Timeline for Where to find risk report/models for treasury spreads trading?
Current License: CC BY-SA 3.0
3 events
| when toggle format | what | by | license | comment | |
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| May 25, 2017 at 5:41 | comment | added | Alexander | Yield curve risk is a risk of loss arising from a change in the shape of the yield curve. You can consider scenarios of the change in the shape of the yield curve: steepening/flattering; and assume that the worst case scenario would be your curve risk. | |
| May 23, 2017 at 8:05 | comment | added | A1122 | What's the industry standard approach to calculating curve risk? That's what I'm stuck on... | |
| May 23, 2017 at 3:05 | history | answered | Alexander | CC BY-SA 3.0 |