Enhanced Immunization for Financial Institutions Using the Duration Vector
Author | : Donald R. Chambers |
Publisher | : |
Total Pages | : 46 |
Release | : 1988 |
ISBN-10 | : IND:30000105859544 |
ISBN-13 | : |
Rating | : 4/5 (44 Downloads) |
Download or read book Enhanced Immunization for Financial Institutions Using the Duration Vector written by Donald R. Chambers and published by . This book was released on 1988 with total page 46 pages. Available in PDF, EPUB and Kindle. Book excerpt: The purpose of this paper is to demonstrate the use of a duration vector developed by Chambers and others (1, 2, 3, 4) to reduce the interest-rate-risk exposure of a financial institution. Three balance sheets are constructed using the duration-vector. Each balance sheet is designed to eliminate the sensitivity of the financial institution's equity to interest-rate changes that affect the financial institutions' assets and liabilities. The three balance sheets are analyzed with interest-rate data from 1971-1983. The results indicate that the duration-vector is able to eliminate virtually all interest-rate risk.