Looking at the key rate durations, what that is saying is, for example with the 2 year maturity, is that a for a 100 bps shift up in the 2 year point the bond will lose 2%. But what are the portfolio key rate exposures telling us?
I really don't understand this question, in the answer it looks like they take the key rate duration and multiply by the portfolio key rate duration and then the change in yield. What exactly is this telling us?
Cheers
Edited 2 time(s). Last edit at Sunday, May 30, 2010 at 08:22AM by mambovipi.作者: redskins44 时间: 2011-7-13 16:01
The portfolio key rate exposure is the amount in fixed income securities that will change in value if the key rate changes. What you're trying to do is obtain the weighted average key rate duration for the entire portfolio, so you would take the key rate duration and take the weighted average. Add them up and you get the portfolio key rate duration.
NO EXCUSES作者: FinancialAnaly 时间: 2011-7-13 16:01
Remember key rate duration is used to understand the impact of nonparallel (key point) shifts in the yield curve. Rest of it is a mathematical exercise as explained by bpdulog.作者: stalkey 时间: 2011-7-13 16:01
Thanks for the help but I guess what I'm trying to understand here is what is the difference between portfolio key rate duration and key rate duration??作者: RMontgomery 时间: 2011-7-13 16:01
portfolio key rate is the weighted average key rate of the individual securities
