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The Shortcomings Of Duration As A Risk Measure For Bonds

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  • Jess B. Yawitz
  • William J. Marshall

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  • Jess B. Yawitz & William J. Marshall, 1981. "The Shortcomings Of Duration As A Risk Measure For Bonds," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 4(2), pages 91-101, June.
    • Handle: RePEc:bla:jfnres:v:4:y:1981:i:2:p:91-101
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    File URL: http://hdl.handle.net/10.1111/j.1475-6803.1981.tb00611.x
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    References listed on IDEAS

    as
    1. Bierwag, G. O. & Kaufman, George, 1978. "Bond Portfolio Strategy Simulations: A Critique," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 13(3), pages 519-525, September.
    2. Yawitz, Jess B & Hempel, George H & Marshall, William J, 1975. "The Use of Average Maturity as a Risk Proxy in Investment Portfolios," Journal of Finance, American Finance Association, vol. 30(2), pages 325-333, May.
    3. Bierwag, G. O. & Kaufman, George G. & Khang, Chulsoon, 1978. "Duration and Bond Portfolio Analysis: An Overview," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 13(4), pages 671-681, November.
    4. Ingersoll, Jonathan E. & Skelton, Jeffrey & Weil, Roman L., 1978. "Duration Forty Years Later," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 13(4), pages 627-650, November.
    5. Brenner, Menachem & Smidt, Seymour, 1977. "A Simple Model of Non-Stationarity of Systematic Risk," Journal of Finance, American Finance Association, vol. 32(4), pages 1081-1092, September.
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    Cited by:

    1. Mr. Michael G. Papaioannou, 2006. "A Primer for Risk Measurement of Bonded Debt from the Perspective of a Sovereign Debt Manager," IMF Working Papers 2006/195, International Monetary Fund.
    2. Duane Stock, 1985. "Price Volatility Of Municipal Discount Bonds," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 8(1), pages 1-14, March.
    3. W. Brian Barrett & Andrea J. Heuson & Robert W. Kolb, 1986. "The Differential Effects Of Sinking Funds On Bond Risk Premia," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 9(4), pages 303-312, December.
    4. RH Gilmer Jr. & Duane R. Stock, 1988. "Yield Volatility Of Discount Coupon Bonds," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 11(3), pages 189-200, September.

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