typically borrow short to lend long. This is known as duration mismatch. To mitigate the risks, banks are required to hold … year, or one breach expected per thousand years. The capital needed to provide this protection is known as Value at Risk or … outliers given static risks and not enough on the possibility that risks themselves are perceived to surge. For long duration …

, and the duration of carry drawdowns. To explore the determinants of the length of carry losses, a model of carry drawdown … duration is estimated. We find evidence that drawdown duration varies systematically with expected return from the carry trade …

interest rate risk management. This article presents empirical test of duration and convexity of Zero-Coupon Bonds( ZCBs )at …Duration and convexity are important measures in fixed-income portfolio management and help develop methodologies in … duration. The empirical results provide evidence that first duration is an increasing function of the interest rate and next …

risk measures for portfolios with infrequently traded securities have not been explored in the literature. We propose a … methodology to calculate market risk measures based on the Kalman filter which can be used on incomplete datasets. We implement … applied to other markets with thinly traded securities. Our methodology provides reliable market risk measures in portfolios …