A comprehensive framework dealing with modern yield curve risk and portfolio management
is provided. Key rate durations (KRD) are used to generate RiskMetrics cash flow mappings …

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 …

Straight after its invention in the early sixties, the Kalman filter approach became part of the
astronautical guidance system of the Apollo project and therefore received immediate …

In the summer of 1991, the first issue of The Journal of Fixed Income was published. More
than 900 articles have been published in the journal since then, educating market …

In order to apply asset-liability management techniques to property-liability insurers, the
sensitivity of liabilities to interest rate changes, or duration, must be calculated. The current …

In the summer of 1991, the first issue of The Journal of Fixed Income was published. More
than 900 articles have been published in the journal since then, educating market …

对目前利率期限结构的研究状况进行一个评述性的研究, 从5 个方面介绍和分析了国内外有关
利率期限结构的研究. 这5 个方面包括: 利率期限结构形成假设; 利率期限结构静态估计; …

In this chapter we develop a new immunization model based on a parametric specification of
the term structure of interest rates. The model extends traditional duration analysis to …

The movements of domestic term structures of interest rates are commonly assumed to be
driven by a small number of factors, usually obtained from a principal component analysis. In …

Some of the most actively traded and liquid instruments in the marketplace are newly issued
Treasury notes and bonds. A not inconsiderable proportion of these are issued with irregular …