金融双语 关键利率久期

Key Rate Duration

关键利率久期 我们知道,修正久期是用来衡量债券组合对收益率曲线平行移动的敏感性的一种方法.那么,如何来衡量债券组合对收益率曲线形状变化的敏感性呢？关键利率久期就是这样一种方法,它可以用来比较具有相同修正久期的两个（或多个）债券组合的收益率曲线风险.这种方法是在保持收益率曲线上其他收益率不变的情况下,改变特定期限的收益率,进而衡量债券组合对这种变化的敏感性.债券价格对特定收益率变化的敏感性称为利率久期.

Key Rate Duration As we know,modified duration is one of the methods to measure a bond portfolio＇s sensitivity to a parallel shift in the yield curve. Then, how to evaluate the sensitivity of a bond portfolio to changes in the shape of the yield curve？ Key rate duration is such kind of approach. It can be used to compare exposure to yield curve risk two （or more） bond portfolios with the same modified duration. It is to change the yield for a particular maturity of the yield curve and determine the sensitivity of a portfolio to this change holding all other yields constant. The sensitivity of the bond＇s value to a particular change in yield is called rate duration. There is a rate duration for every point on the yield curve. Consequently, there is not one rate duration but a vector of rate durations representing each maturity on the yield curve.