IDEAS home Printed from https://ideas.repec.org/h/spr/sprchp/978-3-030-91231-4_14.html
   My bibliography  Save this book chapter

Duration Concepts, Analysis, and Applications

In: Encyclopedia of Finance

Author

Listed:
  • Zvika Afik

    (Hadassah Academic College)

  • Iraj Fooladi

    (Dalhousie University)

  • Gady Jacoby

    (The University of Manitoba)

  • Gordon Roberts

    (York University)

Abstract

We discuss duration and its development, placing particular emphasis on various applications. The survey begins by introducing duration and showing how traders and portfolio managers use this measure in speculative and hedging strategies. We then turn to convexity, a complication arising from relaxing the linearity assumption in duration. Next, we present immunization – a hedging strategy based on duration – and then examine stochastic process risk, foreign-exchange risk, and duration extensions that address these risks. We also examine the track record of duration and how the measure applies to financial futures. The discussion then turns to macrohedging the entire balance sheet of a financial institution. We develop a theoretical framework for duration gaps and apply it, in turn, to banks, life insurance companies, and defined benefit pension plans.

Suggested Citation

  • Zvika Afik & Iraj Fooladi & Gady Jacoby & Gordon Roberts, 2022. "Duration Concepts, Analysis, and Applications," Springer Books, in: Cheng-Few Lee & Alice C. Lee (ed.), Encyclopedia of Finance, edition 0, chapter 14, pages 681-702, Springer.
    • Handle: RePEc:spr:sprchp:978-3-030-91231-4_14
    DOI: 10.1007/978-3-030-91231-4_14
    as

    Download full text from publisher

    To our knowledge, this item is not available for download. To find whether it is available, there are three options:
    1. Check below whether another version of this item is available online.
    2. Check on the provider's web page whether it is in fact available.
    3. Perform a search for a similarly titled item that would be available.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:spr:sprchp:978-3-030-91231-4_14. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.springer.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.