Discover published sets by community

A measure of the sensitivity of the price of a fixed income investment to a change in interest rates, often used by portfolio managers to manage interest rate risk.

The timing difference between when assets and liabilities are scheduled to be repriced due to interest rate changes. Can generate either an income or expense depending on the direction.

The use of interest rate futures contracts to protect against the risk that the value of an asset or liability will be affected by interest rate changes.

Involves entering into an interest rate swap agreement, where future interest payments are exchanged from fixed to variable rates, or vice versa, to reduce or eliminate risk.

A strategy to shield a portfolio from interest rate risk by matching the duration of assets and liabilities so that the net interest rate exposure is zero.

The maximum interest rate charged on a variable-rate loan or mortgage, used as a hedging strategy to protect against rising rates for the borrower.

The minimum interest rate on a variable-rate loan, protecting lenders against the risk of rates falling too low.

A measure that estimates the change in the value of an asset or liability for a one basis point change in interest rates.

A measure of the curvature in the relationship between bond prices and yields; bonds with greater convexity will have less interest rate risk.

A financial derivative that involves exchanging interest rate cash flows between two parties, often used to manage risks associated with interest rate movement.

Financial derivatives that give the buyer the right, but not the obligation, to borrow or lend at a specified interest rate.

A contract that allows an investor to lock in an interest rate to be applied to a future loan or investment, used for managing future interest rate exposure.

Compares interest rate-sensitive assets to interest rate-sensitive liabilities to identify the gap and measure interest rate risk exposure.

The risk of experiencing losses due to changes in the yield curve, which is the graphical representation of interest rates across different maturities.

A measurement of the spread of a fixed-income security rate and the risk-free rate of return, which is adjusted to take into account an embedded option.

A hedging strategy that combines the purchase of an interest rate cap with the sale of an interest rate floor, often done to manage borrowing costs.

An economic concept describing the relationship between interest rates and currency exchange rates, indicating that hedging foreign exchange risk adjusts to compensate for interest rate differentials.

A technique where cash flows from fixed income investments are matched with scheduled cash outflows, such as bond maturities aligned with pension obligations.

A measure used in the banking industry to evaluate the impact of interest rate changes on the institution's equity value, calculated by discounting expected cash flows.