Is there a summary of all the effects of changes in Yield Curve that could be referenced from somewhere? Like for example -
when the duration of assets and liabilities are equal, if there is a parallel shift in Yield Curve - there is no change in economic surplus due to duration effects.
however, if the convexity of liabilities is lesser than assets, then decline in value of liabilities as a result of yield curve upward shift, will be more than the decline in value of assets…
… and cases like these