Parallel Shift
A uniform change in yields across all maturities.
A parallel shift moves the entire yield curve up or down by the same number of basis points at every maturity. It's the simplest and most common stress scenario for fixed-income portfolios. While real yield curve moves are rarely perfectly parallel, this assumption provides a useful first-order risk estimate using duration.
Modified Duration
Measures the percentage price change for a 1% yield change.
DV01
Dollar change in value for a 1 basis point (0.01%) yield move.
Stress Test (Rate Shock)
Estimates impact of large yield moves using duration and convexity.
CS01
Dollar change in value for a 1 basis point move in credit spread.
Macaulay Duration
The weighted average time (in years) to receive the bond's cash flows.
Convexity
Measures the curvature of the price-yield relationship — how duration itself changes.