Key Rate Durations

Some articles on key rate durations, rate, key, durations:

Fixed-income Attribution - Attribution On Mortgage-backed Securities - Key Rate Durations
... in detail, a single risk measure for interest-rate sensitivity is insufficient and a more detailed way of measuring changes across the entire term structure is required ... the most popular techniques to accomplish this is the use of key-rate durations (KRDs), introduced by Thomas Ho (1992) ... maturities on the yield curve as being the key rate durations, with typical values of 3 months, 1, 2, 3, 5, 7, 10, 15, 20, 25 and 30 years ...

Famous quotes containing the words key and/or rate:

    Sunshine of late afternoon—
    On the glass tray

    a glass pitcher, the tumbler
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    a key is lying—And the
    immaculate white bed
    William Carlos Williams (1883–1963)

    As a novelist, I cannot occupy myself with “characters,” or at any rate central ones, who lack panache, in one or another sense, who would be incapable of a major action or a major passion, or who have not a touch of the ambiguity, the ultimate unaccountability, the enlarging mistiness of persons “in history.” History, as more austerely I now know it, is not romantic. But I am.
    Elizabeth Bowen (1899–1973)