{"id":"https://openalex.org/W2129495209","doi":"https://doi.org/10.2139/ssrn.1833222","title":"Delta-Hedging of Interest Rate Risk in Longterm Contracts - An Application of the Cairns-Model","display_name":"Delta-Hedging of Interest Rate Risk in Longterm Contracts - An Application of the Cairns-Model","publication_year":2011,"publication_date":"2011-01-01","ids":{"openalex":"https://openalex.org/W2129495209","doi":"https://doi.org/10.2139/ssrn.1833222","mag":"2129495209"},"language":"en","primary_location":{"id":"doi:10.2139/ssrn.1833222","doi":"https://doi.org/10.2139/ssrn.1833222","is_oa":true,"landing_page_url":"https://doi.org/10.2139/ssrn.1833222","pdf_url":null,"source":{"id":"https://openalex.org/S4210172589","display_name":"SSRN Electronic Journal","issn_l":"1556-5068","issn":["1556-5068"],"is_oa":true,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I1318003438","host_organization_name":"RELX Group (Netherlands)","host_organization_lineage":["https://openalex.org/I1318003438"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"SSRN Electronic Journal","raw_type":"journal-article"},"volume":null,"type":"preprint","indexed_in":["crossref"],"open_access":{"is_oa":true,"oa_status":"green","oa_url":"https://doi.org/10.2139/ssrn.1833222","any_repository_has_fulltext":true},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5075422104","display_name":"Daniel Schwake","orcid":null,"observed_orcids":[]},"institutions":[{"id":"https://openalex.org/I145325580","display_name":"Deloitte (United States)","ror":"https://ror.org/03xkm6e60","country_code":"US","type":"company","lineage":["https://openalex.org/I145325580","https://openalex.org/I4210139068"]},{"id":"https://openalex.org/I4210139068","display_name":"Deloitte (United Kingdom)","ror":"https://ror.org/03jyeb125","country_code":"GB","type":"company","lineage":["https://openalex.org/I4210139068"]},{"id":"https://openalex.org/I62318514","display_name":"University of Duisburg-Essen","ror":"https://ror.org/04mz5ra38","country_code":"DE","type":"education","lineage":["https://openalex.org/I62318514"]}],"countries":["DE","GB","US"],"is_corresponding":true,"raw_author_name":"Daniel Schwake","raw_affiliation_strings":["Deloitte, Schwannstra\u00dfe 6, D\u00fcsseldorf, 40476, Germany","University of Duisburg-Essen - Mercator School of Management, Lotharstra\u00dfe 65, Duisburg, Nordrhein-Westfalen 47057, Germany","Deloitte","University of Duisburg-Essen - Mercator School of Management"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Deloitte, Schwannstra\u00dfe 6, D\u00fcsseldorf, 40476, Germany","institution_ids":[]},{"raw_affiliation_string":"University of Duisburg-Essen - Mercator School of Management, Lotharstra\u00dfe 65, Duisburg, Nordrhein-Westfalen 47057, Germany","institution_ids":["https://openalex.org/I62318514"]},{"raw_affiliation_string":"Deloitte","institution_ids":["https://openalex.org/I145325580","https://openalex.org/I4210139068"]},{"raw_affiliation_string":"University of Duisburg-Essen - Mercator School of Management","institution_ids":["https://openalex.org/I62318514"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5035650385","display_name":"Sven Balder","orcid":null,"observed_orcids":[]},"institutions":[{"id":"https://openalex.org/I62318514","display_name":"University of Duisburg-Essen","ror":"https://ror.org/04mz5ra38","country_code":"DE","type":"education","lineage":["https://openalex.org/I62318514"]}],"countries":["DE"],"is_corresponding":false,"raw_author_name":"Sven Balder","raw_affiliation_strings":["University of Duisburg-Essen - Mercator School of Management, Lotharstra\u00dfe 65, Duisburg, Nordrhein-Westfalen 47057, Germany","University of Duisburg-Essen - Mercator School of Management"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"University of Duisburg-Essen - Mercator School of Management, Lotharstra\u00dfe 65, Duisburg, Nordrhein-Westfalen 47057, Germany","institution_ids":["https://openalex.org/I62318514"]},{"raw_affiliation_string":"University of Duisburg-Essen - Mercator School of Management","institution_ids":["https://openalex.org/I62318514"]}]}],"institutions":[],"countries_distinct_count":3,"institutions_distinct_count":3,"corresponding_author_ids":["https://openalex.org/A5075422104"],"corresponding_institution_ids":["https://openalex.org/I145325580","https://openalex.org/I4210139068","https://openalex.org/I62318514"],"apc_list":null,"apc_paid":null,"fwci":null,"has_fulltext":false,"cited_by_count":1,"citation_normalized_percentile":null,"cited_by_percentile_year":null,"biblio":{"volume":null,"issue":null,"first_page":null,"last_page":null},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.8838000297546387,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.8838000297546387,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T12276","display_name":"Risk Management in Financial Firms","score":0.10949999839067459,"subfield":{"id":"https://openalex.org/subfields/1402","display_name":"Accounting"},"field":{"id":"https://openalex.org/fields/14","display_name":"Business, Management and Accounting"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.0012000000569969416,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/delta-hedging","display_name":"delta hedging","score":0.859000027179718},{"id":"https://openalex.org/keywords/interest-rate-risk","display_name":"interest rate risk","score":0.9850000143051147},{"id":"https://openalex.org/keywords/asset-liability-management","display_name":"asset-liability management","score":0.7910000085830688},{"id":"https://openalex.org/keywords/pension-fund-portfolios","display_name":"pension fund portfolios","score":0.5759999752044678},{"id":"https://openalex.org/keywords/interest-rate-swaps","display_name":"interest rate swaps","score":0.9729999899864197},{"id":"https://openalex.org/keywords/extended-kalman-filter","display_name":"extended Kalman filter","score":0.8299999833106995},{"id":"https://openalex.org/keywords/model-calibration","display_name":"model calibration","score":0.8489999771118164},{"id":"https://openalex.org/keywords/two-factor-interest-rate-model","display_name":"two-factor interest rate model","score":0.7329999804496765},{"id":"https://openalex.org/keywords/hedge-effectiveness","display_name":"hedging effectiveness","score":0.6679999828338623}],"concepts":[{"id":"https://openalex.org/C5072461","wikidata":"https://www.wikidata.org/wiki/Q49506","display_name":"Delta","level":2,"score":0.6459541320800781},{"id":"https://openalex.org/C175025494","wikidata":"https://www.wikidata.org/wiki/Q179179","display_name":"Interest rate","level":2,"score":0.5284733176231384},{"id":"https://openalex.org/C29944286","wikidata":"https://www.wikidata.org/wiki/Q205273","display_name":"Interest rate risk","level":3,"score":0.5133394598960876},{"id":"https://openalex.org/C39432304","wikidata":"https://www.wikidata.org/wiki/Q188847","display_name":"Environmental science","level":0,"score":0.47857168316841125},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.383962482213974},{"id":"https://openalex.org/C162118730","wikidata":"https://www.wikidata.org/wiki/Q1128453","display_name":"Actuarial science","level":1,"score":0.32150349020957947},{"id":"https://openalex.org/C556758197","wikidata":"https://www.wikidata.org/wiki/Q580018","display_name":"Monetary economics","level":1,"score":0.1823699176311493},{"id":"https://openalex.org/C127413603","wikidata":"https://www.wikidata.org/wiki/Q11023","display_name":"Engineering","level":0,"score":0.1714382767677307},{"id":"https://openalex.org/C146978453","wikidata":"https://www.wikidata.org/wiki/Q3798668","display_name":"Aerospace engineering","level":1,"score":0.0}],"mesh":[],"locations_count":1,"locations":[{"id":"doi:10.2139/ssrn.1833222","doi":"https://doi.org/10.2139/ssrn.1833222","is_oa":true,"landing_page_url":"https://doi.org/10.2139/ssrn.1833222","pdf_url":null,"source":{"id":"https://openalex.org/S4210172589","display_name":"SSRN Electronic Journal","issn_l":"1556-5068","issn":["1556-5068"],"is_oa":true,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I1318003438","host_organization_name":"RELX Group (Netherlands)","host_organization_lineage":["https://openalex.org/I1318003438"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"SSRN Electronic Journal","raw_type":"journal-article"}],"best_oa_location":{"id":"doi:10.2139/ssrn.1833222","doi":"https://doi.org/10.2139/ssrn.1833222","is_oa":true,"landing_page_url":"https://doi.org/10.2139/ssrn.1833222","pdf_url":null,"source":{"id":"https://openalex.org/S4210172589","display_name":"SSRN Electronic Journal","issn_l":"1556-5068","issn":["1556-5068"],"is_oa":true,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I1318003438","host_organization_name":"RELX Group (Netherlands)","host_organization_lineage":["https://openalex.org/I1318003438"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"SSRN Electronic Journal","raw_type":"journal-article"},"sustainable_development_goals":[],"sustainable_development_goals_aurora":[{"score":0.5400000214576721,"display_name":"Partnerships for the goals","id":"https://metadata.un.org/sdg/17"}],"study_designs":[],"awards":[],"funders":[],"has_content":{"grobid_xml":false,"pdf":false},"content_urls":null,"referenced_works_count":9,"referenced_works":["https://openalex.org/W2003763835","https://openalex.org/W2006670462","https://openalex.org/W2037051986","https://openalex.org/W2044140988","https://openalex.org/W2076057077","https://openalex.org/W2117202489","https://openalex.org/W2127386934","https://openalex.org/W2170444200","https://openalex.org/W3021444882"],"related_works":["https://openalex.org/W5539795","https://openalex.org/W2529607256","https://openalex.org/W2158236667","https://openalex.org/W1554159188","https://openalex.org/W3110292748","https://openalex.org/W7096443867","https://openalex.org/W4241611996","https://openalex.org/W2884256491","https://openalex.org/W3021092532","https://openalex.org/W2530955954"],"abstract_inverted_index":null,"counts_by_year":[{"year":2026,"cited_by_count":1}],"updated_date":"2026-09-26T08:19:03.415552","created_date":"2016-06-24T00:00:00"}
