Question: How does bond prices are received for a bond for mark to market?
Answer: As you know, bond market is not exchange traded. Hence their prices are not directly available. Usually, a portfolio manager or trader will get indicative bids from several dealers and then use some process to determine the bid price used to mark the position.
Question: What is currency risk?
Answer: A non-dollar-denominated bond has unknown U.S. dollar cash-flows. The dollar cash-flows are dependent on the foreign-exchange-rate at the time the payments are received. And if foreign currency depreciates or dollar appreciates w.r.t that foreign currency. Then investor would receive less dollar than expected and that is known as currency risk.
Question: What is a volatility risk?
Answer: The risk that a change in volatility will adversely affect the price of a security is called volatility risk.
Question: What is the meaning of Vega for bonds?
Answer: Multifactor risk models often refer to volatility risk as Vega. Vega is the term used to measure the sensitivity of an option’s price to a change in volatility.