ポートフォリオ・デュレーションとは？
ポートフォリオ・デュレーション A weighted average measure of the sensitivity of a fixed income portfolio’s price to changes in interest rates, typically expressed in years; critical for interest rate risk management and regulatory reporting.
Source: CFA Institute, IFRS Foundation, FASB (GAAP), Basel III Framework
How is “ポートフォリオ・デュレーション” Used in Practice?
ポートフォリオ・デュレーションが5年の場合、金利が1％上昇すると価値が約5％下がります。
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Who Needs to Know This Term?
- Financial Analysts
- Bankers
- Traders
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ポートフォリオ・デュレーションとは？
A weighted average measure of the sensitivity of a fixed income portfolio’s price to changes in interest rates, typically expressed in years; critical for interest rate risk management and regulatory reporting.
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