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After completing this reading you should be able to:
- 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 ‘01s.
- Describe key-rate shift analysis.
- Define, calculate, and interpret key rate ‘01 and key rate duration.
- Describe the key rate exposure technique in multi-factor hedging applications; summarize its advantages and disadvantages.
- Calculate the key rate exposures for a given security, and compute the appropriate hedging positions given a specific key rate exposure profile.
- 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 analysis to estimating portfolio volatility.
0:00 Introduction
1:21 Major Weakness Attributable to Single
3:40 Key Rate Exposures
6:55 A Description of the Key-rate Shift Analysis
14:04 Key Rate '01s
17:55 Key Rate Duration
22:29 Multi-factor Hedging Applications
26:53 Relationship between Key Rates, Partial '01s and Forward-bucket '01s
36:21 Hedging across Forward-Bucket Exposures
44:09 Applying Key Rate and Multi-factor Analysis to Estimate Portfolio Volatility
22 июл 2024
