Picture child's feet next to pens, pencils and paper

Open Access research that is helping to improve educational outcomes for children

Strathprints makes available scholarly Open Access content by researchers in the School of Education, including those researching educational and social practices in curricular subjects. Research in this area seeks to understand the complex influences that increase curricula capacity and engagement by studying how curriculum practices relate to cultural, intellectual and social practices in and out of schools and nurseries.

Research at the School of Education also spans a number of other areas, including inclusive pedagogy, philosophy of education, health and wellbeing within health-related aspects of education (e.g. physical education and sport pedagogy, autism and technology, counselling education, and pedagogies for mental and emotional health), languages education, and other areas.

Explore Open Access education research. Or explore all of Strathclyde's Open Access research...

Strathprints

Interest rate risk estimation : a new duration-based approach

Bajo, Emanuele and Barbi, Massimiliano and Hillier, David (2013) Interest rate risk estimation : a new duration-based approach. Applied Economics, 45 (19). pp. 2697-2704. ISSN 0003-6846

Full text not available in this repository. Request a copy from the Strathclyde author

Abstract

Duration is widely used by fixed income managers to proxy the interest rate risk of their assets and liabilities. However, it is well known that the convexity of the price-yield relationship introduces approximation errors that grow with changes in yield. In this article we suggest a new approach, 'discrete duration', which significantly improves upon the accuracy of traditional duration methods and achieves a level of accuracy close to the more complex 'duration-plus-convexity' measure. In particular, discrete duration performs particularly well for long dated and low coupon rate bonds where the estimation error is impressively close to zero.

Item type: Article
ID code: 44267
Keywords: interest rate risk, duration, hedging, fixed income, Accounting, Economics and Econometrics
Subjects: Social Sciences > Commerce > Accounting
Department: Strathclyde Business School > Accounting and Finance
Depositing user: Pure Administrator
Date deposited: 02 Jul 2013 10:57
Last modified: 12 Sep 2018 22:00
Related URLs:
URI: https://strathprints.strath.ac.uk/id/eprint/44267
Export data:
CORE (COnnecting REpositories)