Risk
Risk Metrics and Hedging
DV01, Duration, Convexity, and Multi-Factor Hedging for Fixed Income
4 CPD credits on completion
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Certificate on completion
Downloadable resources
Self-paced learning
About This Course
Course Information
This course discusses several important concepts in the analysis of fixed-income portfolios: DV01, duration, and convexity. We extend the metrics to provide models that can hedge a wide range of different term structure movements.
Certificate on Completion
This course is made up of videos, questions and additional reading materials, and accounts for 4 units of CPD. One unit is the equivalent of one hour of learning. A certificate will be issued once you have completed all 4 units.
Course Sections
This course is made up of the following sections:
- Interest Rate Sensitivity (Video + Quiz)
- DV01 (Video)
- Constructing a Barbell Portfolio (Video)
- Multi Facto Approaches and Instrument Computation (Video)
- Course Completion Survey (Quiz)
- Additional reading materials
What You Will Learn
- Calculate DV01 (dollar value of a basis point) and explain why bond price increases from rate declines are larger than price decreases from rate increases
- Describe the one-factor interest rate model and distinguish between parallel and non-parallel yield curve shifts
- Explain duration and convexity as measures of bond price sensitivity to interest rate changes
- Apply DV01 to construct barbell portfolio hedges that match the interest rate sensitivity of a target position
- Compare yield-based DV01, DVDZ (spot rate sensitivity), and DVDF (forward rate sensitivity) and when each is used
- Describe multi-factor approaches to hedging that account for different term structure movements beyond parallel shifts
Who This Course Is For
- Fixed income analysts and portfolio managers who need to measure and hedge interest rate risk
- Risk professionals working with bond portfolios who need to apply DV01, duration, and convexity in practice
- Finance professionals preparing for FRM exams who want a focused course on fixed income risk metrics
Prerequisites
- Understanding of bond pricing fundamentals (coupon rates, yield to maturity, present value calculations)
- Basic knowledge of interest rate term structures and how bond prices move with rate changes
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Course Details
CPD Credits4
CertificateYes
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CPD certificate on completion
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