Definition: Empirical Duration

CFA Level I Glossary

Empirical duration estimates interest-rate sensitivity by regressing historical market price changes on benchmark yield changes. It is data-driven and can differ from analytical duration computed from a pricing model and cash-flow map. For high-yield bonds, empirical duration is often lower than analytical duration because credit spreads can move opposite rates. The trap is treating model duration as always equal to how prices actually moved.

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