IDEAS home Printed from https://ideas.repec.org/a/ids/ijecbr/v3y2011i2p176-191.html
   My bibliography  Save this article

Properties of duration drift

Author

Listed:
  • Juho Kanniainen
  • Keijo Ruohonen

Abstract

Duration requires active monitoring because it is sensitive to the yield, resulting in duration drift. Duration drift determines the portfolio's exposure to rate changes, and hence it can be used as a measure of immunisation risk. However, research has barely focused on the properties of duration drift. This study demonstrates how the structure of cash flows affects duration and its drift, how duration drift itself responds to a change in the yield and what conditions affect the stability or reactivity of duration. With these results, we discuss the conditions under which the immunisation strategy must be guarded against reactive duration and high immunisation risk.

Suggested Citation

  • Juho Kanniainen & Keijo Ruohonen, 2011. "Properties of duration drift," International Journal of Economics and Business Research, Inderscience Enterprises Ltd, vol. 3(2), pages 176-191.
    • Handle: RePEc:ids:ijecbr:v:3:y:2011:i:2:p:176-191
    as

    Download full text from publisher

    File URL: http://www.inderscience.com/link.php?id=38794
    Download Restriction: Access to full text is restricted to subscribers.
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ids:ijecbr:v:3:y:2011:i:2:p:176-191. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sarah Parker (email available below). General contact details of provider: http://www.inderscience.com/browse/index.php?journalID=310 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.