Dieses Lehrbuch bietet eine umfassende Einführung in das finanzwirtschaftliche
Risikomanagement. Die Darstellung der konzeptionellen Grundlagen umfaßt neben einer …

In this paper, we evaluate the relative immunization performance of the M-vector proposed
by Nawalkha and Chambers (1997)[Nawalkha, SK, Chambers, DR, 1997. The M-vector …

This paper summarizes the research project on Modeling of Economic Series Coordinated
with Interest Rate Scenarios initiated by the joint request for proposals by the Casualty …

This paper compares the immunization performance of alternative single and multiple factor
duration models, using Spanish government bond data, over 1, 2 and 3-year horizons. The …

Many assume that in the short run, annuity prices promptly and efficiently respond to
changes in interest rates. Using a unique database of quotes, we show this is not the case …

Protecting against unexpected yield curve, inflation, and longevity shifts are some of the
most critical issues institutional and private investors must solve when managing post …

Protecting against unexpected yield curve, inflation, and longevity shifts are some of the
most critical issues institutional and private investors must solve when managing post …

During 2022, US commercial banks reported more than $500 billion in unrealized losses on
their investment securities portfolios as the Federal Reserve Board raised its target interest …

Volatile markets and economic environments can significantly distort the shape and
smoothness of yield curve movements. This study explores the influence of movements in …

This paper focuses on the Spanish government debt market in an attempt to evaluate the
immunization performance of the polynomial duration model of Chambers and Carleton …