Which measures of yield curve risk can measure shaping risk?
As stated, however, I have so many questions about this one, simple statement
1.What’s the difference between curve and shaping risk
- do we need to memorize all the measures for both of them and what are they
here is the official answer to the question, but I would love to know where they come from, thanks
Key rate durations and a measure based on sensitivities to level, slope, and curvature movements can address shaping risk, but effective duration cannot.