Key Rate Duration

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  • Опубліковано 20 вер 2024
  • A short video on how to use Key Rate Duration to assess the price change for a bond (portfolio) with respect to interest rate changes.

КОМЕНТАРІ • 24

  • @jerrywu4815
    @jerrywu4815 4 роки тому +14

    G10 is not Modified Duration. it is Macaulay Duration.

  • @ehsiao412
    @ehsiao412 4 роки тому +1

    Thank you for the informative video. Note: M5 is YTM for zero coupon bond = spot rate. If YTM is not for zero coupon bond, it can’t be use as spot rate to calculate D5.

  • @wangjohn6546
    @wangjohn6546 2 роки тому +3

    Your calculation of Key Rate Duration is wrong. You were using Macaulay duration for G10.

  • @tarunnegi3796
    @tarunnegi3796 5 років тому +1

    this is the best explanation till date. I hope you have other similar vedios on Fixed Income

  • @tarunnegi3796
    @tarunnegi3796 5 років тому +2

    I think if you can more such videos, it can help a lot of students.

  • @G2GtakeaShit
    @G2GtakeaShit 6 років тому +1

    Very well explained, thank you for this video!

  • @mihael1251
    @mihael1251 3 роки тому +2

    Sum of weighted CFs * N = Mac.Dur, not Mod.Dur.
    Mod.Dur = Mac.Dur / (1+r)

  • @monicatian8168
    @monicatian8168 2 роки тому

    very helpful to understand this concept

  • @chidieze5586
    @chidieze5586 2 роки тому

    Well explained...but I think you mistook Modified Duration for Macaulay Duration. But an interesting one in all respect

  • @smg95837
    @smg95837 8 місяців тому

    Please make more videos 🙏🙏🙏

  • @mouktikadak7534
    @mouktikadak7534 5 років тому +2

    thanks for the video. could you please explain a possiblity of s negative key rate duration when the coupon rate is below the par curve.

    • @jagatdave
      @jagatdave 3 роки тому

      This is exactly the question.. answer of question which I am searching...can you help me here

  • @machoasp
    @machoasp Рік тому

    If I find key rate duration of my portfolio with 10 bonds is 2.50..and 3yr rate if forecasted to increase in short term..what decision should I make

  • @fizi354
    @fizi354 3 роки тому

    amazing video

  • @jingfenghong2312
    @jingfenghong2312 4 роки тому

    Amazing tutorial

  • @rahulghorui1460
    @rahulghorui1460 4 роки тому

    very well explained !!!

  • @ivyg9827
    @ivyg9827 5 років тому +1

    amazing! thank you!

  • @smjforu
    @smjforu 3 роки тому

    Amazing.. Thanks a lot

  • @jonathan.cachay
    @jonathan.cachay 4 роки тому

    Nice and easy! La hiciste hermosa.

  • @moritzmuller8075
    @moritzmuller8075 4 роки тому

    Hi! Kannst du mir sagen wie du in excel den non-parallel shift hinbekommen hast wenn du in der Spalte N9 die 50 Basispunkte eingegeben hast? Also wie bastelt man den abnehmenden Zins? Vielen Dank!

  • @priyankagattani4480
    @priyankagattani4480 5 років тому +1

    Hi,
    I have a small doubt that in case of Parallel shift in curve if the yield increase by 50 bsp then such increase will affect the yield curve equally, but in case of Non parallel shift in yield curve if the yield increase by 50bsp at period 1 then the new yield for period 2 and onward is changing by what rate? I mean how you calculated the new yield?

  • @musarra195
    @musarra195 6 років тому

    Very helpful. Thank you