I have the following notes on my note…now i dont understand this at all, can someone explain? Q:Which measures of yield curve risk can measure shaping risk? A: Key rate durations and a measure based on sensitivities to level, slope, and curvature movements can address shaping risk, but effective duration cannot. Why effective duration can not? is that because it is measuring an average shape?
Effective duration assumes a parallel shift in the yield curve.
No change in shape.