A bond subject to default risk trades at a higher interest rate than a comparable default-free
bond in order to compensate investors for expected loss resulting from reduced or delayed …

Duration analysis is now an accepted, if not a necessary, part of every bond portfolio
manager's toolkit for analyzing interest rate risk. Most of the duration models currently in use …

In der Vergangenheit wurde die Versicherungsproduktion gedanklich immer in zwei
scheinbar unabhängige Teile zerlegt, in das" eigentliche" versicherungstechnische Geschäft …

Securities with Treasury Bond Page 1 Hedging Mortgage-Backed Securities with Treasury
Bond Futures Cari A. Batlin'" I. INTRODUCTION S everal developments in the early 1980s …

Futures Bibliography Page 1 Futures Bibliography Edited by Robert T. Daigler This issue of
The Journal of Futures Markets initiates a new section devoted to source material related to …

The scope of this paper is to analyse duration as a risk measure of life insurance liabilities
from traditional life insurance products using a simple model to assess the problem. First, the …

This dissertation is an empirical study of alternative strategies for hedging the interest rate
risk of GNMAs. Four hedging strategies are considered:(1) the short sale of Treasury note …

The concept of immunization as a vehicle for managing interest rate risk in bond portfolios
has developed heuristically over time. It is a risk hedging procedure whose appeal is due to …

The subject of this study is the management of pricing and reserving risks for life insurance
companies. This dissertation established the relationship between pricing and reserving …