partial-'01s

  1. A

    Terminology of key-rate exposures, Partial '01s, key rate 01s (KR01s)

    Hi, I am wondering what is terminolgy regarding key-rate exposures, Partial '01s, key rate 01s (KR01s)? On page 168 of "Valuation and Risk Models", it is said that "...The impact of shifts, such as the ones shown in Figures 13.2 through 13.4, are sometimes referred to as partial 01s or key...
  2. Nicole Seaman

    P1.T4.913. Key rates versus partial-01s versus forward-buckets (Tuckman Ch.5)

    Learning objectives: Relate key rates, partial ’01s and forward-bucket ’01s, and calculate the forward-bucket ’01 for a shift in rates in one or more buckets. Construct an appropriate hedge for a position across its entire range of forward-bucket exposures. Apply key rate and multi-factor...
  3. Nicole Seaman

    P1.T4.911. Multi-factor interest rate risk models (Tuckman Ch.5)

    Learning objectives: Describe and assess the major weakness attributable to single-factor approaches when hedging portfolios or implementing asset liability techniques. Define key rate exposures and know the characteristics of key rate exposure factors including partial ‘01s and forward-bucket...
    • Nicole Seaman
    • Thread
    • asset-liability-techniques forward-bucket-01 hedging-portfolios interest-rate-risk-models key-rate-exposures key-rate-shift-analysis multi-factor-models partial-'01s single-factor-approach
    • Replies: 0
    • Forum: FRM® Practice Questions
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