Recorded Webinar: To Convexity and Beyond - Jessica James


If you missed last week webinar the recording and slides are now available:

To Convexity and Beyond: the bizarre recent behaviour of long-dated bonds and how to hedge their risk

• The recent period of low and negative interest rates has incentivised governments to issue very long dated bonds with tenors up to a century, whose positive coupons made them irresistible to investors like insurers and pension funds

• However, the long tenors mean that for large yield changes, terms beyond convexity become significant. Traditional intuition of how the bonds will behave becomes misleading

• In this webinar Professor Jessica James shows how to derive these further terms which have eroded the protective effect of convexity as yields have risen and bond values have fallen by over 50% in some cases

• She also investigates which instruments can be used to hedge the risks exhibited by these bonds

Slides available from