Concepedia

Duration Convexity Analysis

Duration Convexity Analysis is a fixed-income risk measurement framework that assesses the sensitivity of a bond's duration to changes in interest rates, thereby providing a second-order approximation of price volatility beyond linear duration effects.

15

Publications

321

Citations

29

Authors

23

Institutions

Publications per year

2017–2026

0

Parents

Publications

15

Using Duration and Convexity in the Analysis of Callable Bonds

Mark L. Dunetz, James M. Mahoney · Financial Analysts Journal · 1988 · 41 citations

, , +10

Relative Risk Of Islamic Sukuk Over Government And Conventional Bonds

Ravindran Ramasamy, Shanmugam Munisamy, Mohd Hanif Mohd Helmi · Global Journal of Management and Business Research · 2011 · 37 citations · Full text

, , +13

Non-Parallel Yield Curve Shifts and Stochastic Immunization

Robert R. Reitano · The Journal of Portfolio Management · 1996 · 33 citations

, , +12

Duration, Convexity, and Time Value

Bjarne G. Sørensen · The Journal of Portfolio Management · 1994 · 31 citations

, , +7

Duration, Convexity, and Time as Components of Bond Returns

Don M. Chance, James V. Jordan · The Journal of Fixed Income · 1996 · 29 citations

, , +17

1–5 of 15

Authors

29

  1. IF
    Iraj Fooladi

    Dalhousie University, Canada

    1 publications · 13 citations

    1

    h-index

  2. SM
    Shanmugam Munisamy

    Norwegian Institute of Bioeconomy Research, Norway

    1 publications · 37 citations

    1

    h-index

  3. MH
    Mohd Hanif Mohd Helmi

    1 publications · 37 citations

    1

    h-index

  4. ML
    Mark L. Dunetz

    1 publications · 41 citations

    1

    h-index

  5. JM
    James M. Mahoney

    Federal Reserve Bank of New York, United States

    1 publications · 41 citations

    1

    h-index

1–5 of 29

Institutions

23

  1. Wayne State University

    Detroit, United States

    1 h-index

    1 publications

    13 citations

  2. Queen's University

    Kingston, Canada

    1 h-index

    1 publications

    16 citations

  3. National University of Kaohsiung

    Kaohsiung City, Taiwan

    1 h-index

    1 publications

    17 citations

  4. University of Warwick

    Coventry, United Kingdom

    1 h-index

    1 publications

    12 citations

  5. University of Illinois Urbana-Champaign

    Urbana, United States

    1 h-index

    2 publications

    28 citations

  6. Royal Military College of Canada

    Kingston, Canada

    1 h-index

    1 publications

    16 citations

  7. Simon Fraser University

    Burnaby, Canada

    1 h-index

    1 publications

    22 citations

  8. National Chung Cheng University

    Minxiong, Taiwan

    1 h-index

    1 publications

    22 citations

1–8 of 23

Venues

  1. Financial Analysts Journal

    FAJ · 3 publications · 71 citations

    3

    h-index

  2. The Journal of Portfolio Management

    JPM · 2 publications · 64 citations

    2

    h-index

  3. The Journal of Fixed Income

    2 publications · 41 citations

    2

    h-index

  4. The Geneva Risk and Insurance Review

    1 publications · 14 citations

    1

    h-index

  5. Finance research letters

    1 publications · 11 citations

    1

    h-index

1–5