Is there a difference between interest rate risk vs duration risk? I feel as though I have heard them used interchangeably but I don't know if there is any distinguishing factor between the two.


1 Answer 1


Interest rate risk is way broader.

  • you can have basis risk,
  • repricing risk,
  • prepayment risk
  • with equity and FX options you have rho and phi and might face early exercise
  • Banks need to compute several measures like IRRBB (interest rate risk in the banking book) which is computed as a repricing gap of the products
  • GAP risk between assets and liabilities (Keyword SVB collapse)
  • Value at risk)
  • ...

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