Hedging against interest rate risk: reconsidering volatility-adjusted immunization
Article Abstract:
Long term interest rates indicate a lower volatility compared to short-term interest rates. Immunization strategies should concentrate on the sensitivity of asset values to interest rate changes than predicting the type of term-structure shifts. The recommended approach might result in major advancements on both convexity-based and duration-based immunization strategies.
Publication Name: Journal of Banking & Finance
Subject: Business
ISSN: 0378-4266
Year: 1997
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Risk management of non-maturing liabities
Article Abstract:
A model examining quantitative framework for liquidity risk and interest rate risk management for non-maturing liabilities is proposed. Case studies for the same are also discussed.
Publication Name: Journal of Banking & Finance
Subject: Business
ISSN: 0378-4266
Year: 2004
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Immunization using a stochastic-process independent multi-factor model: the Portuguese experience
Article Abstract:
Immunization experience in the Portuguese government debt market is analyzed using stochastic processes.
Publication Name: Journal of Banking & Finance
Subject: Business
ISSN: 0378-4266
Year: 2006
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