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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

Mortgage Risk and the Yield Curve

Malkhozov, Aytek - 2016

rates. We incorporate supply shocks resulting from changes in MBS duration into a parsimonious equilibrium dynamic term … structure model and derive three predictions that are strongly supported in the data: (1) MBS duration positively predicts … nominal and real excess bond returns, especially for longer maturities; (2) the predictive power of MBS duration is transitory …

Persistent link: https://www.econbiz.de/10013007607

Risk Taking and Low Longer-Term Interest Rates : Evidence from the U.S. Syndicated Loan Market

Aramonte, Sirio - 2017

We use supervisory data to investigate risk taking in the U.S. syndicated loan market at a time when longer-term interest rates are exceptionally low, and we study the ex-ante credit risk of loans acquired by different types of lenders, including banks and shadow banks. We find that insurance...

Persistent link: https://www.econbiz.de/10012971007

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

Riding the Yield Curve : Risk Taking Behavior in a Low Interest Rate Environment

Chami, Ralph - 2020

Investors seek to hedge against interest rate risk by taking long or short positions on bonds ofdifferent maturities. We study changes in risk taking behavior in a low interest rateenvironment by estimating a market stochastic discount factor that is non-linear and thereforeconsistent with the...

Persistent link: https://www.econbiz.de/10012836549

Risk Taking and Low Longer-Term Interest Rates : Evidence from the U.S. Syndicated Term Loan Market

Aramonte, Sirio - 2019

We use supervisory data to investigate the ex-ante credit risk taken by different types of lenders in the U.S. syndicated term loan market during the LSAPs period. We fi nd that nonbank lenders, mutual funds and structured-fi nance vehicles, take higher risk when longer-term interest rates...

Persistent link: https://www.econbiz.de/10012891192

Do pension funds reach for yield? : evidence from a new database

Konradt, Maximilian - 2023 - This version: February 1st, 2023

This paper investigates the financial risk-taking behavior of pension funds since 2000. I assemble a new database containing portfolio holdings of more than 100 pension funds from 14 advanced economies. The study reveals three key findings. First, I show that pension fund portfolios have become...

Persistent link: https://www.econbiz.de/10013540615

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

Market liquidity and market making : the case of fixed income and low interest rates

Strøm Kristoffersen, Mark; Pedersen, Jesper - 2015

Market liquidity and market making – the case of fixed income and low interest rates Market liquidity has received a lot of attention lately, especially in fixed-income markets. This paper studies the determinants of market liquidity in a theoretical model for market making with inventory...

Persistent link: https://www.econbiz.de/10011439590

A Guide to Duration, DV01, and Yield Curve Risk Transformations

Coleman, Thomas - 2011

Duration and DV01 (dollar duration) measure price sensitivity and provide the basic risk measure for bonds, swaps, and … other fixed income instruments. When valuing instruments off a yield curve, duration and DV01 naturally extend to a vector … reviews the concepts of partial DV01 and duration and then discusses a simple method for transforming partial DV01s between …

Persistent link: https://www.econbiz.de/10013131943