Investor Glossary-key rate durationInvestor Glossary-key rate durationInvestor Glossary-key rate durationInvestor Glossary-key rate durationInsightful stock market charts - Click here
investor
Categories    # A B C D E F G H I J K L M N O P Q R S T U V W X Y Z

Key Rate Duration

The HTML to link to this page
 

Key rate duration measures portfolio sensitivity or security sensitivity. Key rate duration is the sensitivity of a portfolio's (or security's) value in relation to a 1% change in yield for a given maturity. Duration is the value of a 1% change (100 basis points) in yield for a given maturity. Key rate duration is specialized form of duration. Key rate duration addresses the key rates which are the maturities of the U.S. Treasury spot rate curve. Key rate duration is calculated by changing the market rate for one specific maturity point on the yield curve while holding all other variables constant. Each key rate duration for a portfolio yield curve quote summed together are equal to the effective portfolio duration. The most common form of partial duration, key rate duration is often applied to rate changes that affect only a small part of the yield curve. Key rate duration is quoted as a percentage or in basis points.



Rate this Key Rate Duration definition...

Learn about investing with the Investor Glossary Term of the Day


Click here for insightful stock market charts. Where is the market headed? The answer may surprise you. Find out
with the exclusive & Barron's recommended charts of Chart of the Day.


Popular Terms: ex-dividend, deferred revenue, limit order, FTSE, stock split, APR, 401a, 144a, phantom income, debt service coverage, liquidity ratio, current ratio, diluted share, LIBOR, margin rate, minority interest, ex-dividend date, reverse mortgage, dividends payable, Zero Cost Collar, covered put, balance sheet, 1035 exchange, deferred tax, per diem, VIX, class C shares, wholly-owned subsidiary, required rate of return, EBITDA, real GDP, 1031 exchange, stock market close, in escrow, risk management, inflation, quality assurance, command economy, option premium, average price per share, Key Rate Duration, irrevocable trust, annual return, open position, cancelled check, retained earnings, FICO score, labor relations, implied volatility


Accounting | Banking | Bonds | Brokers | Economy | Futures | Mutual Funds | Options | Real Estate | Retirement | Stocks | Taxes | Technical Analysis
Investor Glossary | Term of the Day | Suggest a Term | Chart of the Day | Dogs of the Dow
©2004-2015 Investor Glossary - All rights reserved - Terms of Use