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

Professor Jessica James

Jessica James is a Senior Quantitative Researcher at Commerzbank AG in London. Prior to this she was Global Head of the Quantitative Investor Solutions Group at Citigroup and Head of Risk Advisory and Currency Overlay Team at Bank One. Before joining the City she lectured in physics at Trinity College, Oxford. Jessica is also a Visiting Professor at UCL and at The Business School, University of London. She holds a BSc in Physics from Manchester University and a D. Phil. in atomic and nuclear physics from Oxford University.

Professor James is author of a number of textbooks including Handbook of Foreign Exchange (Wiley), Interest Rate Modelling (Wiley), Currency Management (Risk books) and Random Walks in Fixed Income and Foreign Exchange (de Gruyter).