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Interest rate risk of bond prices on Macedonian Stock Exchange - empirical test of the duration, modified duration and convexity and bonds valuation
Ivanovski, Zoran; Stojanovski, Toni Draganov; … - In: Economic research 26 (2013) 3, pp. 47-62
Persistent link: https://www.econbiz.de/10010196415
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On the efficient utilisation of duration
Dierkes, Thomas; Ortmann, Karl Michael - In: Insurance / Mathematics & economics 60 (2015), pp. 29-37
Persistent link: https://www.econbiz.de/10010484840
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Interest Rate Risk of Zero-Coupon Bond Prices on National Stock Exchange (NSE) – Empirical Test of the Duration, Modified Duration, Convexity and Immunization Risk
Maleki Nia, Nahid - 2019
better curve estimation during the time period of March, 2009 -June, 2012 for duration and convexity exposures that …Duration and convexity are important measures in fixed-income portfolio management and help develop methodologies in … interest rate risk management. This article presents empirical test of duration and convexity of Zero-Coupon Bonds( ZCBs )at …
Persistent link: https://www.econbiz.de/10012864002
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Interest Rate Risk of Corporate Bond Prices on Bombay Stock Exchange (BSE) –Empirical Test of the Duration, Modified Duration and Convexity
Maleki Nia, Nahid - 2019
paper is to obtain a better curve estimation during the time period of March, 2009 -June, 2012 for duration and convexity …Duration and convexity are important measures in fixed-income portfolio management and help develop methodologies in … test of duration, modified duration and convexity of the corporate bonds at BSE in order to determine sensitivity of bonds …
Persistent link: https://www.econbiz.de/10012864003
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Stochastic durations, the convexity effect, and the impact of interest rate changes
Fonseca, José Soares da - In: The European journal of finance 20 (2014) 10/12, pp. 994-1007
Persistent link: https://www.econbiz.de/10010464881
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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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Collateralized Bond : Duration and Effective Yield
Srivastava, Suresh C. - 2012
Collateralized bonds have been developed and sold by investment bankers in place of zero-coupon bonds to raise funds for companies facing cash flow problems. Additional bonds are issued and proceeds are deposited in an escrow account to finance the coupon payment. Our analysis indicates that a...
Persistent link: https://www.econbiz.de/10013100083
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The Term Structure of Currency Carry Trade Risk Premia
Lustig, Hanno N. - 2013
Fixing the investment horizon, the returns to currency carry trades decrease as the maturity of the foreign bonds increases. The local currency term premia, which increase with the maturity, offset the currency risk premia. The time-series predictability of foreign bond returns in dollars...
Persistent link: https://www.econbiz.de/10013073193
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The Term Structure of Currency Carry Trade Risk Premia
Lustig, Hanno N. - 2018
Fixing the investment horizon, the returns to currency carry trades decrease as the maturity of the foreign bonds increases, because the local currency term premia offset the currency risk premia. The time series predictability of foreign bond returns in dollars similarly declines with the...
Persistent link: https://www.econbiz.de/10012938280
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How well does duration measure interest rate risk and does the convexity adjustment matter?
Barber, Joel R. - In: Quarterly journal of finance & accounting : QJFA 59 (2021) 1/2, pp. 1-28
Persistent link: https://www.econbiz.de/10012744707