variable regression analysis using only one bond. A two variable regression analysis still cannot perfectly hedge a given bond.
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Unformatted text preview: Volatility weighted hedge recognizes that shorter term bonds fluctuate in price more than longer terms., but they are completely dependent on the predictability of the volatility ratio. Simplest way to estimate the volatility ratio is to compute the two volatilities form recent data. Independent vs. Dependent variables...
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This note was uploaded on 12/15/2011 for the course ECON 101 taught by Professor Mimir during the Spring '11 term at Maryland.

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