publication . Doctoral thesis . Article . 2002

The Performance Of Alternative Interest Rate Risk Measures And Immunization Strategies Under A Heath-Jarrow-Morton Framework

Senay Agca;
Open Access
  • Published: 25 Mar 2002
  • Publisher: Virginia Tech
  • Country: United States
Abstract
The Heath-Jarrow-Morton (HJM) model represents the latest in powerful arbitrage-free technology for modeling the term structure and managing interest rate risk. Yet risk management strategies in the form of immunization portfolios using duration, convexity, and M-square are still widely used in bond portfolio management today. This study addresses the question of how traditional risk measures and immunization strategies perform when the term structure evolves in the HJM manner. Using Monte Carlo simulation, I analyze four HJM volatility structures, four initial term structure shapes, three holding periods, and two traditional immunization approaches (duration-ma...
Subjects
Medical Subject Headings: education
free text keywords: Arbitrage-free Pricing, Interest Rate Risk Measures, Portfolio Formation Strategies, Term Structure Models, Immunization Strategies
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Doctoral thesis . 2002
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