Comunicação em evento científico
The Performance of Deterministic and Stochastic Interest Rate Risk Measures: Another Question of Dimensions?
Luís Oliveira (Oliveira, L.); joão pedro vidal nunes (joão nunes); Luís Malcato (Malcato, L.);
Título Evento
PFN 8th Finance Conference
Ano
2014
Língua
Inglês
País
Portugal
Mais Informação
Abstract/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.
Agradecimentos/Acknowledgements
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Palavras-chave
Interest rate risk, Asset-liability management, Immunization strategies, Stochastic duration, Stochastic dominance