Arbeitspapier
Duration & Dimension
In fixed income analysis, duration plays a central role as a proxy for interestrate risk exposure. Althoughthis role relies on the interpretation of duration as (minus) theyield elasticity of the bond price, duration ismeasured as a bond's present value weighted average time to maturity andexpressed in terms of years. Hence duration is regarded as an elasticity with a time dimension. Inthis note we resolve this apparentduration paradox and show that duration is a pure number.
- Sprache
-
Englisch
- Erschienen in
-
Series: Tinbergen Institute Discussion Paper ; No. 99-047/2
- Klassifikation
-
Wirtschaft
- Thema
-
Anleihe
Zins
Dauer
Theorie
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Hallerbach, Winfried G.
- Ereignis
-
Veröffentlichung
- (wer)
-
Tinbergen Institute
- (wo)
-
Amsterdam and Rotterdam
- (wann)
-
1999
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:42 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Hallerbach, Winfried G.
- Tinbergen Institute
Entstanden
- 1999
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