## Key rate duration cfa

Cross-Reference to CFA Institute Assigned Topic Review #35. This topic Key rate duration—Measures bond price sensitivity to a change in a specific par rate  15 Feb 2012 CFA, Vice President, Wells Fargo Institutional Securities Portfolio duration, risk and strategies. □ Interest Rate Risk and Duration.

17 Apr 2018 Duration is a measure of interest rate risk of a debt security. Macaulay duration, modified duration, effective duration and key rate Access notes and question bank for CFA® Level 1 authored by me at studyingalpha.com  For a small and sudden change in bond, yield duration is a good measure of Duration, Modified Duration, Effective duration and Key rate duration which all  19 Nov 2015 Matt Tucker takes a look at two key fixed income concepts and The higher a bond's duration, the more the bond's price will change when interest rates Matt Tucker, CFA, is the iShares Head of Fixed Income Strategy and a  for well-funded plans, the focus should be on more closely matching the duration, key rate durations Note: Liability duration is approximately equal to the duration of the BBG Long Alex Pekker, PhD, CFA, ASA, Senior Investment Director

## Key rate duration is a measure of the sensitivity of a security or the value of a portfolio to a 1% change in yield for a given maturity.

Duration, convexity, and other key measures for assessing a bond’s sensitivity to interest rate risk are intro-duced. An explanation of credit risk and the use of credit analysis for risky bonds concludes the session. READING ASSIGNMENTS Reading 46 Understanding Fixed-Income Risk and Return by James F. Adams, PhD, CFA, and Donald J. Smith, PhD Effective Duration: Same as modified, but uses cash flows and rates that bake in the fact that a bond is callable or has some optionality, and therefore has less economic value given a certain scenario -- rates going down for example. Key rate duration (yield curve duration): Price sensitivity to certain changes in the yield curve, holding – LOS 46d: define key rate duration and describe the use of key rate durations in measuring the sensitivity of bonds to changes in the shape of the benchmark yield curve CFA Level I Video Series. CFA Preparation Platform. 3,000 CFA Practice Questions – QBank, Mock Exams, and Study Notes. I am reading the CFA L2 curriculum Bond Analysis section and it mentions that for a bond trading at par, the maturity-matched rate is the only rate that affects the bond's value and therefore the key rate duration for all the other rates except for the maturity-matched rate is zero.

### Duration is the weighted average time to receive the present value of each of the bond's coupon and principal payments. For example, a bond with a duration of three means that, on average, it takes three years to receive the present value of the bond's cash flows.

Key rate duration is computed by changing a single par rate, leaving all other par rates unchanged. It has some unusual implications for the spot curve; therefore, it has some unusual implications for bond prices. Key Rate Duration. What is the relationship between coupons and the moneness of a call. In specific, can someone please explain this statement: Callable bonds with options DEEP OUT OF THE MONEY have LOW COUPON RATES and therefore the HIGHEST DURATIONS.

### Philippe Vannerem, PhD. Anand S. Iyer, CFA duration, convexity or key rate durations have some limitations and may not be very efficient. Therefore we show

Key rate duration is computed by changing a single par rate, leaving all other par rates unchanged. It has some unusual implications for the spot curve; therefore, it has some unusual implications for bond prices. Key Rate Duration. What is the relationship between coupons and the moneness of a call. In specific, can someone please explain this statement: Callable bonds with options DEEP OUT OF THE MONEY have LOW COUPON RATES and therefore the HIGHEST DURATIONS. CFA Level III Fixed Income - Essential Concepts from CFA Level I and CFA Level II - Duration: 36:41. FinTree 14,937 views Key rate duration is the duration at specific maturity point on the yield curve. Keeping all other maturities constant, key rate duration is a measure of the sensitivity of a bond’s price to a 100 basis point change in yield for a given maturity. Duration is the weighted average time to receive the present value of each of the bond's coupon and principal payments. For example, a bond with a duration of three means that, on average, it takes three years to receive the present value of the bond's cash flows. The key rate duration of a given bond for a given maturity is the ratio of the percentage change in that bond’s price to the change in the par rate at that maturity, when the par rates at all other maturities remain unchanged.

## Duration is the weighted average time to receive the present value of each of the bond's coupon and principal payments. For example, a bond with a duration of three means that, on average, it takes three years to receive the present value of the bond's cash flows.

20e Bonds: Duration matching and Key-rate durations · 20f Bonds: Total return analysis · 20g Bonds: Classical (Standard) Immunization · 20h Bonds: Dollar  Adjusting portfolio duration is a key testable concept and calculation for the CFA about the duration, or sensitivity, of our portfolio to changes in interest rates. Cross-Reference to CFA Institute Assigned Topic Review #35. This topic Key rate duration—Measures bond price sensitivity to a change in a specific par rate

19 Nov 2015 Matt Tucker takes a look at two key fixed income concepts and The higher a bond's duration, the more the bond's price will change when interest rates Matt Tucker, CFA, is the iShares Head of Fixed Income Strategy and a  for well-funded plans, the focus should be on more closely matching the duration, key rate durations Note: Liability duration is approximately equal to the duration of the BBG Long Alex Pekker, PhD, CFA, ASA, Senior Investment Director Key rate duration (or partial duration) is a good measure of a bond’s sensitivity to a change in the benchmark yield curve for a specific maturity segment. Home CFA ® Key rate duration is a measure of the sensitivity of a security or the value of a portfolio to a 1% change in yield for a given maturity. Key rate duration is computed by changing a single par rate, leaving all other par rates unchanged. It has some unusual implications for the spot curve; therefore, it has some unusual implications for bond prices.