Show simple item record

dc.contributor.authorPrettejohn, Brendan
dc.contributor.authorVan Vuuren, Gary
dc.date.accessioned2017-05-15T10:24:49Z
dc.date.available2017-05-15T10:24:49Z
dc.date.issued2016
dc.identifier.citationPrettejohn, B. & Van Vuuren, G. 2016. The effect of yield curve shape and level on bond immunisation effectiveness. Investment Analysts Journal, 45(3):177-193. [http://dx.doi.org/10.1080/10293523.2016.1165901]
dc.identifier.issn1029-3523
dc.identifier.issn2077-0227 (Online)
dc.identifier.urihttp://dx.doi.org/10.1080/10293523.2016.1165901
dc.identifier.urihttp://hdl.handle.net/10394/23746
dc.description.abstractThe effect of different-shaped yield curves on the effectiveness of bond immunisation was investigated. Bonds were priced using historical yield curves of various shapes and simulated interest rate shocks applied. The resulting end-values of these bonds were calculated and compared at relevant duration dates using symmetrical (positive and negative) shocks. Yield curve shape and position were found to be important factors for immunisation effectiveness and results also demonstrated that - all else held constant - immunisation effects are asymmetrical for shocks of different sign. Changes in bond value are consistently less pronounced for positive shocks, regardless of yield curve shape or level.
dc.language.isoen
dc.publisherTaylor & Francis
dc.subjectDuration
dc.subjectimmunisation
dc.subjectyield curves
dc.subjectbonds
dc.subjectconvexity
dc.titleThe effect of yield curve shape and level on bond immunisation effectiveness
dc.typeArticle
dc.contributor.researchID12001333 - Van Vuuren, Gary Wayne


Files in this item

FilesSizeFormatView

There are no files associated with this item.

This item appears in the following Collection(s)

Show simple item record