English, Article, Journal or magazine article edition: Risk Management under a Two-Factor Model of the Term Structure of Interest Rates Manuel Moreno

User activity

Share to:
 
Bookmark: http://trove.nla.gov.au/version/155227
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • Risk Management under a Two-Factor Model of the Term Structure of Interest Rates
Author
  • Manuel Moreno
Physical Description
  • preprint
Notes
  • This paper presents several applications to interest rate risk management based on a two-factor continuous-time model of the term structure of interest rates previously presented in Moreno (1996). This model assumes that default free discount bond prices are determined by the time to maturity and two factors, the long-term interest rate and the spread (difference between the long-term rate and the short-term (instantaneous) riskless rate). Several new measures of ``generalized duration" are presented and applied in different situations in order to manage market risk and yield curve risk. By means of these measures, we are able to compute the hedging ratios that allows us to immunize a bond portfolio by means of options on bonds. Focusing on the hedging problem, it is shown that these new measures allow us to immunize a bond portfolio against changes (parallel and/​or in the slope) in the yield curve. Finally, a proposal of solution of the limitations of conventional duration by means of these new measures is presented and illustrated numerically.
  • Term structure of interest rates, two-factor models, measures of "generalized duration", hedging ratios, interest rate risk
  • RePEc:upf:upfgen:254
Language
  • English
Contributed by
OAIster

Get this edition

  • Set up My libraries

    How do I set up "My libraries"?

    In order to set up a list of libraries that you have access to, you must first login or sign up. Then set up a personal list of libraries from your profile page by clicking on your user name at the top right of any screen.

  • All (1)
  • Unknown (1)
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.

User activity


e.g. test cricket, Perth (WA), "Parkes, Henry"

Separate different tags with a comma. To include a comma in your tag, surround the tag with double quotes.

Be the first to add a tag for this edition

Be the first to add this to a list

Comments and reviews

What are comments? Add a comment

No user comments or reviews for this version

Add a comment