haku: @indexterm DURATION ANALYSIS / yhteensä: 32
viite: 24 / 32
| Tekijä: | Rhys, H. Tippett, M. |
| Otsikko: | Duration and interest rate risk for uncertain cash flow streams |
| Lehti: | Journal of Business Finance and Accounting
1996 : JAN, VOL. 23:1, p. 115-124 |
| Asiasana: | ACCOUNTING DURATION ANALYSIS RISK |
| Kieli: | eng |
| Tiivistelmä: | Duration is a concept which has been widely applied to the immunization of bond portfolios and other fixed income securities. In this article, the authors demonstrate how the density function associated with an asset's duration measure can be derived when there is uncertainty about its future cash flows. This is achieved by assuming the cash flows are generated by a pre-specified stochastic process. This in turn implies a unique probability distribution for the asset's duration measure. The analysis here is generally cast in continuous time. |
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