Average weighted maturity: Difference between revisions
From ACT Wiki
Jump to navigationJump to search
imported>Doug Williamson (Layout.) |
imported>Doug Williamson (Layout.) |
||
| (One intermediate revision by the same user not shown) | |||
| Line 3: | Line 3: | ||
A calculation of the weighted average of the maturities of fixed income instruments held in a portfolio. | A calculation of the weighted average of the maturities of fixed income instruments held in a portfolio. | ||
Average weighted maturity is correlated to the risk profile of the portfolio, for example, longer Average Weighted Maturity implies greater price volatility. | Average weighted maturity is correlated to the risk profile of the portfolio, for example, longer Average Weighted Maturity implies greater price volatility. | ||
Also known as Weighted Average Maturity. | Also known as Weighted Average Maturity. | ||
| Line 8: | Line 9: | ||
== See also == | == See also == | ||
* [[Weighted | * [[Average effective maturity]] | ||
* [[Average life]] | |||
* [[Average maturity]] | |||
* [[Average nominal maturity]] | |||
* [[Bullet maturity]] | |||
* [[Constant maturity credit default swap]] | |||
* [[Duration]] | |||
* [[Held-to-maturity]] | |||
* [[Longer term]] | |||
* [[Maturity ladder]] | |||
* [[Maturity mismatch]] | |||
* [[Maturity structure]] | |||
* [[Maturity transformation]] | |||
* [[Non-maturity deposit]] | |||
* [[Repo-to-maturity]] | |||
* [[Short term]] | |||
* [[Tenor]] | |||
* [[Undated]] | |||
* [[Weighted Average Final Maturity]] | |||
* [[Yield to maturity]] | |||
[[Category:Financial_products_and_markets]] | |||
Latest revision as of 10:02, 7 July 2022
Portfolio analysis.
A calculation of the weighted average of the maturities of fixed income instruments held in a portfolio. Average weighted maturity is correlated to the risk profile of the portfolio, for example, longer Average Weighted Maturity implies greater price volatility.
Also known as Weighted Average Maturity.
See also
- Average effective maturity
- Average life
- Average maturity
- Average nominal maturity
- Bullet maturity
- Constant maturity credit default swap
- Duration
- Held-to-maturity
- Longer term
- Maturity ladder
- Maturity mismatch
- Maturity structure
- Maturity transformation
- Non-maturity deposit
- Repo-to-maturity
- Short term
- Tenor
- Undated
- Weighted Average Final Maturity
- Yield to maturity
