Duration, Convexity and Other Risk Measures

Dear Fixed Income Professional:

We invite you to register for access to the replay of our recently recorded webcast: Duration, Convexity and Other Risk Measures

Recording Info:

Topic:
Recorded:
Duration:
Cost:

Duration, Convexity and Other Risk Measures
Thursday, July 29, 2010
1 hour
Free

Recording Description:

Effective duration and convexity are widely used in fixed income portfolio management to quantify the price sensitivity of securities to interest rate changes. An intuitive understanding of these concepts is necessary to better understand the multi-faceted risks of fixed income.

This session provides a review of the various definitions of duration and convexity and explores the concepts from first principle. Applications for these risk measures are demonstrated using analysis on a variety of different security types, including bonds with embedded options and interest-sensitive prepayments. A review of the BondEdge Multi-Factor Term Structure Model and its effects on RMBS effective duration and convexity measures is also discussed.

Panelist Info:

William Burns, Ph.D.
Senior Vice President, Director of Quantitative Research
William Burns, Ph.D., is Director of Quantitative Research at Interactive Data Fixed Income Analytics. In this role, Dr. Burns leads the Research team that develops and supports the quantitative models (e.g., term structure, option and prepayment) as well as all security-level analytics integral to our bond- and portfolio-level product offerings and services. Prior to joining Interactive Data Fixed Income Analytics in 1996, Dr. Burns served as Adjunct Professor of Mathematics for Chapman University and the University of California Irvine. Dr. Burns holds a Ph.D. in Applied Mathematics from the University of California, Irvine.

Christina Oberlin, Ph.D.
Senior Quantitative Analyst
Christina Oberlin, Ph.D., joined Interactive Data Fixed Income Analytics as a Senior Quantitative Analyst in 2007. In this role, she advises the Client Services Group on client inquiries and modeling and market issues and works with the Quantitative Research Group on the analytic integrity of the BondEdge platform and Fixed Income Analytics Data Feed products. Christina holds a B.S. in Mathematics and Physics from Florida State University and a Ph.D. in Computer Science, with specialty in Numerical Optimization, from the University of Wisconsin-Madison.

Louis J. Gehring
Senior Vice President, BondEdge Product Manager
Louis J. Gehring is Senior Vice President, BondEdge Product Management at Interactive Data Fixed Income Analytics. Mr. Gehring brings more than twenty years of product management experience and fixed income market expertise, having joined the business in 1991. Mr. Gehring leads our efforts to listen to customer and market demands and to ensure that we continuously improve our BondEdge product allowing it to become more valuable and mission critical to our customer’s business process over time. Mr. Gehring speaks regularly at industry conferences and specializes in the topics of performance attribution and fixed income portfolio risk analysis. Prior to Interactive Data, Mr. Gehring worked as a pension fund consultant in the trust department at Citibank and at the Irving Trust Company. Mr. Gehring holds an MBA from SUNY, Buffalo, and a BS in Physics from Rensselaer Polytechnic Institute.

Sincerely,
Jeffrey Foley
Vice President, Director of Analytic Solutions
Interactive Data Fixed Income Analytics

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