Duration and Convexity in Spanish Corporate Bonds.

Abstract The aim of this paper is to investigate risky-prices sensitivity to interest rate changes in the Spanish market and to see if sensitivity is lower than public debt. To contrast this hypothesis, this paper presents a model that analyzes the risky-prices sensitivity to interest rate changes through effective duration and convexity. The most relevant contribution of the paper is to…


Duration and Convexity in Spanish Corporate Bonds. | indiecorp | 4.5