Convexity, risk, and returns
N Lacey, SK Nawalkha - Available at SSRN 983316, 1993 - papers.ssrn.com
This paper tests empirically whether convexity is return enhancing (the traditional view
based upon parallel term structure shifts), or return diminishing (the equilibrium view …
based upon parallel term structure shifts), or return diminishing (the equilibrium view …
Managing interest rate risk: The next challenge?
SK Nawalkha, GM Soto - Available at SSRN 1392543, 2012 - papers.ssrn.com
Are the managers of financial institutions ready for the small but increasingly significant risk
of inflation in the near future, due to the unprecedented fiscal and monetary responses of the …
of inflation in the near future, due to the unprecedented fiscal and monetary responses of the …
The structure of structured bond portfolio models
P Zipkin - Operations research, 1992 - pubsonline.informs.org
Over the past decade, optimization models have been widely used to help select bond
portfolios. Several different formulations are popular. The purposes of this paper are to …
portfolios. Several different formulations are popular. The purposes of this paper are to …
[PDF][PDF] Enhancement of the bond duration-convexity approximation
S Lajili, Y Rakotondratsimba - International Journal of Economics …, 2012 - epe.lac-bac.gc.ca
Hedging bond positions under the assumption of a parallel shift of the interest rate curve is
well-known and used for a long date in finance. The approximation duration-convexity …
well-known and used for a long date in finance. The approximation duration-convexity …
Adapting the Macaulay duration for defaultable and option-embedded bonds
G van Vuuren, P Styger - South African Journal of Economic and …, 2008 - scielo.org.za
Most contemporary bonds have embedded options and all face the possibility of default.
Both features introduce risk (the former market risk and the latter credit risk) by altering the …
Both features introduce risk (the former market risk and the latter credit risk) by altering the …
[BOOK][B] Die Duration im Zinsrisikomanagement: Finanzinnovationen und bonitätsrisikobehaftete Fremdkapitaltitel
K Gnad - 2013 - books.google.com
Page 1 GABLER EDITION WISSENSCHAFT Karlheinz Gnad Die Duration im
Zinsrisikomanagement Finanzinnovationen und bonitätsrisikobehaftete Fremdkapitaltitel DUN …
Zinsrisikomanagement Finanzinnovationen und bonitätsrisikobehaftete Fremdkapitaltitel DUN …
Multifactor Models for Managing Interest Rate Risk
SK Nawalkha, GM Soto - Available at SSRN 1264282, 2008 - papers.ssrn.com
How do the managers of financial institutions hedge against the effects of non-parallel yield
curve shifts? This paper addresses this important issue by reviewing the important findings …
curve shifts? This paper addresses this important issue by reviewing the important findings …
Immunization Strategy for Multinational Fixed-Income Investments
S Hauser, A Levy, U Yaari - Managing Global Currency Risk, 1997 - papers.ssrn.com
This paper extends the results of Gadkari and Spindel (Solomon Brothers 1989), Hauser
and Levy (JBE v. 43, 1991), and Leibowitz, Bader, and Kogelman (JFI v. 3, 1993) who show …
and Levy (JBE v. 43, 1991), and Leibowitz, Bader, and Kogelman (JFI v. 3, 1993) who show …
[BOOK][B] Term Structure of Interest Rates in the Spanish Government Debt Market: Dynamics and New Duration Model for Risk Management of Fixed-Income Portfolios
MIG Fernandez - 1998 - search.proquest.com
We deal with the problem of immunization of bond portfolios against interest rate changes.
After studying different models of the Term Structure of Interest Rates (TSIR) in the Spanish …
After studying different models of the Term Structure of Interest Rates (TSIR) in the Spanish …
[CITATION][C] The Impact of Securitization and Contracting on Cash Flow Patterns in Timberland Investments
FC Zinkhan, HR Jenkins, JP Caulfield - Southern Forest Economics Workshop, 1997