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Immunization Derived from a Polynomial Duration Vector in the Spanish Bond Market
Soto, Gloria M. - 2007
polynomial duration model of Chambers and Carleton (Chambers, D.R., Carleton, W.T., 1988. A generalized approach to duration. In …
Persistent link: https://www.econbiz.de/10014050756
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The Production of Commodities and Multiple Interest Rate Analysis
Vienneau, Robert L. - 2016
This paper considers the application of multiple interest rate analysis to a model of the production of commodities by means of commodities. A polynomial, for the characteristic equation of the augmented input-output matrix, is used in defining the rate of profits in such a model. Only one root...
Persistent link: https://www.econbiz.de/10012977407
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Basic Commodities and Multiple Interest Rate Analysis
Vienneau, Robert L. - 2016
This paper considers the application of multiple interest rate analysis to a model of the production of commodities by means of commodities. A polynomial, for the characteristic equation of the augmented input-output matrix, is used in defining the rate of profits in such a model. Only one root...
Persistent link: https://www.econbiz.de/10012977852
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The Liquidity Trap, the Great Depression, and Unconventional Policy : Reading Keynes at the Zero Lower Bound
Sutch, Richard C. - 2014
The developed economies of Japan, the United States, and the Eurozone are currently experiencing very low short-term rates, so low that they are considered to be at the “zero lower bound” of possibility. This effectively paralyzes conventional monetary policy. As a consequence, monetary...
Persistent link: https://www.econbiz.de/10013043746
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Bank Portfolio Risk and Interest Rate Spread of Risky Loans : A Methodological Analysis
Yu, Hua - 2018
The author's study analyzes, loan valuation methods using discrete time model of contingent claims analysis. In the empirical test, the undiversifiable risk was measured by the correlation coefficient of one borrower with the average return of all borrowers. The results of the test supported the...
Persistent link: https://www.econbiz.de/10012920146
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Heterogeneous Beliefs, Bonds, and Interest Rates
Beddock, Arthur; Jouini, Elyes - 2023
We develop a general equilibrium model of interest rates based on a continuous-time production economy populated by heterogeneous shareholders with logarithmic preferences. It allows us to study the impact of belief heterogeneity on bonds, the risk-free rate, and the yield curve. In particular,...
Persistent link: https://www.econbiz.de/10014348995
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Hedging Size Risk : Theory and Application to the US Gas Market
Roncoroni, Andrea - 2017
Many corporate commitments exhibit a combined financial exposure to both market prices and idiosyncratic size components (e.g., volume, load, or business turnover). We design a customized contract to optimally mitigate the risk of joint fluctuations in price and size terms. The hedge is sought...
Persistent link: https://www.econbiz.de/10012969111
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Static Mitigation of Volumetric Risk
Id Brik, Rachid - 2015
We consider the problem of designing a financial instrument aimed at mitigating the joint exposure to random price and volume delivery fluctuations of energy-linked commitments. We formulate a functional optimization problem over a set of regular pay-off functions: one is written on energy...
Persistent link: https://www.econbiz.de/10013012273
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Measuring Interest Rate Risk Using a Duration Vector
Jaeger-Ambrozewicz, Manfred - 2017
The duration of a bond approximately measures the interest rate risk caused by parallel shifts of the yield curve. This … paper uses a generalization of the duration suggested by Diebold et al. (2006a), that takes the variations of the level, the … into account the approach considered here is very intuitive as it is similar to the classical duration. A case study …
Persistent link: https://www.econbiz.de/10012960612
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Evaluation of long-dated investments under uncertain growth trend, volatility and catastrophes
Gollier, Christian - 2012
Because of the uncertainty about how to model the growth process of our economy, there is still much confusion about which discount rates should be used to evaluate actions having long-lasting impacts, as in the contexts of climate change, social security reforms or large public infrastructures...
Persistent link: https://www.econbiz.de/10009689360