This monologue podcast is a lecture on bond trading strategies and credit risk assessment. The speaker begins by explaining trading strategies based on yield curve steepening or flattening, illustrating with examples of short-term and long-term bond buying and selling. The lecture then delves into calculating portfolio weights to achieve a neutral PV01, incorporating duration and convexity adjustments for more accurate price estimations. Finally, the speaker discusses credit risk, focusing on expected loss calculations, recovery rates, and the role of credit rating agencies, highlighting the importance of cash flow analysis in creditworthiness assessment. An example of a practical takeaway is the calculation of effective duration for bonds with embedded options, providing a method for estimating price changes based on yield fluctuations.
