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Enhancement of the bond portfolio immunization under a parallel shift of the yield curve
Hanan, Jaffal; Adnan, Yassine; Yves, Rakotondratsimba - In: Journal of finance and investment analysis 1 (2012) 2, pp. 221-248
been performed in our recent working paper [5],"Enhancement of the Fisher-Weil bond technique immunization". So it is seen … curve ; Bond portfolio ; immunization ; optimization ; linearization …
Persistent link: https://www.econbiz.de/10009566337
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Macroeconomic indicators and yield curve of Indonesian government bond
Santosa, Perdana Wahyu - In: Business, mangagement and economics engineering : BMEE 19 (2021) 1, pp. 34-48
Purposes - Indonesian government bond (known as SUN) plays an essential role in financing sustainable development in … macroeconomic factors or macro-risk on the yield curve of the SUN bond. Methodology - The type of data used in this study is … are some government bodies such as the Bank Indonesia website (www.bi.go.id) and the Indonesian site Bond Market Directory …
Persistent link: https://www.econbiz.de/10012695339
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Economic catastrophe bonds
Coval, Joshua; Jurek, Jakub W.; Stafford, Erik - In: The American economic review 99 (2009) 3, pp. 628-666
Persistent link: https://www.econbiz.de/10003863183
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In search of optimal number of bond funds
Polwitoon, Sirapat; Tawatnuntachai, Oranee - In: Journal of applied finance & banking 3 (2013) 1, pp. 67-92
Although bonds are less volatile than equities and the median bond fund holds about 200 bonds, bond investors still … need to hold more than one bond fund to realize the optimal benefit of diversification. The simulation results show that … three to five bond funds reduce standard deviation of terminal wealth by 50% and about 100 funds reduce the standard …
Persistent link: https://www.econbiz.de/10009741225
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Insurance options : beating the benchmark : are catastrophe bonds more profitable than corporate bonds?
Caro Barrera, José Rafael - In: Revista de métodos cuantitativos para la economía y … 29 (2020), pp. 3-17
In this paper, we establish a comparison between one of the most traded financial derivatives in the markets, the so-called catastrophe bonds (abbreviated as cat bonds) and the corporate bonds. In the first section, we start from a brief definition as well as some basic concepts. In section two,...
Persistent link: https://www.econbiz.de/10012259883
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Using green and ESG assets to achieve post-COVID-19 environmental sustainability
Hasan, Md. Bokhtiar; Rashid, Md. Mamunur; Hossain, Md. Naiem - In: Fulbright review of economics and policy 3 (2023) 1, pp. 25-48
bonds makes it possible to achieve maximum hedging effectiveness between the S&P green bond (GB) and the S&P 500 ESG …
Persistent link: https://www.econbiz.de/10014310532
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A robust approach to hedging and pricing in imperfect markets
Assa, Hirbod; Gospodinov, Nikolaj - In: Risks : open access journal 5 (2017) 3, pp. 1-20
This paper proposes a model-free approach to hedging and pricing in the presence of market imperfections such as market incompleteness and frictions. The generality of this framework allows us to conduct an in-depth theoretical analysis of hedging strategies with a wide family of risk measures...
Persistent link: https://www.econbiz.de/10011688243
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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
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Price and market risk reduction for bond portfolio selection in BRICS markets
Ortobelli Lozza, Sergio; Petronio, Filomena; Vitali, … - In: Investment management and financial innovations 15 (2018) 1, pp. 120-131
Persistent link: https://www.econbiz.de/10012001413
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Fixed income strategies based on the prediction of parameters in the NS model for the Spanish public debt market
Andrada Félix, Julián; Fernandez-Perez, Adrian; … - In: SERIEs : Journal of the Spanish Economic Association 6 (2015) 2, pp. 207-245
Using different econometric models, Diebold and Li (J Econom 130:337-364, 2006) addressed the practical problem of forecasting the yield curve by predicting the factors level, slope and curvature in the Nelson-Siegel framework. This paper has two main aims: on the one hand, to investigate the...
Persistent link: https://www.econbiz.de/10011311742