Yield Curve
Risks
Term Structure
Mixed
100
The plot of yield to maturity against time to maturity or against a risk measure
Yield Curve
100
The risk of realizing losses due to changes in the levels of interest rates
Level risk
100
The relationship between the yield to maturity of default-free zero coupon securities and their maturities
Term structure of interest rates
100
The relationship between the yield to maturity and time to maturity of bonds that sell at their par value
Par bond yield curve
200
What are the three types of risks?
Levels risk, slope risk, and curvature risk
200
The risk of realizing losses due to changes in the slope of the yield curve
Slope risk
200
The yield to maturity on a default-free zero coupon bond
Spot rate of interest
200
What does STRIPS stand for?
Separate Trading or Registered Interest and Principal Securities
300
Unobserved economic variables
Latent variables
300
The risk of realizing losses due to changes in the shape of the yield curve
Curvature risk
300
The relationship between the spot rate of a pure discount bond and its maturity
Spot curve
300
A nonlinear curve-fitting scheme that assumes that the par bond yield is a polynomial function in maturity
Cubic spline procedure
400
A measure of the variability of interest rates relative to their expected average levels
Volatility
400
What is another term for a zero coupon bond?
Pure discount bond
500
Which kind of interest rates are more volatile?
Short term interest rates
500
The procedure of trying to estimate zero coupon bond prices based on the prices of coupond bond prices
Bootstrapping
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