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Immunization Using Principal Component Analysis

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References

1991Common Factors Affecting Bond Returns1,796 cited
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
1977Asset Values, Interest-Rate Changes, and Duration76 cited

Cited by

2008An Empirical Analysis of the Canadian Term Structure of Zero-Coupon Interest Rates61 cited
2005Immunization using a stochastic-process independent multi-factor model: The Portuguese experience44 cited
2001Immunization derived from a polynomial duration vector in the Spanish bond market39 cited
2003Generalized M-vector models for hedging interest rate risk37 cited
2003Duration models and IRR management: A question of dimensions?32 cited
2014Stress testing interest rate risk exposure31 cited
2006Sources of Time Variation in the Covariance Matrix of Interest Rates*26 cited

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