The performance of deterministic and stochastic interest rate risk measures : Another Question of Dimensions?

The efficiency of traditional and stochastic interest rate risk measures is compared under one-, two-, and three-factor no-arbitrage Gauss-Markov term structure models, and for different immunization periods. The empirical analysis, run on the German Treasury bond market from January 2000 to December 2010, suggests that: i) Stochastic interest rate risk measures provide better portfolio immunization than the Fisher-Weil duration; and ii) The superiority of the stochastic risk measures is more evident for multi-factor models and for longer investment horizons. These findings are supported by a first-order stochastic dominance analysis, and are robust against yield curve estimation errors.info:eu-repo/semantics/publishedVersio

Biological and functional responses of in situ bioassays with Chironomus riparius larvae to assess river water quality and contamination

Single species responses have the potential to measure impacts at earlier stages than more traditional methods based in community structure. This study evaluates a bioassay with biological (survival, development, growth) and functional (post-exposure feeding rate) responses of Chironomus riparius larvae to assess water quality and contamination in rivers. The bioassay with C riparius third instar larvae was performed, in autumn and spring, in reference sites and in organic and metal contaminated sites in Portuguese rivers. Biotic, physical and chemical parameters were determined for each site. The relationship between both bioassays responses and biotic indices (IBMWP and IASPT) and the physical and chemical parameters of respective sites were determined. In general biotic indices were able to discriminate between contaminated and not contaminated sites although they demonstrated a poor ability to detect low level of metal contamination during autumn. IASPT was negatively related to ammonia concentrations in both seasons. No significant differences in survival and post-exposure feeding rate were found between sites. Development was inhibited in the most metal contaminated site during autumn, but pH and ammonia concentrations in water accounted for 82% of developmental variation during this season. Growth was highly inhibited in the most metal contaminated site during both seasons. In autumn, growth was also inhibited in the low metal contaminated site and, during this season, pH and Mn and Fe concentrations in water samples accounted for 97% of growth variation between sites. The results suggest that in situ bioassay with C riparius larvae using growth as the endpoint is a responsive and suitable tool that can be used as bioindicator of metal pollution and to biomonitor water quality in metal contaminated rivers. (c) 2006 Elsevier B.V. All rights reserved.FCT - SFRH/BD/2935/2000EC/TARGET project - EVK1- 1999-0000