Key Rate Duration
Key Rate Duration — Bucketed rate sensitivity across curve points for relative-value and hedge construction.
Definition
Key Rate Duration refers to bucketed rate sensitivity across curve points for relative-value and hedge construction. 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 bucketed rate sensitivity across curve points for relative-value and hedge construction 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 key rate duration is saying. If bucketed rate sensitivity across curve points for relative-value and hedge construction 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 Key Rate Duration: what would falsify the current reading in the next window?
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