THE DERIVATION OF A NEW MODEL OF EQUITY DURATION

摘要: Our paper considers an extension of duration, a standard measure the price volatility bond as defined in fixed income literature, to equity securities. Fund managers typically use duration their investment schedules method matching instruments against known contractual liabilities. Thus immunisation, first recognised by Redington (1952), was “the assets such way that existing business is immune general change rate interest”. Immunisation corresponds not only with present value liabilities, formalised Fisher and Weil (1971), but also replication interest rates sensitivities themselves, discussed Bierwag, Kaufman Toevs (1983). This creates ostensibly immunised frontier position, or fund surplus, stochastic changes rates, which consequently have no effect on final valuation. Matching liabilities this manner adds directly, allowing corporate management focus core business, while simultaneously shareholders future pension recipients monitor level available funds more precisely. International accounting standards enforce mark-to-market convention for reporting, thereby exacerbating need improved methodology quantifying risk. In Macaulay (1938) what subsequently became 2 , weighted average term maturity cash flow bond. The weights are simply values each anticipated flows, both coupons principal, percentage chose flow’s contribution total its weight, although somewhat arbitrary, remains extremely close today. Duration has been Fabozzi (1997) approximate portfolio 100 basis point (1%) yields”. Hence, concept expresses amount fluctuates respect underlying yields 3 .