Convexity Risk
Fixed-income terms for convexity, negative convexity, and yield-curve risk.
Duration, convexity, curve-risk, holding-period, and interest-rate sensitivity terms for fixed income.
Duration, convexity, and rate-risk terms explain how bond prices may change when interest rates, yield curves, and expected holding periods change.
Use this branch when the main risk is price sensitivity to rates rather than only issuer default.
| Area | Use it for |
|---|---|
| Duration Measures and Price Sensitivity | Duration, modified duration, Macaulay duration, effective duration, dollar duration, key-rate duration, and average life. |
| Convexity and Yield Curve Risk | Convexity, negative convexity, and yield-curve risk. |
| Holding Period and Treasury Curve Context | Anticipated holding period, interpolated yield curves, and on-the-run Treasury curve context. |
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Fixed-income terms for convexity, negative convexity, and yield-curve risk.
Fixed-income terms for average life, duration, dollar duration, effective duration, key-rate duration, Macaulay duration, and modified duration.
Fixed-income terms for anticipated holding periods, interpolated yield curves, and on-the-run Treasury yield curves.