Risk measurement for fixed income and Investment banking and brokerage Guide - Finance Review

Basis Point Value
Definitions of price value of a basis point move provided by the Kuala Lumpur Stock Exchange's Riiam Information System.
 
Finpipe.com: Duration and Convexity
Definitions and applications by finpipe.com.
 
CFOcenter.com: Convexity
An article by JC Bradford and Co. from January 2000 describing convexity properties for bonds with and without options.
 
Bond Returns and Characteristics
A primer on bond yield definitions and sensitivity to changes in price.
 
The Concept of Duration Sharpened
Definitions, along with mathematical presentation, of various measures of a bond's sensitivity to interest rate movement.
 
Bond Prices and Sensitivities
A series of lecture notes by professor G. William Schwert of the University of Rochester that details duration and convexity math and applications.
 
Convexity and the Term Structure of Interest Rates
Lecture notes from the University of Illinois.
 
Convexity
Part of a lecture note by Soeren Nielson of the University of Copenhagen.
 
Interest Rate Risk Management
Lecture notes by P.V. Viswanath of Pace University on the measurement and management of interest-rate risk.
 
Duration Calculator
Tool that calculates yield-to-maturity and duration from price and coupon data. Click on 'Risk Hedger.'
 
Risk Measures: Duration and Convexity
Definitions and applications of bond risk measures by Contingency Analysis.
 
Interest Rate Risk
Detailed class notes that describe the main theories of the term structure of interest rates, including expectations, liquidity and preferred habitat theories.
 
MacCauley and Modified Duration
Calculations and definitions of duration measurement. Part of a lecture by Soeren Nielson of the University of Copenhagen.
 
Interest Rate Risk and Duration Characteristics
Lecture notes from the University of Illinois.
 
Duration Matching and Convexity
Lecture notes from the University of Illinois.
 
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