Market Risk Measurement: Key Rate Duration as an asset allocation instrument

David Zeballos

MPRA Paper from University Library of Munich, Germany

Abstract: Currently, the financial institutions are exposed to different types of risks, including the market, credit and operational risks; therefore, there has increased the need for new financial and analytical instruments for the risk management. Among the traditional ones we have the duration, which measures the bond price sensitivity to changes of interest rates. Nevertheless, it has two disadvantages: it assumes parallel changes in the yield curve and it is inaccurate if we consider large percentage changes. In this sense, a tool that allows correcting these disadvantages is The Key Rate Durations. The present work tries to provide an additional tool to the investment analysis, so the economic agents can adopt better decisions.

Keywords: Market risk; Duration; Key Rate Duration (search for similar items in EconPapers)
JEL-codes: G12 G32 (search for similar items in EconPapers)
Date: 2011-08-26
References: View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
https://mpra.ub.uni-muenchen.de/46057/1/MPRA_paper_46057.pdf original version (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:46057

Access Statistics for this paper

More papers in MPRA Paper from University Library of Munich, Germany Ludwigstraße 33, D-80539 Munich, Germany. Contact information at EDIRC.
Bibliographic data for series maintained by Joachim Winter ().