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Immunization of fixed-income portfolios using an exponential parametric model
Lund, Bruno; Almeida, Caio - In: Brazilian review of econometrics : BRE ; the review of … 34 (2014) 2, pp. 155-201
Persistent link: https://www.econbiz.de/10011538795
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On the diversification of fixed income assets
Le Courtois, Olivier - In: Risks : open access journal 10 (2022) 2, pp. 1-21
This article introduces a new approach for dealing with the diversification/concentration risk of fixed income assets. Because Government bonds, corporate bonds, and mortgage backed securities constitute a large proportion of the assets of institutional investors in most countries, it is...
Persistent link: https://www.econbiz.de/10012806470
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Interest rate risk estimation : a new duration-based approach
Bajo, Emanuele; Barbi, Massimiliano; Hullier, David - In: Applied economics 45 (2013) 19/21, pp. 2697-2704
Persistent link: https://www.econbiz.de/10010189364
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Hedging securities and Silicon Valley Bank idiosyncrasies
Kim, Raymond - In: The journal of futures markets 44 (2024) 4, pp. 653-672
Persistent link: https://www.econbiz.de/10014536665
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Immunization strategies for funding multiple inflation-linked retirement income benefits
Simões, Cláudia; Oliveira, Luís; Bravo, Jorge Miguel … - In: Risks : open access journal 9 (2021) 4, pp. 1-28
the performance of alternative immunization strategies for funding targeted multiple liabilities that are fixed in timing …. The immunization procedure is based on a targeted minimax strategy considering the M-Absolute as the interest rate risk … comprising daily closing prices for U.S. Treasuries and U.S. inflation-linked bonds from 2000 to 2018. The immunization …
Persistent link: https://www.econbiz.de/10012508594
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Interest rate (in)sensitivity of emerging market corporate debt : economic analysis based on 2002-2015 empirical evidence
Gubareva, Mariya; Borges, Maria Rosa - 2016
Persistent link: https://www.econbiz.de/10011549711
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Switching interest rate sensitivity regimes of US corporates
Gubareva, Mariya; Borges, Maria Rosa - In: The North American journal of economics and finance : a … 54 (2020), pp. 1-25
Persistent link: https://www.econbiz.de/10012666022
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Binary interest rate sensitivities of emerging market corporate bonds
Gubareva, Mariya; Borges, Maria Rosa - In: The European journal of finance 24 (2018) 17, pp. 1569-1586
Persistent link: https://www.econbiz.de/10012259084
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A new immunization inequality for random streams of assets, liabilities and interest rates
Gajek, Lesław; Krajewska, Elżbieta - In: Insurance / Mathematics & economics 53 (2013) 3, pp. 624-631
Persistent link: https://www.econbiz.de/10010227919
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Mechanisms of protection from interest rate risk with reference to the life insurance market in Montenegro
Novović Burić, Milijana; Kašćelan, Vladimir; … - In: Journal of central banking theory and practice 7 (2018) 1, pp. 17-42
Persistent link: https://www.econbiz.de/10011895370