What is Key-rate duration?

A key-rate duration (Ho, 1992) is the sensitivity of a position to a “tent” shift of the zero curve centred on one key maturity: one basis point at the key, falling linearly to zero at the two neighbouring keys. The tents sum to one at every maturity, so key-rate sensitivities add up to the sensitivity to a parallel shift of zero rates; they are independent of how the curve was built, which makes them the usual currency of risk reports across desks.