Year: 1998
Author: Freisleben, Bernd, Ripper, Klaus
Credit and Capital Markets – Kredit und Kapital, Vol. 31 (1998), Iss. 2 : pp. 245–272
Abstract
Statistical Analysis of the Interest Process Risk and of Interest-Based Derivative Securities
This contribution analyses the interest process risk pertaining to fixed-interestbearing loans and to interest-based derivative securities. On the basis of an analysis of main components, it shows for the German capital market that the risk component involved in portfolios of fixed-interest-bearing securities can be traced back to three major factors. The results of the analysis of main-components are related to ordinary risk indicators. It turns out that the Fisher-Weil-duration suffices as risk indicator for most portfolios of fixed-interest-bearing securities. Only where portfolios consist of interest-based products for the most part is the use of the more costly key-rate-duration justified.
Journal Article Details
Publisher Name: Global Science Press
Language: Multiple languages
DOI: https://doi.org/10.3790/ccm.31.2.245
Credit and Capital Markets – Kredit und Kapital, Vol. 31 (1998), Iss. 2 : pp. 245–272
Published online: 1998-02
AMS Subject Headings: Duncker & Humblot
Copyright: COPYRIGHT: © Global Science Press
Pages: 28
Author Details
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