Lower-grade municipal bond price risk and sensitivity of price volatility to level of yields
S Lakshmivarahan, DR Stock - Journal of Risk Management in …, 2008 - ingentaconnect.com
Price volatility (variance) is a common measure of bond risk. Previous analysis has shown
price volatility to depend upon duration and the volatility of interest rates. A more complete …
price volatility to depend upon duration and the volatility of interest rates. A more complete …
[PDF][PDF] The Complex Effect of Yields on Bond Price Volatility
S Lakshmivarahan, DR Stock - 2007 - researchgate.net
The purpose of this research is to analyze the relationship of variance in bond price
changes, VP, to the level of interest rates (yields). We start by analyzing first and second …
changes, VP, to the level of interest rates (yields). We start by analyzing first and second …