haku: @indexterm DURATION ANALYSIS / yhteensä: 32
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| Tekijä: | Wu, X. |
| Otsikko: | A new stochastic duration based on the Vasicek and CIR term structure theories |
| Lehti: | Journal of Business Finance and Accounting
2000 : SEP-OCT, VOL. 27:7&8, p. 911-932 |
| Asiasana: | BONDS TERM STRUCTURE OF INTEREST RATES DURATION ANALYSIS |
| Kieli: | eng |
| Tiivistelmä: | The stochastic duration based on the Vasicek and CIR models is theoretically superior to Macaulay's duration. However, empirical tests on bond immunization performance have so far failed to show its superiority. Within the one-factor framework, this paper proposes to use a longer zero-curve yield instead of the original instantaneous interest rate as a proxy for the relevant risk source (s). The author proves that the new duration becomes larger, increasing with bond maturity, than the original duration. |
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