A two-factor duration model for interest rate risk management

Keywords

Duration (music), Economics, Business, Physics

References

• Estructura temporal de tipos de interés: hipótesis teóricas y resultados empíricosXavier Freixas Dargallo — 1992
• Abstract: An Equilibrium Characterization of the Term StructureOldrich A. Vasicek — 1977
• An arbitrage model of the term structure of interest ratesScott F. Richard — 1978
• Immunizing Default-Free Bond Portfolios with a Duration VectorDonald R. Chambers, Willard T. Carleton, Richard W. McEnally — 1988
• Duration mapping of thrift institution value paths: Tests of completenessDonald G. Simonson, Duane Stock — 1991
• The Structure of Spot Rates and ImmunizationEdwin J. Elton, Martin J. Gruber, Roni Michaely — 1990
• A continuous time approach to the pricing of bondsMichael J. Brennan, Eduardo S. Schwartz — 1979
• Term Structure Modeling Using Exponential SplinesOldrich A Vasicek, H. Gifford Fong — 1982
• A theory of the term structure of interest rates'', Econometrica 53, 385-407John C. Cox, Jonathan E. Ingersoll, Stephen A. Ross — 1985

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• El modelo de Black, Derman y Toy en la práctica: aplicación al mercado español de deuda públicaMarta Tolentino García-Abadillo, Antonio Díaz — 2006
• Análisis factorial del mercado español de deuda públicaSonia Benito Muela — 2008
• Term Structure Estimation: A ReviewEmma Berenguer, Ricardo Gimeno, Juan M. Nave Pineda — 2013
• Hedging bond portfolios versus infinitely many ranked factors of riskMaría José Pérez Fructuoso, Esperanza H. Montagut, Alejandro Balbás — 2004
• A factor analysis of volatility across the term structure: the Spanish caseSonia Benito Muela, Alfonso Novales — 2005
• Using Principal Component Analysis to Explain Term Structure Movements: Performance and StabilityGloria M. Soto — 2004
• LA HIPÓTESIS DE LAS EXPECTATIVAS EN EL LARGO PLAZO: EVIDENCIA EN EL MERCADO ESPAÑOL DE DEUDA PÚBLICAMagdalena Massot Perelló, Juan M. Nave — 2003
• The structure of spot rates and immunization: Some further resultsEliseo Navarro, Juan M. Nave — 2001
• Duration models and IRR management: A question of dimensions?☆Gloria M. Soto — 2004
• Immunization Derived from a Polynomial Duration Vector in the Spanish Bond MarketGloria M. Soto — 2001
• An evaluation of contingent immunizationAntonio Díaz, María de la O González, Eliseo Navarro — 2009
• Dispersion measures as immunization risk measuresAlejandro Balbás, Alfredo Ibáñez, Susana López — 2002
• MODELOS DE INMUNIZACIÓN DE CARTERAS DE RENTA FIJAGloria M. Soto — 2001
• MODELOS DE DURACIÓN Y GESTIÓN DEL RIESGO DE INTERÉS: ¿UN PROBLEMA DE DIMENSIÓN?Gloria M. Soto — 2002
• Envelopes for the term structure of interest ratesSusana López, Alejandro Balbás — 2000
• The Implied Equity Duration When Discounting and Forecasting Parameters are Industry SpecificOlga Fullana, Juan M. Nave, David Toscano — 2018
• Duration model for maturity gap risk management in Islamic banksSyed Alamdar Ali Shah, Raditya Sukmana, Bayu Arie Fianto — 2020
• Bonds duration and COVID-19: A study on United Kingdom conventional giltsRiffat Mughal — 2021
• The implied equity duration when discounting and forecasting parameters are industry specificOlga Fullana, Juan M. Nave, David Toscano — 2016
• Term Structure of Volatilities and Estimation Method of the Term Structure of Interest RatesA. Díaz, Francisco Jareño, Eliseo Navarro — 2008

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