[BOOK][B] Interest rate risk modeling: The fixed income valuation course

SK Nawalkha, GM Soto, NA Beliaeva - 2005 - books.google.com
The definitive guide to fixed income valuation and risk analysis The Trilogy in Fixed Income
Valuation and Risk Analysis comprehensively covers the most definitive work on interest …

[BOOK][B] Dynamic term structure modeling: the fixed income valuation course

SK Nawalkha, GM Soto, NA Beliaeva - 2007 - books.google.com
Praise for Dynamic Term Structure Modeling" This book offers the most comprehensive
coverage of term-structure models I have seen so far, encompassing equilibrium and no …

When can you immunize a bond portfolio?

A Balbás, A Ibáñez - Journal of Banking & Finance, 1998 - Elsevier
This paper presents a condition equivalent to the existence of a Riskless Shadow Asset that
guarantees a minimum return when the asset prices are convex functions of interest rates or …

Duration models and IRR management: A question of dimensions?

GM Soto - Journal of Banking & Finance, 2004 - Elsevier
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 …

Dispersion measures as immunization risk measures

A Balbás, A Ibanez, S Lopez - Journal of banking & finance, 2002 - Elsevier
The quadratic and linear cash flow dispersion measures M2 and N ̃ are two immunization
risk measures designed to build immunized bond portfolios. This paper generalizes these …

Interest rate sensitivities of bond risk measures

TF Crack, SK Nawalkha - Financial Analysts Journal, 2000 - Taylor & Francis
We present a simple expression for the sensitivity of duration, convexity, and higher-order
bond risk measures to changes in term-structure shape parameters. Our analysis enables …

Immunization derived from a polynomial duration vector in the Spanish bond market

GM Soto - Journal of banking & finance, 2001 - Elsevier
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 …

Managing interest rate risk: The next challenge?

SK Nawalkha, GM Soto - Available at SSRN 1392543, 2012 - papers.ssrn.com
Are the managers of financial institutions ready for the small but increasingly significant risk
of inflation in the near future, due to the unprecedented fiscal and monetary responses of the …

A new measure of cross-sectional risk and its empirical implications for portfolio risk management

S Galluccio, A Roncoroni - Journal of Banking & Finance, 2006 - Elsevier
Litterman et al.[Litterman, R., Scheinkman, J., Weiss, L., 1991. Volatility and the yield curve.
Journal of Fixed Income 1 (June), 49–53] and Engle and Ng [Engle, RF, Ng, VK, 1993. Time …

The duration vector: A continuous-time extension to default-free interest rate contingent claims

SK Nawalkha - Journal of Banking & Finance, 1995 - Elsevier
This paper presents a continuous-time contingent claims framework for the traditional
duration vector models of Chambers et al.(Journal of Financial and Quantitative Analysis …