Measuring of bond price sensitivity
In this article is analyzed duration as a measure of interest risk of bonds. We study significant factors which influence on highness of duration and also price chance of bonds. We discuss different ways to calculate duration and also we try to show its importance to management of bonds portfolio.
Volume (Year): 2007 (2007)
Issue (Month): 3 ()
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References listed on IDEAS
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- Fisher, Lawrence & Weil, Roman L, 1971. "Coping with the Risk of Interest-Rate Fluctuations: Returns to Bondholders from Naive and Optimal Strategies," The Journal of Business, University of Chicago Press, vol. 44(4), pages 408-31, October.
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