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| Author: | Lee, J.H. Stock, D.R. |
| Title: | Embedded options and interest rate risk for insurance companies, banks and other financial institutions |
| Journal: | Quarterly Review of Economics and Finance
2000 : SUMMER, VOL. 40:2, p. 169-187 |
| Index terms: | Banking Finance Insurance Risk |
| Language: | eng |
| Abstract: | This paper explores how embedded options in assets and liabilities of financial institutions impact interest rate risk, which is measured by equity value change with interest rate movements. It is found that both asset and liability durations decline when embedded options are present where liability duration declines more substantially. |
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