A NOTE ON COMMON INTEREST RATE RISK MEASURES - Portfolio managers, traders, and risk managers need measures to quantify exposure to changes in interest rates. Two measures beyond duration that take into account interest rate exposure due to a change in the yield curve are partial durations and key rate durations. Par curve changes are used to compute partial durations, and the spot curve is used ...
Year of publication: |
2003
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Authors: | Buetow Jr, Gerald W. ; Fabozzi, Frank J. ; Hanke, Bernd |
Published in: |
The journal of fixed income. - New York, NY : Inst. Investor, Inc., ISSN 1059-8596, ZDB-ID 11161036. - Vol. 13.2003, 2, p. 46-54
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