Please use this identifier to cite or link to this item:
http://hdl.handle.net/10071/8428
Author(s): | Oliveira, L. Nunes, J. Malcato, L. |
Date: | 2014 |
Title: | The performance of deterministic and stochastic interest rate risk measures: another question of dimensions? |
Volume: | 13 |
Number: | 3 |
Pages: | 141-165 |
ISSN: | 1617-982X |
DOI (Digital Object Identifier): | 10.1007/s1058-014-0104-8 |
Keywords: | Interest rate risk Asset-liability management Immunization strategies Stochastic duration Stochastic dominance |
Abstract: | The efficiency of traditional and stochastic interest rate risk measures is compared under one-, two-, and three-factor no-arbitrage Gauss-Markov term structure models, and for different immunization periods. The empirical analysis, run on the German Treasury bond market from January 2000 to December 2010, suggests that: i) Stochastic interest rate risk measures provide better portfolio immunization than the Fisher-Weil duration; and ii) The superiority of the stochastic risk measures is more evident for multi-factor models and for longer investment horizons. These findings are supported by a first-order stochastic dominance analysis, and are robust against yield curve estimation errors. |
Peerreviewed: | Sim |
Access type: | Open Access |
Appears in Collections: | BRU-RI - Artigos em revistas científicas internacionais com arbitragem científica |
Files in This Item:
File | Description | Size | Format | |
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publisher_version_Portuguese_Economic_Journal.pdf | 478,63 kB | Adobe PDF | View/Open |
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