Beyond convexity
研究了百年期债券在疫情期间收益率波动加剧时，凸性作为缓冲的重要性，并指出更高阶风险项不应被忽视。
Who says fixed income is boring? 100y bonds were exhibiting price swings larger than in many speculative stocks while yields were still in a relatively confined range. Duration is the main contributor and convexity an important buffer. We demonstrate how higher risk-terms become more relevant and should thus not be neglected at times when larger yield moves become more likely amid the pandemic