Duration and the Measurement of Basis Risk

摘要: Forty years ago Macaulay proposed the measure of "duration" to represent " . essence time element a loan (1938, p. 44).1 Hicks independently derived equivalent "average period" measuring [bond price] elasticity with respect discount ratio [i.e., factor or rate plus unity]" (1939, 186). The properties duration have been successfully employed by several authors in problems involving reduction basis risk.2 use as an alternative has not fruitful.3 In fact, examination Macaulay's book shows that even he is primarily concerned risk-proxying his despite assigned name "duration." this paper we examine traditional and conditions under which it valid risk comparisons. We then propose alternate This note criticizes measures their role measurement risk. A theoretically superior risk, measured units time, like duration, its place. new are discussed compared those measures.