kr01

Learning Objectives: Describe an interest rate bucketing approach, define forward bucket 01, and compare forward bucket 01s to KR01s. Calculate the corresponding duration measure given a KR01 or forward bucket 01. 24.17.1. An investment analyst is calculating the forward bucket 01 of a bond...

Learning Objectives: Describe the principal components analysis and explain its use in understanding term structure movements. Calculate the KR01s of a portfolio given a set of key rates. Apply key rate analysis and principal components analysis to estimating portfolio volatility. Questions...