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Finance

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  • August 13, 2020
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IR01

An interest rate risk measure that captures sensitivity to changes in the interest rate yield curve (e.g. the LIBOR curve). It gauges the change in value of an interest-sensitive contract or instrument for a one basis point (01 or 1 bp) upward or downward parallel shift in the LIBOR curve. For example, if a 1% (100 bp) change in interest rates has caused the value of a contract to change by $50,000, then its interest rate sensitivity is:

IR01 = 50,0000/ 100 = $500 per basis point

This measure is also known as LIBOR01.


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