SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Duration gaps with futures and swaps for managing interest rate risk at depository institutions
7 references·2 citing·28 second hop
Duration gaps with futures and swaps for managing interest rate risk at depository institutions (1992)Duration gaps with futures and swaps for …Duration Analysis: Managing Interest Rate Risk. (1988)Duration Analysis: Managing I…Term Structure Movements and Pricing Interest Rate Contingent Claims (1986)Term Structure Movements and …Duration Gap for Financial Institutions (1985)Duration Gap for Financial In…Gap management: managing interest rate risk in banks and thrifts (1983)Gap management: managing inte…Duration: Its Development and Use in Bond Portfolio Management (1983)Duration: Its Development and…Interest rate futures: A comprehensive introduction (1982)Interest rate futures: A comp…Interest rate futures : concepts and issues (1982)Interest rate futures : conce…Risk management with a duration gap approach (2020)Risk management with a durati…Macaulay’s theory of duration: 80-year thematic bibliometric review of the literature (2020)Macaulay’s theory of duration…Macaulay's Duration: An Appreciation (1973)Interest Rate Risk at Commercial Banks: An Empirical Investigation (1989)Quantifying the Interest Rate Risk of Banks: Assumptions Do Matter (2009)Bond Price Volatility and Term to Maturity: A Generalized Respecification (2017)Theory of Rational Option Pricing (1973)A Theory of the Term Structure of Interest Rates (1985)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)A YIELD‐FACTOR MODEL OF INTEREST RATES (1996)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)Theory of rational option pricing (2005)Coping with the Risk of Interest-Rate Fluctuations: Returns to Bondholders from Naive and Optimal Strategies (1971)Islamic Banks and Financial Stability (2008)A contemporary survey of islamic banking literature (2017)An Intertemporal Capital Asset Pricing Model (1973)Risk, Return, and Equilibrium: Empirical Tests (1973)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Are there arbitrage opportunities in the treasury‐bond futures market? (1982)The Futures Market (1988)Options and Futures: A Tutorial (1992)Designing an immunized portfolio: Is M-squared the key? (1993)Deposit insurance and bank interest rate risk: Pricing and regulatory implications (1995)Modeling Surrender and Lapse Rates With Economic Variables (2005)Bank Funding Risks, Risk Aversion, and the Choice of Futures Hedging Instrument (1985)BOND PORTFOLIO IMMUNIZATION: TESTS OF MATURITY, ONE‐ AND TWO‐FACTOR DURATION MATCHING STRATEGIES (1987)Austrian Capital Theory (2019)Managing interest-rate risk in banking institutions (1989)Interest rate sensitivity of US property/liability insurer stock returns (2011)Identifying the Determinants of Interest Rate Risk of the Banks (2016)
this work references cited by second hop

References

  • 1986Term Structure Movements and Pricing Interest Rate Contingent Claims1,398 cited
  • 1983Duration: Its Development and Use in Bond Portfolio Management97 cited
  • 1988Duration Analysis: Managing Interest Rate Risk.95 cited
  • 1985Duration Gap for Financial Institutions36 cited
  • 1983Gap management: managing interest rate risk in banks and thrifts25 cited
  • 1982Interest rate futures: A comprehensive introduction17 cited
  • 1982Interest rate futures : concepts and issues16 cited

Cited by

  • 2020Macaulay’s theory of duration: 80-year thematic bibliometric review of the literature15 cited
  • 2020Risk management with a duration gap approach12 cited

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