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Title: The performance of deterministic and stochastic interest rate risk measures: another question of dimensions?
Authors: Oliveira, L.
Nunes, J.
Malcato, L.
Keywords: Interest rate risk
Asset-liability management
Immunization strategies
Stochastic duration
Stochastic dominance
Issue Date: 2014
Publisher: Springer Verlag
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.
Description: WOS:000346643400001 (Nº de Acesso Web of Science)
Peer reviewed: Sim
DOI: 10.1007/s1058-014-0104-8
ISSN: 1617-982X
Publisher version: The definitive version is available at:
Appears in Collections:BRU-RI - Artigo em revista científica internacional com arbitragem científica

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