Hi David,
I have got to understand the Yield Curve concepts and would like to have clarifications on following matters
1) For a Pension Fund invested in long term bond an adverse factor is upward shift in Yield cuve ( Source BT study mat pg 115). Can you pls elaborate on this.
2) Is the yield curve dynamic and changes multiple times during a day or every day or weekly...i.e what is the frequency of this movements?
3) If your answer for above question is dynamic ( which i guess would be) then how would i as a risk manager get a comfort level on the portfolio positions in my bank?
4) Can you pls clarify implications of the following scenarios. (Source BT study mat pg 115)
a) Yield curve parallel shift by +- 100 bps
b) Yield curve twisting by +-25 bps
5) In real world scenario if I am a trader what should be my action in the following scenarios
a) I see that Yield curve is moving up.(parallel shift)
b) I see that it is moving down.(parallel shift)
c)I see that its becoming a structure with ups and troughs.
d) I see that its becoming upward sloping
e) I see that its becoming downward sloping
f) I see that its becoming a V shape
g)I see that its becoming an inverted V shape.
6) If there is any scenario which i have left above pls address even those.
Thanks & Warm Rgds
Amit :roll:
I have got to understand the Yield Curve concepts and would like to have clarifications on following matters
1) For a Pension Fund invested in long term bond an adverse factor is upward shift in Yield cuve ( Source BT study mat pg 115). Can you pls elaborate on this.
2) Is the yield curve dynamic and changes multiple times during a day or every day or weekly...i.e what is the frequency of this movements?
3) If your answer for above question is dynamic ( which i guess would be) then how would i as a risk manager get a comfort level on the portfolio positions in my bank?
4) Can you pls clarify implications of the following scenarios. (Source BT study mat pg 115)
a) Yield curve parallel shift by +- 100 bps
b) Yield curve twisting by +-25 bps
5) In real world scenario if I am a trader what should be my action in the following scenarios
a) I see that Yield curve is moving up.(parallel shift)
b) I see that it is moving down.(parallel shift)
c)I see that its becoming a structure with ups and troughs.
d) I see that its becoming upward sloping
e) I see that its becoming downward sloping
f) I see that its becoming a V shape
g)I see that its becoming an inverted V shape.
6) If there is any scenario which i have left above pls address even those.
Thanks & Warm Rgds
Amit :roll:
