... structure of the analysis focuses on understanding the dynamics within the context of risk management. While we ultimately want to understand the relationship between credit risk, including the risk ... over the change in the 10-year Treasury bond yield, the change in slope (defined as the difference between 10-year and 2-year Treasury bond yields), the convexity, the change in leverage, the ... category. They find significant negative correlations in the changes in interest rates, insignificant negative correlations in the convexity, and insignificant negative correlations in the change in...