Duration models and IRR management: A question of dimensions?

GM Soto - Journal of Banking & Finance, 2004 - Elsevier
This paper compares the immunization performance of alternative single and multiple factor
duration models, using Spanish government bond data, over 1, 2 and 3-year horizons. The …

Government debt spillovers in a monetary union

S Landon, CE Smith - The North American Journal of Economics and …, 2007 - Elsevier
This paper presents estimates of the impact of debt issued by one government in a monetary
union on the yields of the bonds issued by other governments in the union. These debt …

Using Principal Component Analysis to Explain Term Structure Movements Performance and Stability

G Soto - Progress in economics research, 2004 - books.google.com
This paper evaluates the performance of a kind of interest rate model that has increasingly
been attracting the attention of the financial industry in recent years and which relies on …

[PDF][PDF] A factor analysis of volatility across the term structure: the Spanish case

S Benito, A Novales - Rev. Econ. Finan, 2007 - researchgate.net
We show how the term structure of volatilities for zero-cupon interest rates from the Spanish
secondary debt market can be explained by a reduced number of factors. This factor …

An approach to scenario hedging

CF Hill, S Vaysman - Journal of portfolio management, 1998 - search.proquest.com
An article describes how to develop a small but representative set of deterministic yield
curve scenarios using principal components analysis (PCA). Using these scenarios as a …

[BOOK][B] Зарождение и эволюция банковской деятельности в государствах различных правовых систем

С Ермаков - 2022 - books.google.com
В коллективной монографии рассмотрены вопросы формирования и эволюции
банковского дела и банковской деятельности в ряде государств различных правовых …

Seasonality in Canadian bond returns: The role of international factors

S Landon, CE Smith - … /Revue Canadienne des Sciences de l' …, 2006 - Wiley Online Library
This paper provides evidence of seasonal variation in individual Canadian provincial
government bond returns. For the period of 1983–2003, holding period returns appear to fall …

[PDF][PDF] Modelos de inmunización de carteras de renta fija

GMS Pacheco - Revista de Economía Aplicada, 2001 - redalyc.org
El objetivo de este trabajo es, en primer lugar, esclarecer la multitud de modelos que se
engloban bajo el análisis de duración y sus implicaciones en la inmunización de carteras …

Seasonality in Canadian treasury bond returns: An institutional explanation

G Athanassakos, YS Tian - Review of Financial Economics, 1998 - Elsevier
This paper empirically investigates the seasonality in quarterly bond returns in the Canadian
government bond market. Four equally weighted bond return indices were calculated for …

[PDF][PDF] Government debt spillovers in a federation

S Landon, CE Smith - CEA 40 th Annual Meetings, 2006 - academia.edu
This paper presents estimates of the impact of debt issued by one government in a monetary
union on the yields of bonds issued by other governments in the union. These debt …