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The performance of deterministic and stochastic interest rate risk measures : Another Question of Dimensions?

2014-12Journal article Restricted access
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dc.contributor.authorOliveira, Luís
dc.contributor.authorNunes, João Pedro Vidal
dc.contributor.authorMalcato, Luís
dc.date.accessioned2018-06-25T14:44:33Z
dc.date.available2018-06-25T14:44:33Z
dc.date.issued2014-12
dc.description.abstractThe 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.pt_PT
dc.description.versioninfo:eu-repo/semantics/publishedVersionpt_PT
dc.identifier.citationOliveira, Luís, João Pedro Vidal Nunes e Luís Malcato (2014). "The performance of deterministic and stochastic interest rate risk measures : Another Question of Dimensions?". Portuguese Economic Journal, 13(3):141-165pt_PT
dc.identifier.doi10.1007/s10258-014-0104-8pt_PT
dc.identifier.issn1617-982X (print)
dc.identifier.issn1617-9838 (online)
dc.identifier.urihttp://hdl.handle.net/10400.5/15724
dc.language.isoengpt_PT
dc.peerreviewedyespt_PT
dc.publisherSpringer Verlagpt_PT
dc.relationEarly exercise decisions under uncertainty and stochastic interest rates
dc.subjectInterest rate riskpt_PT
dc.subjectAsset-liability managementpt_PT
dc.subjectImmunization strategiespt_PT
dc.subjectStochastic durationpt_PT
dc.subjectStochastic dominancept_PT
dc.titleThe performance of deterministic and stochastic interest rate risk measures : Another Question of Dimensions?pt_PT
dc.typejournal article
dspace.entity.typePublication
oaire.awardTitleEarly exercise decisions under uncertainty and stochastic interest rates
oaire.awardURIinfo:eu-repo/grantAgreement/FCT/3599-PPCDT/PTDC%2FEGE-ECO%2F099255%2F2008/PT
oaire.citation.conferencePlaceLisboapt_PT
oaire.citation.endPage165pt_PT
oaire.citation.issue3pt_PT
oaire.citation.startPage141pt_PT
oaire.citation.titlePortuguese Economic Journalpt_PT
oaire.citation.volume13pt_PT
oaire.fundingStream3599-PPCDT
project.funder.identifierhttp://doi.org/10.13039/501100001871
project.funder.nameFundação para a Ciência e a Tecnologia
rcaap.rightsclosedAccesspt_PT
rcaap.typearticlept_PT
relation.isProjectOfPublication74ecc5f6-005d-47a6-b839-daf7bcccbd6f
relation.isProjectOfPublication.latestForDiscovery74ecc5f6-005d-47a6-b839-daf7bcccbd6f

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Portuguese Economic Journal, 2014, Volume 13, Nº 3