key-rate-'01

  1. A

    Terminology of key-rate exposures, Partial '01s, key rate 01s (KR01s)

    Hi, I am wondering what is terminolgy regarding key-rate exposures, Partial '01s, key rate 01s (KR01s)? On page 168 of "Valuation and Risk Models", it is said that "...The impact of shifts, such as the ones shown in Figures 13.2 through 13.4, are sometimes referred to as partial 01s or key...
  2. A

    P1.T4 "Valuation & Risk Model" EOC 13.14

    question: Suppose that the 12-month and 30-month spot rates are chosen as key rates. Plot the key rate 01 shifts. why is the 12-month shift plotted so that the shift starts from maturity 0 and then starts the decline from maturity 1 (12 months) onwards whereas the plotting the 30.month spot...
  3. Nicole Seaman

    P1.T4.912. Key rate exposure technique in multi-factor hedging applications (Tuckman Ch.5)

    Learning objectives: Define, calculate, and interpret key rate ’01 and key rate duration. Describe the key rate exposure technique in multi-factor hedging applications; summarize its advantages and disadvantages. Calculate the key rate exposures for a given security, and compute the appropriate...
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