DURATION ANALYSIS IN SOUTH AFRICA: THE SEARCH FOR SUPERIOR MEASURES
The Macaulay duration is a highly successful tool for measuring and managing interest rate risk. However, it employs restrictive assumptions which constrain its usefulness in a rapidly evolving market. The Basel II implementation and ongoing accounting standard reassessments highlight the requirement for accurate, robust risk measures. Contemporary research has focused on augmenting the existing duration definition. We extend this work by relaxing some input assumptions, describing a different duration measure and applying it to interest rate driven price changes and examining the influence on the duration gap. The economic market value of equity (an important metric for regulators and risk management) is significantly improved. Copyright (c) 2006 The Authors. Journal compilation (c) 2006 Economic Society of South Africa.
Year of publication: |
2006
|
---|---|
Authors: | vuuren, Gary Van ; Styger, Paul |
Published in: |
South African Journal of Economics. - Economic Society of South Africa - ESSA, ISSN 0038-2280. - Vol. 74.2006, 2, p. 266-293
|
Publisher: |
Economic Society of South Africa - ESSA |
Saved in:
freely available
Saved in favorites
Similar items by person
-
Duration analysis in South Africa : the search for superior measures
Vuuren, Gary van, (2006)
-
Further evidence of long memory in the South African stock market
Morris, Quinton, (2009)
-
Calculating operational value-at-risk (OpVaR) in a retail bank
Esterhuysen, Ja'nel, (2008)
- More ...