Moreover, we demonstrate using the example of the Ritchken and Sankarasubramanian (Math Financ 5:55–72, 1995) model that the hedging strategy based on these sensitivity measures provides a superior performance in comparison to the traditional duration based hedging approaches....
利率敏感性一般观察duration and convexity by jsc二等.pdf,Interest Rate Sensitivity General Observation 1. Bond prices and yields are inversely related: as yields increase, bond prices fall; as yields fall, bond prices rise. 2. An increase in a bond’s yie
2)YTM-Price(changerate) 3)Maturity-Interestratesensitivity 4)Maturity-Interestratesensitivity(changerate) 5)Coupon-Interestratesensitivity 6)Currentyield-interestratesensitivity 1)-5):Malkiel’sbondpricingrelationship 6):HomerandMartin(1972) 3.Duration(linearapproximationofpriceyieldrelationship) a....
现在担心利率会下降，所以进入一个付固定收浮动的swap，把贷款转换成浮动利息的贷款，然后他就算了一下原...
Thus, for bonds, duration and interest rate sensitivity are virtually synonymous. For equities, however, duration is only one of several factors describing risk. A major source of confusion in evaluating equity duration is the definition of "duration" itself. Measured as a function of the ...
Interest rate sensitivity and the value of surplus : duration mismatch in the property-liability insurance industry 来自 掌桥科研 喜欢 0 阅读量: 35 作者: KB Staking 摘要: The relationship between leverage, interest rate risk and firm value is investigated in the property-liability insurance industry...
Duration can be used as a measure of a bond's sensitivity to interest rate changes. The higher the bond's duration, the greater its sensitivity to the change and vice versa. A key use of duration is that it enables us to estimate the effects of an interest rate change on a bonds pric...
Duration is a measure of a security’s price sensitivity to changes in interest rates. Duration differs from maturity in that it considers a security’s interest payments in addition to the amount of time until the security reaches maturity, and also takes into account certain maturity shortening...
Unfortunately, duration has limitations when used as a measure of interest rate sensitivity. While the statistic calculates alinear relationshipbetween price and yield changes in bonds, in reality, the relationship between the changes in price and yield is convex. ...
Based on the technics of duration and convexity,the study probes into the effective duration and convexity with embedded options and OAS,as well as the application of interest rate risk management for the commercial banks in China.关键词: effective duration effective convexity embedded option OAS int...