KEY-RATE EXPOSURE
Where the Curve Hurts
Parallel duration hides where the loss is waiting.
Where the Curve HurtsBondStats fixed-income workstation
POSITION INPUTS
CURVE VULNERABILITY
Shock P&L—
Scenario P&L—
Absolute exposure—
INTERPRETATION
Curve vulnerability
Shock the curve by maturity key and expose where a non-parallel move reaches the portfolio first. The purpose is decomposition: show which assumption creates the result and which risk remains outside the calculation.
Model boundary
This workstation isolates the stated drivers. Optionality, liquidity, tax, settlement and instrument-specific conventions can change realized economics and should be layered in separately.
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Related tools and research
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