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Duration models and IRR management: A question of dimensions?

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  • Soto, Gloria M.

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  • Soto, Gloria M., 2004. "Duration models and IRR management: A question of dimensions?," Journal of Banking & Finance, Elsevier, vol. 28(5), pages 1089-1110, May.
  • Handle: RePEc:eee:jbfina:v:28:y:2004:i:5:p:1089-1110
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    References listed on IDEAS

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    1. Robert R. Bliss, 1997. "Movements in the term structure of interest rates," Economic Review, Federal Reserve Bank of Atlanta, issue Q 4, pages 16-33.
    2. Chambers, Donald R. & Carleton, Willard T. & McEnally, Richard W., 1988. "Immunizing Default-Free Bond Portfolios with a Duration Vector," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 23(01), pages 89-104, March.
    3. Bierwag, Gerald O. & Fooladi, Iraj & Roberts, Gordon S., 1993. "Designing an immunized portfolio: Is M-squared the key?," Journal of Banking & Finance, Elsevier, vol. 17(6), pages 1147-1170, December.
    4. Fong, H Gifford & Vasicek, Oldrich A, 1984. " A Risk Minimizing Strategy for Portfolio Immunization," Journal of Finance, American Finance Association, vol. 39(5), pages 1541-1546, December.
    5. Prisman, Eliezer Z. & Shores, Marilyn R., 1988. "Duration measures for specific term structure estimations and applications to bond portfolio immunization," Journal of Banking & Finance, Elsevier, vol. 12(3), pages 493-504, September.
    6. Eliseo Navarro & Juan M. Nave, 1997. "A two-factor duration model for interest rate risk management," Investigaciones Economicas, Fundación SEPI, vol. 21(1), pages 55-74, January.
    7. Eliseo Navarro & Juan M. Nave, 2001. "The structure of spot rates and immunization: Some further results," Spanish Economic Review, Springer;Spanish Economic Association, vol. 3(4), pages 273-294.
    8. Nelson, Charles R & Siegel, Andrew F, 1987. "Parsimonious Modeling of Yield Curves," The Journal of Business, University of Chicago Press, vol. 60(4), pages 473-489, October.
    9. Soto, Gloria M., 2001. "Immunization derived from a polynomial duration vector in the Spanish bond market," Journal of Banking & Finance, Elsevier, vol. 25(6), pages 1037-1057, June.
    10. Elton, Edwin J & Gruber, Martin J & Michaely, Roni, 1990. " The Structure of Spot Rates and Immunization," Journal of Finance, American Finance Association, vol. 45(2), pages 629-642, June.
    11. Fooladi, Iraj & Roberts, Gordon S., 1992. "Bond portfolio immunization: Canadian tests," Journal of Economics and Business, Elsevier, vol. 44(1), pages 3-17, February.
    12. Gloria M. Soto Pacheco & Mª Asunción Prats Albentosa, 2002. "La Inmunización Financiera: Evaluación De Diferentes Estructuras De Cartera," Working Papers. Serie EC 2002-03, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
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    Cited by:

    1. Ventura Bravo, Jorge Miguel & Pereira da Silva, Carlos Manuel, 2006. "Immunization using a stochastic-process independent multi-factor model: The Portuguese experience," Journal of Banking & Finance, Elsevier, vol. 30(1), pages 133-156, January.
    2. Luís Oliveira & João Vidal Nunes & Luís Malcato, 2014. "The performance of deterministic and stochastic interest rate risk measures:," Portuguese Economic Journal, Springer;Instituto Superior de Economia e Gestao, vol. 13(3), pages 141-165, December.
    3. Joel Barber & Mark Copper, 2012. "Principal component analysis of yield curve movements," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 36(3), pages 750-765, July.
    4. Galluccio, Stefano & Roncoroni, Andrea, 2006. "A new measure of cross-sectional risk and its empirical implications for portfolio risk management," Journal of Banking & Finance, Elsevier, vol. 30(8), pages 2387-2408, August.
    5. Gómez-Valle, Lourdes & Marti­nez-Rodri­guez, Julia, 2008. "Modelling the term structure of interest rates: An efficient nonparametric approach," Journal of Banking & Finance, Elsevier, vol. 32(4), pages 614-623, April.
    6. Díaz, Antonio & González, María de la O & Navarro, Eliseo & Skinner, Frank S., 2009. "An evaluation of contingent immunization," Journal of Banking & Finance, Elsevier, vol. 33(10), pages 1874-1883, October.

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