The performance of deterministic and stochastic interest rate risk measures: another question of dimensions?

Detalhes bibliográficos
Autor(a) principal: Oliveira, L.
Data de Publicação: 2014
Outros Autores: Nunes, J., Malcato, L.
Tipo de documento: Artigo
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: https://ciencia.iscte-iul.pt/public/pub/id/18897
http://hdl.handle.net/10071/8428
Resumo: The efficiency of traditional and stochastic interest rate risk measures is compared under one-, two-, and three-factor no-arbitrage Gauss-Markov term structure models, and for different immunization periods. The empirical analysis, run on the German Treasury bond market from January 2000 to December 2010, suggests that: i) Stochastic interest rate risk measures provide better portfolio immunization than the Fisher-Weil duration; and ii) The superiority of the stochastic risk measures is more evident for multi-factor models and for longer investment horizons. These findings are supported by a first-order stochastic dominance analysis, and are robust against yield curve estimation errors.
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spelling The performance of deterministic and stochastic interest rate risk measures: another question of dimensions?Interest rate riskAsset-liability managementImmunization strategiesStochastic durationStochastic dominanceThe efficiency of traditional and stochastic interest rate risk measures is compared under one-, two-, and three-factor no-arbitrage Gauss-Markov term structure models, and for different immunization periods. The empirical analysis, run on the German Treasury bond market from January 2000 to December 2010, suggests that: i) Stochastic interest rate risk measures provide better portfolio immunization than the Fisher-Weil duration; and ii) The superiority of the stochastic risk measures is more evident for multi-factor models and for longer investment horizons. These findings are supported by a first-order stochastic dominance analysis, and are robust against yield curve estimation errors.Springer Verlag2015-02-03T11:46:49Z2014-01-01T00:00:00Z20142015-02-03T11:35:42Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfhttps://ciencia.iscte-iul.pt/public/pub/id/18897http://hdl.handle.net/10071/8428eng1617-982X10.1007/s1058-014-0104-8Oliveira, L.Nunes, J.Malcato, L.info:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2023-11-09T18:01:13Zoai:repositorio.iscte-iul.pt:10071/8428Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T22:32:42.925388Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse
dc.title.none.fl_str_mv The performance of deterministic and stochastic interest rate risk measures: another question of dimensions?
title The performance of deterministic and stochastic interest rate risk measures: another question of dimensions?
spellingShingle The performance of deterministic and stochastic interest rate risk measures: another question of dimensions?
Oliveira, L.
Interest rate risk
Asset-liability management
Immunization strategies
Stochastic duration
Stochastic dominance
title_short The performance of deterministic and stochastic interest rate risk measures: another question of dimensions?
title_full The performance of deterministic and stochastic interest rate risk measures: another question of dimensions?
title_fullStr The performance of deterministic and stochastic interest rate risk measures: another question of dimensions?
title_full_unstemmed The performance of deterministic and stochastic interest rate risk measures: another question of dimensions?
title_sort The performance of deterministic and stochastic interest rate risk measures: another question of dimensions?
author Oliveira, L.
author_facet Oliveira, L.
Nunes, J.
Malcato, L.
author_role author
author2 Nunes, J.
Malcato, L.
author2_role author
author
dc.contributor.author.fl_str_mv Oliveira, L.
Nunes, J.
Malcato, L.
dc.subject.por.fl_str_mv Interest rate risk
Asset-liability management
Immunization strategies
Stochastic duration
Stochastic dominance
topic Interest rate risk
Asset-liability management
Immunization strategies
Stochastic duration
Stochastic dominance
description The efficiency of traditional and stochastic interest rate risk measures is compared under one-, two-, and three-factor no-arbitrage Gauss-Markov term structure models, and for different immunization periods. The empirical analysis, run on the German Treasury bond market from January 2000 to December 2010, suggests that: i) Stochastic interest rate risk measures provide better portfolio immunization than the Fisher-Weil duration; and ii) The superiority of the stochastic risk measures is more evident for multi-factor models and for longer investment horizons. These findings are supported by a first-order stochastic dominance analysis, and are robust against yield curve estimation errors.
publishDate 2014
dc.date.none.fl_str_mv 2014-01-01T00:00:00Z
2014
2015-02-03T11:46:49Z
2015-02-03T11:35:42Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
format article
status_str publishedVersion
dc.identifier.uri.fl_str_mv https://ciencia.iscte-iul.pt/public/pub/id/18897
http://hdl.handle.net/10071/8428
url https://ciencia.iscte-iul.pt/public/pub/id/18897
http://hdl.handle.net/10071/8428
dc.language.iso.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv 1617-982X
10.1007/s1058-014-0104-8
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.publisher.none.fl_str_mv Springer Verlag
publisher.none.fl_str_mv Springer Verlag
dc.source.none.fl_str_mv reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron:RCAAP
instname_str Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron_str RCAAP
institution RCAAP
reponame_str Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
collection Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
repository.name.fl_str_mv Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
repository.mail.fl_str_mv
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