Fixed Income: Twists are steepening or flattening of the yield curve (FRM T4-23)

[@thomasawounfouet7395]

Thanks for the videos Sir. It helps me a lot at during my internship and for preparing the FRM exam

[@bionicturtle]

Thank you for watching!

[@nimisharanjan4260]

Video is very intuitive. but xls is not accessible.

[@implied321]

so if duration is not the proper measure here which measure is ?

[@bionicturtle]

as the limitation is a single-factor model, in theory an multi-factor model can accommodate non-parallel shifts. In the FRM, the preferred model is Key Rate Technique where a few key rates are selected (e).g, 2 year, 5 year, 10 year, 30 year. It is coming next in my playlist here kzbin.info/aero/PLCBifSfCnx3sqbQnW4HkZ3HoScTG0Lluz although I have an OLD video on key rates here (new and improved coming soon!) kzbin.info/www/bejne/iaeklGR7e5Z6hqc