portfolio-volatility

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...

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...