Zobrazeno 1 - 10
of 46
pro vyhledávání: '"G. O. Bierwag"'
Autor:
George G. Kaufman, G. O. Bierwag
Publikováno v:
Bond Duration and Immunization ISBN: 9781315145976
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::21144366d8f76fa5cf81a474ead91f1e
https://doi.org/10.4324/9781315145976-12
https://doi.org/10.4324/9781315145976-12
Autor:
G. O. Bierwag
Publikováno v:
Bond Duration and Immunization ISBN: 9781315145976
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::60cd3566990eb3757951497bcee9cc74
https://doi.org/10.4324/9781315145976-13
https://doi.org/10.4324/9781315145976-13
Autor:
G. O. Bierwag
Publikováno v:
Canadian Journal of Administrative Sciences / Revue Canadienne des Sciences de l'Administration. 17:115-125
This paper presents duration measures devised for the Ho-Lee binomial bond-pricing stochastic process. The returns per dollar from any interest rate sensitive portfolio of securities is illustrated diagrammatically and it is shown that the duration m
Publikováno v:
Canadian Journal of Administrative Sciences / Revue Canadienne des Sciences de l'Administration. 17:126-142
This paper demonstrates the applicability of duration as a risk management tool for government organizations. Drawing on a real case, we present methodologies for quantifying (a) the durations of real assets on a government's balance sheet, and (b) t
Autor:
Edward I. Altman, G. O. Bierwag, Andrew H. Chen, Kose John, Stephen M. Schaefer, Richard A. Brealey, Robert A. Eisenbeis, J. Fred Weston, William F. Sharpe, George G. Kaufman, Mark J. Flannery, Jeremy J. Siegel, Marshall E. Blume, Lemma W. Senbet, Alan Kraus, Richard R. West, Richard Herring, Eduardo S. Schwartz, Kenneth E. Scott, George J. Benston, Willard T. Carleton, Dennis E. Logue, Wayne E. Ferson, Nils H. Hakansson, Marti G. Subrahmanyam, Charles Goodhart, Stewart C. Myers, Ed Kane, Elroy Dimson, Franklin R. Edwards, Seymour Smidt, Ingo Walter, James C. Van Horne
Publikováno v:
Journal of Applied Corporate Finance. 16:108-111
Autor:
G. O. Bierwag
Publikováno v:
The Journal of Fixed Income. 6:76-87
Publikováno v:
Journal of Banking & Finance. 17:1147-1170
The theoretical and empirical properties of M -squared, a measure of cash flow dispersion used in designing duration-hedged portfolios, are examined. Contrary to prior research, minimizing M -squared is not independent of the stochastic process and t
Publikováno v:
Journal of Banking & Finance. 16:705-714
This paper develops the duration of a portfolio of bonds that trade on different term structures because of, say, differences in credit quality. Such portfolios are widely held by investors. In contrast to the duration of a portfolio of bonds priced
Autor:
G. O. Bierwag, George G. Kaufman
Publikováno v:
Journal of Financial Services Research. 5:217-234
Duration gaps for depository institutions are derived for economic net worth, economic net income, and book value interest income. The duration gaps previously constructed for on-balance sheet accounts are expanded to off-balance sheet accounts, incl
Publikováno v:
The Journal of Portfolio Management. 17:51-55
A lthough most applications of duration we for bond portfolios, duration measures generally we derived for individual securities, not for portfo'ios. Portfolio durations usually are computed by av?raging the durations of the composite individual jecu