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Monthly Archives: May 2011
A Guide to Duration, DV01, and Yield Curve Risk Transformations
Yield curve risk and sensitivities (DV01s) can be measured with respect to different variables: forward rates, par rates, zero yields, or others. This paper describes a simple method for transforming sensitivities between alternate representations and provides examples. The benefit of … Continue reading
Posted in Publications and Papers, Risk Management, Valuation and Modeling
Tagged Working Paper
1 Comment
Probability, Expected Utility, and the Ellsberg Paradox
The Ellsberg paradox is often cited as evidence for unknowable “ambiguity” versus computable “risk”, and a refutation of expected utility maximization and “subjective” or “belief-type” probabilities. I have concluded the paradox is not convincing. The results can be explained by … Continue reading