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 …
duration models, using Spanish government bond data, over 1, 2 and 3-year horizons. The …
Government debt spillovers in a monetary union
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 …
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 …
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
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 …
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 …
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 …
банковского дела и банковской деятельности в ряде государств различных правовых …
Seasonality in Canadian bond returns: The role of international factors
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 …
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 …
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 …
government bond market. Four equally weighted bond return indices were calculated for …
[PDF][PDF] Government debt spillovers in a federation
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 …
union on the yields of bonds issued by other governments in the union. These debt …