What is meant by spread duration and contribution to spread duration?

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Bond Markets Analysis and Strategies

ISBN: 978-0133796773

9th edition

Authors: Frank J.Fabozzi

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Question Posted: Aug 22, 2015 07:43 AM

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What is meant by spread duration and contribution to spread duration?

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Spread duration is the sensitivity of a bond bond sector or bond portfolio to a parallel shift in credit spreads Its interpretation is the same as for ...View the full answer

Bond Markets Analysis and Strategies

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