Basis Point Volatility vs Yield Volatility
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1. Context
In this short video from FRM Part 2 curriculum, we try and differentiate between basis point volatility and yield volatility. We encounter these volatility measures when looking at term structure models that play with the volatility term. The details of the reading in which this topic appears are given below:
| Area | Market Risk |
| Reading | The Art of Term Structure Models: Volatility and Distribution |
| Reference | Bruce Tuckman and Angel Serrat, Chapter 10. The Art of Term Structure Models: Volatility and Distribution In Fixed Income Securities, 3rd Edition (Hoboken, NJ: John Wiley & Sons, 2011). |