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partial-'01s

  1. Nicole Seaman

    P1.T4.913. Key rates versus partial-01s versus forward-buckets (Tuckman Ch.5)

    Learning objectives: Relate key rates, partial ’01s and forward-bucket ’01s, and calculate the forward-bucket ’01 for a shift in rates in one or more buckets. Construct an appropriate hedge for a position across its entire range of forward-bucket exposures. Apply key rate and multi-factor...
  2. Nicole Seaman

    P1.T4.911. Multi-factor interest rate risk models (Tuckman Ch.5)

    Learning objectives: Describe and assess the major weakness attributable to single-factor approaches when hedging portfolios or implementing asset liability techniques. Define key rate exposures and know the characteristics of key rate exposure factors including partial ‘01s and forward-bucket...
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