Was ist Spread Duration?
Spread Duration A measure of a bond portfolio’s sensitivity to changes in credit spreads; it quantifies the impact of spread changes on the value of the portfolio, holding interest rates constant.
Source: CFA Institute, IFRS Foundation, FASB (GAAP), Basel III Framework
How is “Spread Duration” Used in Practice?
Eine Erhöhung der Spread Duration setzt das Portfolio einem größeren Kreditspread-Risiko aus, insbesondere bei volatilen Kreditmärkten.
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Who Needs to Know This Term?
- Financial Analysts
- Bankers
- Traders
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Was ist Spread Duration?
A measure of a bond portfolio’s sensitivity to changes in credit spreads; it quantifies the impact of spread changes on the value of the portfolio, holding interest rates constant.
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