Interest Rate Sensitivities of Bond Risk Measures Export

@article{citeulike:6045188, abstract = {We derive 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 fixed income portfolio managers to capture the combined effects of term structure level, slope, and curvature shifts on any specific bond risk measure. These results are particularly important in volatile interest rate environments. We provide simple numerical examples.}, author = {Crack, Timothy F. and Nawalkha, Sanjay}, citeulike-article-id = {6045188}, citeulike-linkout-0 = {http://ssrn.com/abstract=1336261}, citeulike-linkout-1 = {http://papers.ssrn.com/sol3/Delivery.cfm/SSRN_ID1336261_code32962.pdf?abstractid=1336261&mirid=1}, day = {02}, journal = {Social Science Research Network Working Paper Series}, keywords = {bond, convexity, duration, m-square, measures, risk, structure, term}, month = {February}, posted-at = {2009-10-30 22:25:34}, priority = {2}, publisher = {SSRN}, title = {Interest Rate Sensitivities of Bond Risk Measures}, url = {http://ssrn.com/abstract=1336261}, year = {2009} }

TY - JOUR ID - citeulike:6045188 L3 - citeulike-article-id:6045188 N2 - We derive 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 fixed income portfolio managers to capture the combined effects of term structure level, slope, and curvature shifts on any specific bond risk measure. These results are particularly important in volatile interest rate environments. We provide simple numerical examples. JF - Social Science Research Network Working Paper Series TI - Interest Rate Sensitivities of Bond Risk Measures PB - SSRN KW - bond KW - convexity KW - duration KW - m-square KW - measures KW - risk KW - structure KW - term AU - Crack, Timothy AU - Nawalkha, Sanjay PY - 2009/February/02/ UR - http://ssrn.com/abstract=1336261 ER -