Fixed income: Carry roll down (FRM T4-31)
18 هزار بار بازدید -
5 سال پیش
-
Financial Risk Manager (FRM, Topic
Financial Risk Manager (FRM, Topic 4: Valuation and Risk Models, Fixed Income, Bruce Tuckman Chapter 3, Returns, Spreads and Yields). The Carry-Roll-Down is the price change in the bond due exclusively to the passage of time. It is only one component of a bond's total profit and loss (P&L). The bond's total P&L equals Price Appreciation plus Cash Carry (i.e., coupon). Price Appreciation equals Carry-Roll-Down plus Price Change due to Shift in Rates (market risk) plus Price Change due to spread narrowing/widening (credit risk). Discuss this video here in our FRM forum: https://trtl.bz/2WkA3AA
Subscribe for future tutorials on expert finance and data science https://www.seevid.ir/c/bionicturtl...
Our email contact is [email protected] (I can also be reached at [email protected])
For other videos in our Financial Risk Manager (FRM) series, see one of the following playlists:
Texas Instruments BA II+ Calculator
Texas Instruments BA II+ Calculator
Risk Foundations (FRM Topic 1)
Risk Foundations (FRM Topic 1)
Quantitative Analysis (FRM Topic 2)
Quantitative Analysis (FRM Topic 2)
Financial Markets and Products: Intro to Derivatives (FRM Topic 3, Hull Ch 1-7)
Financial Markets and Products: Intro...
Financial Markets and Products: Option Trading Strategies (FRM Topic 3, Hull Ch 10-12)
Financial Markets and Products: Optio...
FM&P: Intro to Derivatives: Exotic options (FRM Topic 3)
FM&P: Intro to Derivatives: Exotic op...
Valuation and RIsk Models (FRM Topic 4)
Valuation and RIsk Models (FRM Topic 4)
#bionicturtle #risk #financialriskmanager #FRM #finance #expertfinance
Subscribe for future tutorials on expert finance and data science https://www.seevid.ir/c/bionicturtl...
Our email contact is [email protected] (I can also be reached at [email protected])
For other videos in our Financial Risk Manager (FRM) series, see one of the following playlists:
Texas Instruments BA II+ Calculator
Texas Instruments BA II+ Calculator
Risk Foundations (FRM Topic 1)
Risk Foundations (FRM Topic 1)
Quantitative Analysis (FRM Topic 2)
Quantitative Analysis (FRM Topic 2)
Financial Markets and Products: Intro to Derivatives (FRM Topic 3, Hull Ch 1-7)
Financial Markets and Products: Intro...
Financial Markets and Products: Option Trading Strategies (FRM Topic 3, Hull Ch 10-12)
Financial Markets and Products: Optio...
FM&P: Intro to Derivatives: Exotic options (FRM Topic 3)
FM&P: Intro to Derivatives: Exotic op...
Valuation and RIsk Models (FRM Topic 4)
Valuation and RIsk Models (FRM Topic 4)
#bionicturtle #risk #financialriskmanager #FRM #finance #expertfinance
5 سال پیش
در تاریخ 1398/02/19 منتشر شده
است.
18,020
بـار بازدید شده