Exponential Duration: A More Accurate Estimation Of Interest Rate Risk
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DOI: 10.1111/j.1475-6803.2005.00128.x
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References listed on IDEAS
- Frederick R. Macaulay, 1938. "Some Theoretical Problems Suggested by the Movements of Interest Rates, Bond Yields and Stock Prices in the United States since 1856," NBER Books, National Bureau of Economic Research, Inc, number maca38-1.
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- Zhongliang Tuo, 2013. "Hedging Against the Interest-rate Risk by Measuring the Yield-curve Movement," Papers 1312.6841, arXiv.org.
- Dierkes, Thomas & Ortmann, Karl Michael, 2015. "On the efficient utilisation of duration," Insurance: Mathematics and Economics, Elsevier, vol. 60(C), pages 29-37.
- Olga Em & Georgi Georgiev & Sergey Radukanov & Mariana Petrova, 2022. "Assessing the Market Risk on the Government Debt of Kazakhstan and Bulgaria in Conditions of Turbulence," Risks, MDPI, vol. 10(5), pages 1-18, April.
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