发帖
雷达卡
金融风险Durationmodel
Introduction
First developed in 1938 by Frederick MacaulayTaking into account both leverage and timing of cash flow of assets and liabilitiesMore accuracy in interest rate measurementBetter for interest rate risk immunizationRegulatory requirement
Reflection on the Shortcoming of Maturity model: Ignoring coupon effect
Maturity model tries to take advantage of the maturity effect on bond value and use its maturity as an indicator of its interest rate sensitivity.But strictly spe ...
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