What is 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?
An increase in spread duration exposes the portfolio to greater credit spread risk, especially in volatile credit markets.
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Who Needs to Know This Term?
- Financial Analysts
- Bankers
- Traders
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What is 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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