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EXPONENTIAL DURATION: A MORE ACCURATE ESTIMATION OF INTEREST RATE RISK

โœ Scribed by Miles Livingston; Lei Zhou


Book ID
111215478
Publisher
John Wiley and Sons
Year
2005
Tongue
English
Weight
219 KB
Volume
28
Category
Article
ISSN
0270-2592

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Readily grasped concepts such as lifetime risk of, and expected age at onset of, a disease, cannot be easily estimated by the relative risk methods commonly used in epidemiology. Here we develop a method for estimating these quantities with confidence intervals, where the likelihood is a multivariat