Risk immunization strategy under nonparallel shift of the yield curve
DOI:
Author:
Affiliation:

Clc Number:

Fund Project:

  • Article
  • |
  • Figures
  • |
  • Metrics
  • |
  • Reference
  • |
  • Related
  • |
  • Cited by
  • |
  • Materials
  • |
  • Comments
    Abstract:

    Under the assumption of the movement of rigid, a nonparallel shift model in the term structure of interest rates is developed by introducing Fisher & Weil duration which is a well-known concept in the field of interest risk management. This paper has studied the strategy and replication for portfolio immunization to minimize the risk exposure. Through the experiment of numerical simulation, the risk exposures of the portfolio under different strategies of immunization are quantitatively evaluated by the met...

    Reference
    Related
    Cited by
Get Citation
Share
Article Metrics
  • Abstract:
  • PDF:
  • HTML:
  • Cited by:
History
  • Received:
  • Revised:
  • Adopted:
  • Online:
  • Published:
You are the th visitor Address:Room 908, Building A, 25th Teaching Building, Tianjin University, 92 Weijin Road, Nankai District, Tianjin Postcode:300072
Telephone:022-27403197 Email:jmsc@tju.edu.cn