Duration model

[object Object],[object Object]

Overview ,[object Object],[object Object],[object Object],[object Object],[object Object],[object Object]

Price Sensitivity and Maturity ,[object Object],[object Object]

Example continued... ,[object Object],[object Object],[object Object],[object Object],[object Object],[object Object]

Coupon Effect ,[object Object],[object Object],[object Object]

Price Sensitivity of 6% Coupon Bond

Price Sensitivity of 8% Coupon Bond

Remarks on Preceding Slides ,[object Object],[object Object],[object Object]

Duration ,[object Object],[object Object],[object Object],[object Object]

Duration ,[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object]

Duration ,[object Object],[object Object],[object Object]

Duration of Zero-coupon Bond ,[object Object],[object Object],[object Object]

Computing duration ,[object Object],[object Object],[object Object]

Duration of 2-year, 8% bond: Face value = $1,000, YTM = 12%

Special Case ,[object Object],[object Object]

Duration Gap ,[object Object],[object Object],[object Object],[object Object],[object Object]

Features of Duration ,[object Object],[object Object],[object Object],[object Object],[object Object],[object Object]

Economic Interpretation ,[object Object],[object Object],[object Object],[object Object],[object Object]

Economic Interpretation ,[object Object],[object Object],[object Object]

Semi-annual Coupon Payments ,[object Object],[object Object]

An example: ,[object Object],[object Object],[object Object],[object Object]

Duration as Index of Interest Rate Risk

Immunizing the Balance Sheet of an FI ,[object Object],[object Object],[object Object],[object Object]

Duration and Immunizing ,[object Object],[object Object],[object Object],[object Object]

An example: ,[object Object],[object Object],[object Object],[object Object],[object Object]

Immunization and Regulatory Concerns ,[object Object],[object Object],[object Object],[object Object],[object Object],[object Object]

*Limitations of Duration ,[object Object],[object Object],[object Object],[object Object],[object Object]

*Duration Measure: Other Issues ,[object Object],[object Object],[object Object],[object Object],[object Object]

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