Duration Risk
Duration Risk — Interest-rate sensitivity of bond portfolios, amplified in low-yield high-duration regimes.
Definition
Duration Risk refers to interest-rate sensitivity of bond portfolios, amplified in low-yield high-duration regimes. Keep that definition fixed when comparing series, managers, or regimes — renaming the same tape does not create a new signal.
Why it matters
Duration, curve, and carry decide whether a macro view survives into P&L. When interest-rate sensitivity of bond portfolios, amplified in low-yield high-duration regimes shifts, related hedges, limits, and narratives usually need an explicit update rather than a quiet assumption.
Case
Suppose a desk is positioned for the opposite of what duration risk is saying. If interest-rate sensitivity of bond portfolios, amplified in low-yield high-duration regimes moves against that book, the first question is not “is the story clever?” but whether size, hedges, and stop logic still match the observation.
How to read it
Always state the tenor and roll-down assumption; parallel-shift shortcuts hide curve risk. Prefer a short written null hypothesis for Duration Risk: what would falsify the current reading in the next window?