Convexity definition

Convexity. NPV change (+/-100 bps) — net aggregate PV01 * 100 bps Value-at-Risk (VaR) is defined as the maximum potential loss in the value of a portfolio of financial instruments with a given probability over a certain horizon (the holding period). The 99%, 10-day VaR is a measure of the potential loss that can be experienced with a 99% confidence level and for a holding period of 10 business days. Interest rate risk is measured through a parametric VaR approach. A parametric model assumes a parametric probability distribution of the risk factor returns, e.g. often a normal distribution is assumed. The idea behind parametric methods is to approximate the return function in order to obtain an analytical formula for VaR, based on standard mathematical properties. The VaR calculation has the following form: where represents the variance-covariance matrix of the risk factors and is the vector of exposures of this portfolio on these risk factors (that is, the sensitivity for interest rates risk on the different interest rate curves buckets). The c term is equal to the corresponding %-percentile of the one-dimension standard normal distribution multiplied by . This term stands for the scaling of a 1-day horizon to a 10-day horizon.
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Examples of Convexity in a sentence

  • A Convexity‌ Convexity of tripartite intrinsic non-locality is another important property because convex combinations of no-signaling correlations are also valid no-signaling correlations.

  • Convexity is an additional measure used to understand a security’s or Fund’s interest rate sensitivity.

  • Convexity is the price measure of how much a bond's price/yield curve deviates from a straight line (measure of the degree of curvature of the price/yield relationship).

  • Convexity measures the rate of change of duration in response to changes in interest rates.

  • Convexity is defined as the positive deviation from flat across the rolling face of the ingot.

  • Convexity is an additional measure used to understand a security’s or Fund’s interest rate sensitivity.Convexity measures the rate of change of duration in response to changes in interest rates.

  • Participation in the Convexity Day, held by the MPI für Mathematik in den Naturwissenschaften Leipzig.

  • COUNTY OF ▇▇▇▇ ) The foregoing instrument was acknowledged before me this day of , 2017, by , as of Convexity Management LLC, a Delaware limited liability company, a Manager of Core West Lafayette State Street LLC, a Delaware limited liability company.