Immunization and convex interest rate shifts

• Autorzy: Barber J. R.
• Języki publikacji: EN

Abstrakty

EN

An important issue in immunization theory is the form of the interest rate process under which immunization is feasible. This paper generalizes Fisher and Weil immunization result to convex interest rate shifts, and examines the practical significance of this generalization. We examine the features of a linear factor model that are consistent with a convex shift. In particular, we show that a specific two factor linear model is sufficient and necessary for a convex shift. This two factor specification allows parallel and damped yield curve shifts, which in combination can twist the yield curie.

Słowa kluczowe

EN

immunization; yield curve; linear factor model; convexity

• Wydawca: Systems Research Institute, Polish Academy of Sciences
• Czasopismo: Control and Cybernetics
• Rocznik: 2013
• Tom: Vol. 42, no. 1
• Strony: 259--266
• Opis fizyczny: Bibliogr. 22 poz., wykr.

Twórcy

autor

Barber J. R.

• Department of Finance, Florida International University College of Business, 11201 SW 8th Street, Miami, FL 33199, USA

Bibliografia

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