Что такое Спред-дюрация?
Спред-дюрация 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 “Спред-дюрация” Used in Practice?
Увеличение спред-дюрации увеличивает подверженность портфеля кредитному риску спреда, особенно на волатильных рынках.
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Who Needs to Know This Term?
- Financial Analysts
- Bankers
- Traders
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Что такое Спред-дюрация?
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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