Duration & Yield Curve Analysis for Asset & Liability Management
•
0 likes•240 views
Key Rate Duration is considered an important tool for effective interest rate risk management at the ALM desk. It looks at a single or a selective few tenors' rate change in contrast to rate changes across the entire yield curve as in effective duration
Recommended
More Related Content
Viewers also liked
Recently uploaded
Recently uploaded (20)
Duration & Yield Curve Analysis for Asset & Liability Management
- 1. Duration & Yield Curve Analysis for Asset & Liability Management Macaulay Duration Modified Duration Portfolio Duration Effective Duration Key Rate Duration hisham's writing pad/ALM/Duration
- 2. Macaulay Duration hisham's writing pad/ALM/Duration
- 3. Modified Duration hisham's writing pad/ALM/Duration
- 4. Portfolio Duration hisham's writing pad/ALM/Duration
- 5. Effective Duration hisham's writing pad/ALM/Duration
- 6. Key Rate Duration hisham's writing pad/ALM/Duration