Narrow search
Showing 1 - 10 of 20,061
Cover Image
Delta-Normal value at risk using exponential duration with convexity for measuring government bond risk
Maruddani, Di Asih I; Abdurakhman Abdurakhman - In: DLSU business & economics review 31 (2021) 1, pp. 72-80
Persistent link: https://www.econbiz.de/10013472258
Cover Image
Systematic risk and yield premiums in the bond market
Fu, Liang; Murphy, Austin; Benzschawei, Terry - In: The journal of credit risk : published quarterly by … 11 (2015) 2, pp. 1-40
Persistent link: https://www.econbiz.de/10011298058
Cover Image
Essays on dual risk measures and the asymptotic term structure
Schulze, Klaas (contributor) - 2009
Persistent link: https://www.econbiz.de/10003872174
Cover Image
Interest Rate Sensitivities of Bond Risk Measures
Crack, Timothy Falcon; Nawalkha, Sanjay K. - 2021
We derive a simple expression for the sensitivity of duration, convexity, and higher-order bond risk measures to … effects of term structure level, slope, and curvature shifts on any specific bond risk measure. These results are particularly …
Persistent link: https://www.econbiz.de/10013211994
Cover Image
Fixed income risk and return
Beinner, Jonathan - In: Modern investment management : an equilibrium approach, (pp. 435-451). 2003
Persistent link: https://www.econbiz.de/10002112709
Cover Image
A primer on bond portfolio value at risk
Smith, Donald J. - In: Advances in financial education : journal of the … 7 (2009) 1/2, pp. 1-14
Persistent link: https://www.econbiz.de/10003893949
Cover Image
Annuities, bequests, and portfolio diversification
Albis, Hippolyte d’; Thibault, Emmanuel - In: Journal of public economic theory 12 (2010) 1, pp. 75-91
Persistent link: https://www.econbiz.de/10003946412
Cover Image
Bond portfolio optimization : a risk-return approach
Korn, Olaf; Koziol, Christian - 2006
In this paper, we apply Markowitz's approach of portfolio selection to government bond portfolios. As a main feature of …
Persistent link: https://www.econbiz.de/10009525173
Cover Image
Designing catastrophic bonds for catastrophic risks in agriculture : macro hedging long and short rains in Kenya
Sun, Lin; Turvey, Calum Greig; Jarrow, Robert A. - In: Agricultural finance review 75 (2015) 1, pp. 47-62
Persistent link: https://www.econbiz.de/10011305770
Cover Image
Prepayment risk on callable bonds : theory and test
François, Pascal; Pardo, Sophie - In: Decisions in economics and finance : DEF ; a journal of … 38 (2015) 2, pp. 147-176
Persistent link: https://www.econbiz.de/10011342200