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A Multivariate Approach to Duration Analysis
Sensitivity Price Sensitivity REFERENCES Direct Yield Curve Approach Yield Curve Slope Approach ... case, because D(O) and CCO) are small. The primary limitation of the parallel shift approach is that ...- Authors: Robert Reitano
- Date: Jan 1989
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Modeling & Statistical Methods>Asset modeling