duration and convexity management
- convexity
- convexity management
- key duration matching
- non parallel shifts
- dynamic hedging
- guarantee reserves
- optionality
- preference for swaps over gilts in key rate matching
some thoughts
duration matching assumes movements parrallel perfect matching large movements still lead to mismatch duration matching assumes one risk factor duration matching ignores convexity alternatives
- key duration matching
- cashflow matching
- effective duration
- duration or macaulay duration