SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Interest Rate Sensitivities of Bond Risk Measures
12 references·0 citing·32 second hop
Interest Rate Sensitivities of Bond Risk Measures (2000)Interest Rate Sensitivities of Bond Risk …The M-Vector Model (1997)The M-Vector ModelScenario Simulation: Theory and methodology (1996)Scenario Simulation: Theory a…A New Tool for Portfolio Managers (1996)A New Tool for Portfolio Mana…Convexity, Risk, and Returns (1993)Convexity, Risk, and ReturnsYield Curve Strategies (1991)Yield Curve StrategiesCommon Factors Affecting Bond Returns (1991)Common Factors Affecting Bond…Immunizing Default-Free Bond Portfolios with a Duration Vector (1988)Immunizing Default-Free Bond …Duration models (1988)Duration modelsDuration measures for specific term structure estimations and applications to bond portfolio immunization (1988)Duration measures for specifi…BOND PORTFOLIO IMMUNIZATION: TESTS OF MATURITY, ONE‐ AND TWO‐FACTOR DURATION MATCHING STRATEGIES (1987)BOND PORTFOLIO IMMUNIZATION: …A Risk Minimizing Strategy for Portfolio Immunization (1984)A Risk Minimizing Strategy fo…A New Approach to Estimation of the Term Structure of Interest Rates (1984)A New Approach to Estimation …Duration: Its Development and Use in Bond Portfolio Management (1983)Innovations in bond portfolio management : duration analysis and immunization (1983)Default Risk and the Effective Duration of Bonds (1997)Generalized M-vector models for hedging interest rate risk (2003)Immunization using a stochastic-process independent multi-factor model: The Portuguese experience (2005)Coping with the Risk of Interest-Rate Fluctuations: Returns to Bondholders from Naive and Optimal Strategies (1971)Duration and the Measurement of Basis Risk (1979)Default Risk and the Duration of Zero Coupon Bonds (1990)An Improved Immunization Strategy: M-Absolute (1996)Coping with the Risk of Interest-Rate Fluctuations: Returns to Bondholders From Naïve and Optimal Strategies* (2017)Review of the Principles of Life-office Valuations (1952)Optimal portfolio choice under a liability constraint (2000)From ‘Some Theoretical Problems Suggested by the Movements of Interest Rates, Bond Yield, and Stock Prices in the United States Since 1856’ (2017)Measuring the Term Structure of Interest Rates (1971)The Theory of Financial Decisions. (1980)Term Structure Modeling Using Exponential Splines (1982)Chapter 13 The term structure of interest rates (1990)ESTIMATING THE GILT‐EDGED TERM STRUCTURE: BASIS SPLINES AND CONFIDENCE INTERVALS (1991)Immunization, Duration, and the Term Structure of Interest Rates (1977)Designing an immunized portfolio: Is M-squared the key? (1993)Predictability in the Shape of the Term Structure of Interest Rates (2005)An Empirical Analysis of the Canadian Term Structure of Zero-Coupon Interest Rates (2008)Yield Curve Modeling and Forecasting (2013)Analytical value-at-risk with jumps and credit risk (2001)The Stochastic Programming Approach to Asset, Liability, and Wealth Management (2003)After VaR: The Theory, Estimation, and Insurance Applications of Quantile‐Based Risk Measures (2006)Minimizing Basis Risk from Non-Parallel Shifts in the Yield Curve Part II (1997)Price Discovery in the U.S. Treasury Market: The Impact of Orderflow and Liquidity on the Yield Curve (2003)The Practitioner's Guide to Riding the Curve (2003)A YIELD‐FACTOR MODEL OF INTEREST RATES (1996)The Determinants of Credit Spread Changes (2001)Credit Spreads and Business Cycle Fluctuations (2012)
this work references cited by second hop

References

  • 1991Common Factors Affecting Bond Returns1,796 cited
  • 1984A Risk Minimizing Strategy for Portfolio Immunization170 cited
  • 1996Scenario Simulation: Theory and methodology168 cited
  • 1984A New Approach to Estimation of the Term Structure of Interest Rates147 cited
  • 1988Immunizing Default-Free Bond Portfolios with a Duration Vector122 cited
  • 1996A New Tool for Portfolio Managers82 cited
  • 1988Duration measures for specific term structure estimations and applications to bond portfolio immunization69 cited
  • 1991Yield Curve Strategies44 cited
  • 1987BOND PORTFOLIO IMMUNIZATION: TESTS OF MATURITY, ONE‐ AND TWO‐FACTOR DURATION MATCHING STRATEGIES40 cited
  • 1997The M-Vector Model38 cited
  • 1993Convexity, Risk, and Returns30 cited
  • 1988Duration models26 cited

Cited by

No citing works inside the corpus for this window.

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work