yield duration convexity

Educational articles in this subcategory.

Negative Convexity and Mortgage Securities

--- title: "Negative Convexity and Mortgage Securities" description: "Why MBS prices cap gains when rates fall and extend losses when rates rise. Ma...

advanced2025-12-29

Key Rate Duration to Measure Curve Risk

**Effective duration assumes all rates move in lockstep.** They don't. In the 2013 Taper Tantrum, the 10-year yield surged **150 basis points** while ...

advanced2025-12-29