Jump to ContentJump to Main Navigation
Fixed Income Modelling$
Users without a subscription are not able to see the full content.

Claus Munk

Print publication date: 2011

Print ISBN-13: 9780199575084

Published to Oxford Scholarship Online: September 2011

DOI: 10.1093/acprof:oso/9780199575084.001.0001

Show Summary Details
Page of

PRINTED FROM OXFORD SCHOLARSHIP ONLINE (www.oxfordscholarship.com). (c) Copyright Oxford University Press, 2019. All Rights Reserved. An individual user may print out a PDF of a single chapter of a monograph in OSO for personal use. date: 14 November 2019

The Measurement and Management of Interest Rate Risk

The Measurement and Management of Interest Rate Risk

Chapter:
(p.323) 12 The Measurement and Management of Interest Rate Risk
Source:
Fixed Income Modelling
Author(s):

Claus Munk

Publisher:
Oxford University Press
DOI:10.1093/acprof:oso/9780199575084.003.0012

The values of bonds and other fixed income securities vary over time primarily due to changes in the term structure of interest rates. Most investors want to measure and compare the sensitivities of different securities to term structure movements. This chapter discusses how to quantify the interest rate risk of bonds and how these risk measures can be used in the management of the interest rate risk of portfolios. The traditional duration and convexity measures are critically reviewed and more appropriate versions of these measures are introduced. The application of the risk measures in the construction of so-called immunization strategies is explained. An application of a duration measure in the pricing of European options on bonds is also illustrated. Some alternative risk measures are discussed.

Keywords:   duration, convexity, time value, immunization, bond option pricing, risk measures

Oxford Scholarship Online requires a subscription or purchase to access the full text of books within the service. Public users can however freely search the site and view the abstracts and keywords for each book and chapter.

Please, subscribe or login to access full text content.

If you think you should have access to this title, please contact your librarian.

To troubleshoot, please check our FAQs , and if you can't find the answer there, please contact us .