Hostname: page-component-78c5997874-lj6df Total loading time: 0 Render date: 2024-11-19T10:38:26.026Z Has data issue: false hasContentIssue false
  • English
  • Français

Floating Rate Securities and Immunization: Some Further Results

Published online by Cambridge University Press:  06 April 2009

George Emir Morgan
Get access Rights & Permissions [Opens in a new window]

Abstract

This article examines the interest rate risk characteristics of a general class of floating rate securities, which includes Chance's securities as a special case. The calculation of duration for Chance's securities is zero, as it should be. Securities in the broader class can have durations that are negative or longer than the period of time that must elapse before the payments can reflect changes in market interest rates. The effect on duration of changes in the parameters of the function relating interest rate shocks to the payments and changes in the slope of the term structure are examined.

Type
Research Article
Information
Journal of Financial and Quantitative Analysis , Volume 21 , Issue 1 , March 1986 , pp. 87 - 94
Copyright
Copyright © School of Business Administration, University of Washington 1986

Access options

Get access to the full version of this content by using one of the access options below. (Log in options will check for institutional or personal access. Content may require purchase if you do not have access.)

References

[1]Chance, Don. “Floating Rate Notes and Immunization.” Journal of Financial and Quantitative Analysis, Vol. 18 (09 1983), pp. 365–380.Google Scholar
[2]Hayes, Douglas. Bank Lending Policies. Ann Arbor, MI: Michigan Business Studies (1977).Google Scholar
[3]Mason, John. Financial Management of Commercial Banks. New York, NY: Warren, Gorham, and Lamont (1979).Google Scholar