We found a match
Your institution may have access to this item. Find your institution then sign in to continue.
- Title
Duration and Convexity for Assessing Interest Rate Risk.
- Authors
Richie, Nivine F.; Mautz Jr., R. David; Sackley, William H.
- Abstract
The article explains the use of duration analysis and convexity analysis for assessing interest rate risk. In duration analysis, factors to consider to determine the period when an asset is collected or a liability is repaid are maturity, average life, weighted-average life and Macaulay duration. It discusses the link between interest rate risk and term to repayment and illustrates the price-yield relationship for fixed-income securities. Emphasis is also given on the importance of estimating duration gap and convexity gap and their relationship.
- Subjects
INTEREST rate risk; INTEREST rates; RISK management in business; REPAYMENTS; PAYMENT; LIQUIDITY (Economics); CASH flow; CONVEX domains
- Publication
Bank Accounting & Finance (08943958), 2010, Vol 23, Issue 2, p25
- ISSN
0894-3958
- Publication type
Article