An Analysis of Yield Curve Notes

Joseph P Ogden

Journal of Finance, 1987, vol. 42, issue 1, 99-110

Abstract: This paper analyzes a new security, the yield curve note, which pays interest at a rate that varies inversely with short-term interest rates. A valuation model is presented, the parameters of the model are estimated empirically, and the estimated model is used to explore the price behavior and risk characteristics of yield curve notes in comparison with fixed rate notes. The risk of a yield curve note is approximately twice as great as a fixed rate note with the same maturity. The unique risk characteristics of yield curve notes make them useful in immunization strategies for financial institutions. Copyright 1987 by American Finance Association.

Date: 1987
References: Add references at CitEc
Citations: View citations in EconPapers (4)

Downloads: (external link)
http://links.jstor.org/sici?sici=0022-1082%2819870 ... O%3B2-W&origin=repec full text (application/pdf)
Access to full text is restricted to JSTOR subscribers. See http://www.jstor.org for details.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bla:jfinan:v:42:y:1987:i:1:p:99-110

Ordering information: This journal article can be ordered from
http://www.afajof.org/membership/join.asp

Access Statistics for this article

More articles in Journal of Finance from American Finance Association Contact information at EDIRC.
Bibliographic data for series maintained by Wiley Content Delivery ().