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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
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A Multivariate Approach to Immunization Theory
case where N - (1, ••• ,1), the parallel shift direct ion vector, (3.14) reduces to: (3. 15) O(P;iO) ... .;;;. 0, local irl1rll~lrllzatl':'n 11'1 tOle direct i,;:,n of M is assl .. wed. : I Results on global ...- Authors: Robert Reitano
- Date: Aug 1990
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Finance & Investments>Asset liability management; Modeling & Statistical Methods