A way to measure the sensitivity of a security or a portfolio in relation to a change in yield of 1 percent (100 basis points) for a specific maturity. It is determined by changing the market rate for one maturity point on the yield curve while subsequently keeping all of the other variables the same. Key rate duration is also used to address the key rates that are the maturities of the United States Treasury spot rate curve.
Related information about key rate duration:
- Key Rate Duration Definition | Investopedia
There are 11 maturities along the Treasury spot rate curve, and a key rate duration is calculated for each. The sum of the key rate durations along a portfolio ...
- BondEdge - fixed income portfolio and credit risk analytics
To compute the 5-year Key Rate Duration, the shift at the 5-year point is fully absorbed ... For bullet maturity assets and liabilities, the largest Key Rate Duration ...
- What is Key Rate Duration? - Investor Glossary
What is Key Rate Duration? Find out right now with a helpful definition and links related to Key Rate Duration.
- J.P. Morgan | Key Rate Risk: Looking Beneath the Surface of Interest ...
In conjunction with such complementary tools such as Value at Risk (VaR) and the dollar value of one basis point (DV01), key rate duration offers managers a ...
- Fixed-income attribution - Wikipedia, the free encyclopedia
In other words, a key rate duration measures the effect of a change in the yield ... At each key-rate duration, we know the change in the curve's yield, and can ...
- What is key rate duration? definition and meaning
Definition of key rate duration: A way to measure the sensitivity of a security or ... Key rate duration is also used to address the key rates that are the maturities of ...
- BT2012.P2.04. Key rate duration | Bionic Turtle
Question: 4. Your colleague Roger calculated a set of key rate 01s (KR01) for a bond and shared them with you, below, but he forgot to include ...
- Key rate shift: calculation - YouTube
Jul 11, 2008 ... In this screencast, I show an actual key rate duration calculation. The key rate duration is the approximate percentage change in bond price ...