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Duration analysis: Managing interest rate risk

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References

1952Review of the Principles of Life-office Valuations380 cited
1971Coping with the Risk of Interest-Rate Fluctuations: Returns to Bondholders from Naive and Optimal Strategies271 cited
1977Immunization, Duration, and the Term Structure of Interest Rates172 cited
1979Bond Immunization When Short-Term Interest Rates Fluctuate More than Long-Term Rates82 cited
1974On "Duration" and the Optimal Maturity Structure of the Balance Sheet65 cited
2017Coping with the Risk of Interest-Rate Fluctuations: A Note65 cited
1984Alternative Duration Specifications and the Measurement of Basis Risk: Empirical Tests52 cited
1981The art of risk management in bond portfolios40 cited

Cited by

2005The Determinants and Implications of Matching Maturities20 cited

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