Financial Risk Manager Part 1

Get started today

Ultimate access to all questions.

Explanation:

The Key Rate Duration (KRD) formula is: $KRD = -\frac{1}{V_0} \times \frac{\Delta V}{\Delta y}$

Where:

$V_0$ is the initial value = $26.11485$
$\Delta V$ is the change in value for a 30-year shift = $V_{30} - V_0 = 26.01772 - 26.11485 = -0.09713$
$\Delta y$ is the shift in the key rate = 1 basis point = $0.0001$

$KRD_{30} = -\left( \frac{1}{26.11485} \right) \times \left( \frac{-0.09713}{0.0001} \right)$ $KRD_{30} = \frac{0.09713}{26.11485 \times 0.0001} = \frac{0.09713}{0.002611485} \approx 37.19$

Explanation:

The Key Rate Duration (KRD) formula is: $KRD = -\frac{1}{V_0} \times \frac{\Delta V}{\Delta y}$

Where:

$V_0$ is the initial value = $26.11485$
$\Delta V$ is the change in value for a 30-year shift = $V_{30} - V_0 = 26.01772 - 26.11485 = -0.09713$
$\Delta y$ is the shift in the key rate = 1 basis point = $0.0001$

$KRD_{30} = -\left( \frac{1}{26.11485} \right) \times \left( \frac{-0.09713}{0.0001} \right)$ $KRD_{30} = \frac{0.09713}{26.11485 \times 0.0001} = \frac{0.09713}{0.002611485} \approx 37.19$

Comments (0)

No comments yet.

Q.87 The following table provides the initial price of a C-STRIP and its present value after application of a one basis point shift in four key rates.

Value
Initial value 26.11485
2-year shift 26.11582
5-year shift 26.11778
10-year shift 26.13883
30-year shift 26.01772

The key rate duration with respect to the 30-year shift is closest to:

	Value
Initial value	26.11485
2-year shift	26.11582
5-year shift	26.11778
10-year shift	26.13883
30-year shift	26.01772

Exam-Like

Community

TTitan

Last updated: May 18, 2026 at 04:39

35.55

26.02

37.19

97.13