Beyond convexity

Jessica James, Michael Leister and Christoph Rieger

Quantitative Finance, 2021, vol. 21, issue 7, 1067-1075

Abstract: Who says fixed income is boring? 100y bonds were exhibiting price swings larger than in many speculative stocks while yields were still in a relatively confined range. Duration is the main contributor and convexity an important buffer. We demonstrate how higher risk-terms become more relevant and should thus not be neglected at times when larger yield moves become more likely amid the pandemic

Date: 2021
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DOI: 10.1080/14697688.2021.1911149

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