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The Impact of Credit Risk and Implied Volatility on Stock Returns

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As a matter of sound investment practice, FHLBanks should be able to measure the price sensitivity for individual securities and for the entire portfolio. In general, techniques used to measure the risk of individual securities are also appropriate for the entire portfolio. To estimate portfolio sensitivity, FHLBanks generally use, at a minimum, duration. Because of the presence of options in most portfolios, duration may not be an effective risk measure. Because of negative convexity, due to the existence of options in the portfolio, a portfolio may gain 2 percent when rates fall 100 basis points.

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