Duration, factor sensitivities, and interest rate Greeks
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References listed on IDEAS
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More about this item
KeywordsInterest rate risk; Duration; Stochastic duration; Factor sensitivities; E43; G11; G12;
- E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
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