Artigo em revista científica Q3
The performance of deterministic and stochastic interest rate risk measures: another question of dimensions?
Luis Oliveira (Oliveira, L.); João Nunes (Nunes, J.); Luís Malcato (Malcato, L.);
Título Revista
Portuguese Economic Journal
Ano (publicação definitiva)
2014
Língua
Inglês
País
Alemanha
Mais Informação
Web of Science®

N.º de citações: 3

(Última verificação: 2024-03-01 09:22)

Ver o registo na Web of Science®


: 0.5
Scopus

N.º de citações: 3

(Última verificação: 2024-02-27 20:36)

Ver o registo na Scopus


: 0.4
Google Scholar

Esta publicação não está indexada no Google Scholar

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
--
Palavras-chave
Interest rate risk; Asset-liability management; Immunization strategies; Stochastic duration ; Stochastic dominance
  • Economia e Gestão - Ciências Sociais