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Duration analysis: Managing interest rate risk · Study

WorkDuration analysis: Managing interest rate risk

Unknown author1988

Work1988

Duration analysis: Managing interest rate risk

Unknown author

31 citations·0/0 files stored·Journal of Banking & Finance

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Global Financial Crisis and Policies Finance, Markets, and Regulation Credit Risk and Financial Regulations

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References

1952Review of the Principles of Life-office Valuations 1971Coping with the Risk of Interest-Rate Fluctuations: Returns to Bondholders from Naive and Optimal Strategies 1977Immunization, Duration, and the Term Structure of Interest Rates 1979Bond Immunization When Short-Term Interest Rates Fluctuate More than Long-Term Rates 1974On "Duration" and the Optimal Maturity Structure of the Balance Sheet 2017Coping with the Risk of Interest-Rate Fluctuations: A Note 1984Alternative Duration Specifications and the Measurement of Basis Risk: Empirical Tests 1981The art of risk management in bond portfolios

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2005The Determinants and Implications of Matching Maturities

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1979An Immunization Strategy is a Minimax Strategyarticle · 6 shared references 1987BOND RETURNS, DISCRETE STOCHASTIC PROCESSES, AND DURATIONarticle · 5 shared references 1996Immunization Using Principal Component Analysisarticle · 4 shared references 2005Immunization using a stochastic-process independent multi-factor model: The Portuguese experiencearticle · 4 shared references 1998When can you immunize a bond portfolio?article · 4 shared references 1984Hedging Interest Rate Risk with Futures Portfolios under Term Structure Effectsarticle · 4 shared references

Details

Year1988

Typeother

Published1988-03-01

VenueJournal of Banking & Finance

ISSN-L0378-4266

Languageen

Citations31

Files0 public / 0

ShelfGlobal Financial Crisis and Policies

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doi10.1016/0378-4266(88)90057-x

openalex_workW1599153571

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