Duration Analysis: Managing Interest Rate Risk
Duration Analysis: Managing Interest Rate Risk
User Ratings and Reviews
5 Stars Managing Interest Rates on Fixed Income Securities
From Preface:
[1987]
“Professional managers, using duration concepts, manage investment funds worth billions of dollars in fixed income securities. Duration analysis has come of age. It represents a methodical approach to prudent investments in bonds and mortgages. Whether duration analysis appeals to all investment managers or not, it will likely continue into the 21st Century.
This book contains:
* a complete development of the fundamentals
* a detailed description of leading applications
* technical appendixes
* an up-to-date summary of published empirical research on duration analysis
* some caveats dealing with callability and credit risk
* some indications of the direction of future research
The book is intended to be a guide to the many-splendored wrinkles of duration analysis as well as an accessible exposition of the fundamentals and their applications.
Chapters include:
I - Duration and Changes in Valuation
1 - Income Streams, Discount Functions, Yield to Maturity
[Interest Rate as an Index Number; Interest Rate as Rate of Return; Constant Time Price for Money; The Yield to Maturity (Internal Rate of Return)]
2 - Bond and Mortgages
[Bonds: General Valuation, Par Bonds, Discount Bonds, Premium Bonds, Amortization, Value as a Function of Yield to Maturity]
3 - Duration and Changes in Prices and Yields to Maturity
[Yield to Maturity and Price Changes; Coupon Rate and Price Changes; Maturity and Price Changes; Percentage Price Changes and Duration]
II - Investment and Strategies, Duration, and Risk
4 - Investment Accumulation and Duration
[Duration of Portfolio, Duration Window, Planning Period, Dynamic Immunization Strategy]
5 - Measuring Risk and Return
[Expected Excess Returns and the Variance of Returns; The Optimal Duration Decision; Approximating the Efficient Frontier, The Fishburn Risk Measure]
III - Applications
6 - Contingent Immunization
[Potential Return, Trigger yield Contours, Risk and Returns]
7 - Funding Multiple Liabilities: Dedicated Portfolios
[Redington's Problem, Examples of Redington's Dispersion Condition]
8 - Duration and Operations in the Futures Markets
[Futures and Forward Contracts; Interest Rate Futures; Hedging and Duration]
9 - Depository and Other Financial Institutions: Duration Gap Management
[Net Worth and Interest Rate Risk; Capital/Asset Ratio and Interest Rate Risk, Net Economic Income and Interest Rate Risk; Net Return on Assets and Interest Rate Risk; Illustrations of the Impact of Interest Rate Changes;]
IV - Empirical Estimation and Simulations
10 - The Term Structure of Interest Rates
[Forward Rates, Examples of Forward Rate Computations; Yield Curves; Implications of Coupon Biases; Measuring the Term Structure]
11 - Duration and Stochastic Processes of the Term Structure
[Stochastic Process, Duration as Elasticity, Multi-variable Random Shifts]
12 - Empirical Research
[Immunization Studies; Regression Studies]
V - Non-Interest Rate Risk
13 - Some Caveats on Callability and Credit Risk
[Callable Bonds, Default Risk]
Filed under: Mortgage Book Reviews
