Search Results: DV01
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Duration (finance)
Jumat, 2026-07-10 23:39:44portfolio DV01 and, where relevant, spread DV01 in regulatory filings. Swaps, futures and bond total-return swaps can raise or lower parallel DV01 or target...
Click to read more »Greeks (finance)
Kamis, 2026-06-04 19:32:12analogously to the delta of an option. The closest analogue to the delta is DV01, which is the reduction in price (in currency units) for an increase of one...
Click to read more »Corporate bond
Senin, 2026-01-12 01:41:57so that their yield to maturity adjusts to newly appropriate levels. (See DV01, bond duration and bond convexity.) Liquidity risk: There may not be a continuous...
Click to read more »Embedded option
Jumat, 2026-01-16 10:54:04the embedded features make measures such as duration and convexity (and DV01) less meaningful; and analysts instead use effective duration and effective...
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Rabu, 2026-08-12 04:04:31frequently used by the market to determine theoretical prices. Analogous to DV01 for a bond, CS01 - the credit spread dollar value of one basis point - reflects...
Click to read more »Financial modeling
Selasa, 2026-08-18 15:16:56stress testing, "sensitivities" analysis (Greeks, duration, convexity, DV01, KRD, CS01, JTD) Corporate finance applications: cash flow analytics, corporate...
Click to read more »Financial risk management
Rabu, 2026-08-26 15:00:14factors; as well as on the various other measures of sensitivity, such as DV01 for the sensitivity of a bond or swap to interest rates, and CS01 or JTD...
Click to read more »Hedge (finance)
Rabu, 2026-06-17 04:29:05sensitivities here are measured using duration and convexity for bonds, and DV01 and key rate durations generally. At the portfolio level, cash-flow risks...
Click to read more »Fixed income analysis
Minggu, 2026-08-16 18:59:04convexity Bond duration Bond option Callable bond Credit risk CS01 Discount rate DV01 Financial risk management § Investment management Floating interest rate...
Click to read more »Bond convexity
Jumat, 2026-08-07 13:59:22ISSN 0015-198X. Tuckman, Bruce; Serrat, Angel (2022). "Appendix A4.1–A4.2 (DV01, Duration, and Convexity of Portfolios; Estimating Price Change with Duration...
Click to read more »Interest rate risk
Senin, 2026-05-18 11:01:01reset or maturity, whichever comes first. Analyzing Duration, Convexity, DV01 and Key Rate Duration. The assessment of interest rate risk is a very large...
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