CP 351: Key-rate scenarios reveal exposures hidden by one duration
A single duration summarises a particular parallel-rate sensitivity. Curve twists and concentrated maturity exposures can create different outcomes despite similar total durations. Options and behaviour can add nonlinear effects.
Original practice scenario
Compare an original two-bucket asset and liability profile under a parallel move and a short-rate-only move. Explain why matching their weighted total duration does not ensure both scenarios match. State convexity, credit and behaviour limitations before interpreting the surplus result.
Study check
Write the assumptions, the decision being supported and one limitation. Use the current course syllabus for the required terminology and scope; this introductory guide is not a complete course summary.
Reading sources
ActNet editorial guide · October 1, 2026 · Original illustrative examples.