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elearning > Basis point value
Learn about the following:
What basis point value is. How it is calculated. What influences basis point value.
How firms use basis point value. The strengths and weaknesses of basis point value.
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Course Summary
- 45 minutes
- 8 question multiple choice test
- What basis point value is
- How it is calculated
- What influences basis point value
- How firms use basis point value
- The strengths & weaknesses of basis point value
Basis point value - the details
1. What basis point value is
- Changes in the yield curve
- What it shows
- Calculating BPV
- Bond example
- How much you can gain or lose
- A simple measure
2. What affects basis point value
- The maturity of a cash flow or instrument
- Comparing different maturities-example
- Adjusting BPV for interest rate expectations
- How interest rate levels affect BPV
- Significance-example at different interest rates
- Changes in BPV and therefore risk
- Changes to hedge ratios
3. How basis point value is used
- Risk limits
- How and why dealers increase or decrease BPV
- Hedge ratios-example and assumptions
4. Advantages & disadvantages
- Simplicity
- Use for portfolios
- No probability of losses
- Non-parallel changes in the yield curve
- Credit risks
5. Multiple choice test
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