Duration and Convexity in Spanish Corporate Bonds.

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.

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