Interest rate risk
The risk of loss from a change in the level of rates: the payments on the bond are fixed, the yield the market demands is not.
Formula
A first-order approximation, adequate for small shifts in yield. On large moves convexity has to be added, otherwise losses are overstated and gains understated.
How to read the number
The one risk that exists even in a government issue: it does not question the return of principal, and it entirely determines the price along the way.
When the metric lies
Also known as: rate risk, duration risk