Concepedia

Bond Convexity

Bond Convexity is a second-order interest rate risk metric that measures the curvature in the relationship between bond prices and yields, capturing the extent to which the duration of a bond changes as interest rates fluctuate.

9

Publications

316

Citations

19

Authors

10

Institutions

Publications per year

2017–2026

0

Parents

Publications

9

RISK MEASURES: RATIONALITY AND DIVERSIFICATION

Simone Cerreia‐Vioglio, Fabio Maccheroni, Mássimo Marinacci et al. · Mathematical Finance · 2010 · 126 citations · Full text

, , +13

Using Duration and Convexity in the Analysis of Callable Bonds

Mark L. Dunetz, James M. Mahoney · Financial Analysts Journal · 1988 · 41 citations

, , +10

Relative Risk Of Islamic Sukuk Over Government And Conventional Bonds

Ravindran Ramasamy, Shanmugam Munisamy, Mohd Hanif Mohd Helmi · Global Journal of Management and Business Research · 2011 · 37 citations · Full text

, , +13

Duration, Convexity, and Time as Components of Bond Returns

Don M. Chance, James V. Jordan · The Journal of Fixed Income · 1996 · 29 citations

, , +17

Convexity, Risk, and Returns

Nelson Lacey, Sanjay K. Nawalkha · The Journal of Fixed Income · 1993 · 26 citations

, , +17

1–5 of 9

Authors

19

  1. AI
    Antti Ilmanen

    Capital University, United States

    1 publications · 16 citations

    1

    h-index

  2. RI
    Ray Iwanowski

    Goldman Sachs (United States), United States

    1 publications · 16 citations

    1

    h-index

  3. DM
    Don M. Chance

    Virginia Tech, United States

    1 publications · 29 citations

    1

    h-index

  4. RR
    Ravindran Ramasamy

    Universiti Tun Abdul Razak, Malaysia

    1 publications · 37 citations

    1

    h-index

  5. DB
    David Blake

    City, University of London, United Kingdom

    1 publications · 13 citations

    1

    h-index

1–5 of 19

Institutions

10

  1. University of Massachusetts Amherst

    Amherst Center, United States

    1 h-index

    2 publications

    52 citations

  2. European College of Business and Management

    London, United Kingdom

    1 h-index

    1 publications

    16 citations

  3. Goldman Sachs (United States)

    New York, United States

    1 h-index

    1 publications

    16 citations

  4. Birkbeck, University of London

    London, United Kingdom

    1 h-index

    2 publications

    26 citations

  5. Collegio Carlo Alberto

    Moncalieri, Italy

    1 h-index

    1 publications

    126 citations

  6. University of Baltimore

    Baltimore, United States

    1 h-index

    1 publications

    26 citations

  7. George Washington University

    Washington, United States

    1 h-index

    1 publications

    29 citations

  8. Decision Sciences (United States)

    Fort Walton Beach, United States

    1 h-index

    3 publications

    378 citations

1–8 of 10

Venues

  1. The Journal of Fixed Income

    4 publications · 84 citations

    4

    h-index

  2. Financial Analysts Journal

    FAJ · 2 publications · 52 citations

    2

    h-index

  3. Mathematical Finance

    1 publications · 126 citations

    1

    h-index

  4. The Journal of Risk Finance

    1 publications · 17 citations

    1

    h-index

  5. 1

    h-index

1–5