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Generalized M-vector models for hedging interest rate risk · Study

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ArticleGeneralized M-vector models for hedging interest rate risk

Sanjay K. Nawalkha2003

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Articlegreen2003

Generalized M-vector models for hedging interest rate risk

Sanjay K. Nawalkha · Gloria M. Soto

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

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Risk Management in Financial Firms Financial Markets and Investment Strategies Stochastic processes and financial applications

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References

1985A Theory of the Term Structure of Interest Rates 1977An equilibrium characterization of the term structure 1975THE TAX‐ADJUSTED YIELD CURVE 1971Measuring the Term Structure of Interest Rates 1984A Risk Minimizing Strategy for Portfolio Immunization 1992Key Rate Durations 1988Immunizing Default-Free Bond Portfolios with a Duration Vector 1983Innovations in bond portfolio management : duration analysis and immunization

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2005Immunization using a stochastic-process independent multi-factor model: The Portuguese experience 2006Uncertainty and the timing of an urban congestion relief investment.

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Year2003

Typearticle

Published2003-06-09

VenueJournal of Banking & Finance

ISSN-L0378-4266

Languageen

Citations37

Files0 public / 0

ShelfRisk Management in Financial Firms

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doi10.1016/s0378-4266(03)00089-x

openalex_workW3122819007

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