On new immunization strategies under random shocks on the term structure of interest rates

We introduce new measures of immunization such as exponential duration referring, in particular, to Fong and Vasièek [7], Nawalkha and Chambers [14], Balbás and Ibánez [2], and Balbás et al. [3], but under the assumption of multiple shocks in the term structure of interest rates. These shocks are given by a random field. The cases of a single and multiple liabilities are discussed separately.

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Year of publication:	2009
Authors:	Kondratiuk-Janyska, Alina ; Kaluszka, Marek
Published in:	Operations Research and Decisions. - Wydział Informatyki i Zarządzania. - Vol. 1.2009, p. 91-101
Publisher:	Wydział Informatyki i Zarządzania
Subject:	portfolio \| immunization \| duration \| term structure of interest rates \| random field

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Extent:	application/pdf
Type of publication:	Article
Language:	English
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008777193