A measure of how a bond’s price has changed in response to a one-percent change in market interest rates (the modified duration of a bond measures the observed percentage change in its price for a given change in interest rates). The higher the bond sensitivity of a security, the greater will be the expected price gains or losses in the event of falling or rising market interest rates. – See Interest rate sensitivity.
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University Professor Dr. Gerhard Merk, Dipl.rer.pol., Dipl.rer.oec.
Professor Dr. Eckehard Krah, Dipl.rer.pol.
E-mail address: info@ekrah.com
https://de.wikipedia.org/wiki/Gerhard_Ernst_Merk
https://www.jung-stilling-gesellschaft.de/merk/
https://www.gerhardmerk.de/
Passende Formel
Modifizierte Duration
Die approximative prozentuale Kursreaktion auf eine Zinsänderung bestimmen.
Variablen: DM Macaulay-Duration; y Periodenrendite.
Anwendung: Für Sensitivitätsanalyse von Anleihekursen gegenüber Marktzinsen.