The relationship between yields and maturities for similar bonds. Its shape reflects expectations, risk premiums and supply.
Where you will meet it
Yield curve comes up in 21 learning outcome notes across the FRM syllabus.
A few of them:
Properties of Interest Rates FRM Part I · Financial markets and products
“Only pure expectations implies that the maturity mix of debt supply has no effect on the term structure.”
Interest Rates FRM Part I · Valuation and risk models
“A bond's price is the present value of its remaining cash flows, so as time passes with the yield curve unchanged the price moves in a predictable way.”
Estimating Default Probabilities FRM Part II · Credit risk measurement and management
“The term structure also depends on the rating.”
The Investment Function in Financial-Services Management FRM Part II · Liquidity and treasury risk measurement and management
“The yield curve guides maturity choice and duration measures the price risk of that choice.”
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