key-rate-exposure

  1. Nicole Seaman

    P1.T4.912. Key rate exposure technique in multi-factor hedging applications (Tuckman Ch.5)

    Learning objectives: Define, calculate, and interpret key rate ’01 and key rate duration. Describe the key rate exposure technique in multi-factor hedging applications; summarize its advantages and disadvantages. Calculate the key rate exposures for a given security, and compute the appropriate...
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