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Duration is widely used by fixed income managers to proxy the interest rate risk of their assets and liabilities. However, it is well known that the convexity of the price-yield relationship introduces approximation errors that grow with changes in yield. In this paper we suggest a new approach,...
Persistent link: https://www.econbiz.de/10013160290
Persistent link: https://www.econbiz.de/10010189364
Duration is widely used by fixed income managers to proxy the interest rate risk of their assets and liabilities. However, it is well known that the convexity of the price-yield relationship introduces approximation errors that grow with changes in yield. In this paper we suggest a new approach,...
Persistent link: https://www.econbiz.de/10013008298
Persistent link: https://www.econbiz.de/10003762667
Persistent link: https://www.econbiz.de/10003745952