An empirical estimation of alternative interest rate risk immunization strategies PDF Download

Author: Wing Po Patrick Lau
Publisher:
ISBN:
Category :
Languages : en
Pages : 258

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Author: Şenay Aǧca
Publisher:
ISBN:
Category :
Languages : en
Pages : 209

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Book Description
The Heath-Jarrow-Morton (HJM) model represents the latest in powerful arbitrage-free technology for modeling the term structure and managing interest rate risk. Yet risk management strategies in the form of immunization portfolios using duration, convexity, and M-square are still widely used in bond portfolio management today. This study addresses the question of how traditional risk measures and immunization strategies perform when the term structure evolves in the HJM manner. Using Monte Carlo simulation, I analyze four HJM volatility structures, four initial term structure shapes, three holding periods, and two traditional immunization approaches (duration-matching and duration-and-convexity-matching). I also examine duration and convexity measures derived specifically for the HJM framework. In addition I look at whether portfolios should be constructed randomly, by minimizing their M-squares or using barbell or bullet structures. I assess immunization performance according to three criteria. One of these criteria corresponds to active portfolio management, and the other two correspond to passive portfolio management. Under active portfolio management, an asset portfolio is successfully immunized if its holding period return is greater than or equal to the holding period return of the liability portfolio. Under passive portfolio management, the closer the returns of the asset portfolio to the returns of the liability portfolio, the better the immunization performance. The results of the study suggest that, under the active portfolio management criterion, and with the duration matching strategy, HJM and traditional duration measures have similar immunization performance when forward rate volatilities are low.

Author: Wing Po Patrick Lau
Publisher:
ISBN:
Category : Interest rates
Languages : en
Pages : 554

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Author:
Publisher:
ISBN:
Category : Dissertations, Academic
Languages : en
Pages : 978

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Author:
Publisher:
ISBN:
Category : Dissertation abstracts
Languages : en
Pages : 872

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Author: Sanjay K. Nawalkha
Publisher: I.I. Books
ISBN:
Category : Business & Economics
Languages : en
Pages : 588

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Book Description
Interest Rate Risk Measurement and Management presents a collection of the key contributions in fixed-income investment research. This complete practitioners' manual showcases every major topic in interest rate risk management with detailed analyses and full treatment of equations and statistical measures. It is a substantial investment resource on: single and multi-factor duration risk measures; interest rate risk models for fixed income derivatives; and interest rate risk models for depositories, thrifts, the FDIC, insurers and pension funds.

Author: Peter L. Bernstein
Publisher: Princeton University Press
ISBN: 9780691011288
Category : Business & Economics
Languages : en
Pages : 340

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Economist and money manager Peter Bernstein sought to encourage this exchange when, in 1974, he founded The Journal of Portfolio Management (JPM).

Author: Gabriel Hawawini
Publisher: Routledge
ISBN: 1351381105
Category : Business & Economics
Languages : en
Pages : 263

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Book Description
First published in 1982, Bond Duration and Immunization is a collection of seminal papers featuring articles from high profile academics such as Frederick McCaulay, John Hicks, and F.M. Redington. This collection also features several articles published in British actuarial journals often unavailable outside of the UK, and a strong collection of articles which contextually offer a significant contribution to the field. This strong collection will appeal to anyone working or researching in the area of bond duration and immunization.

Author: National Academies of Sciences, Engineering, and Medicine
Publisher: National Academies Press
ISBN: 0309459575
Category : Medical
Languages : en
Pages : 483

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Book Description
Drug overdose, driven largely by overdose related to the use of opioids, is now the leading cause of unintentional injury death in the United States. The ongoing opioid crisis lies at the intersection of two public health challenges: reducing the burden of suffering from pain and containing the rising toll of the harms that can arise from the use of opioid medications. Chronic pain and opioid use disorder both represent complex human conditions affecting millions of Americans and causing untold disability and loss of function. In the context of the growing opioid problem, the U.S. Food and Drug Administration (FDA) launched an Opioids Action Plan in early 2016. As part of this plan, the FDA asked the National Academies of Sciences, Engineering, and Medicine to convene a committee to update the state of the science on pain research, care, and education and to identify actions the FDA and others can take to respond to the opioid epidemic, with a particular focus on informing FDA's development of a formal method for incorporating individual and societal considerations into its risk-benefit framework for opioid approval and monitoring.

Author: Michael Puhle
Publisher: Springer Science & Business Media
ISBN: 354076593X
Category : Business & Economics
Languages : en
Pages : 143

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Book Description
The book analyzes how modern portfolio theory and dynamic term structure models can be applied to government bond portfolio optimization problems. The author studies the necessary adjustments, examines the models with regard to the plausibility of their results and compares the outcomes to portfolio selection techniques used by practitioners. Both single-period and continuous-time bond portfolio optimization problems are considered.