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key-rate-duration

  1. S

    Key Rate Duration Question

    Dear David: I've seen your name occasionally on AnalystForum and your reputation precedes you. Recently, I was discussing key rate duration with Marc LeFebvre and he said that he had gotten many ideas on key rate duration from a video of yours, which he shared with me. The question deals with...
  2. 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...
  3. F

    Interest Rate Swaps (Key Rate Duration)

    I am trying to understand why KRD levels are most sensitive closer to the maturity of a pay-fixed swap. Let’s say for example, I have a 10-year vanilla pay-fixed swap. The KRD is highest at the 10yr, around 4.54. One side of the transaction is fixed and the swap is essentially a bet on LIBOR...
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