Add to ORKGThe concepts of duration, convexity, and immunization are fundamental tools of asset-liability management. This paper provides a theoretical and practical overview of the concepts, largely missing in the existing literature on the subject, and fills some holes in the body of research on the subject. We not present new research, but rather we provide a new presentation of the underlying theory, which we believe to be of value in the new North American actuarial education system
Thesis (Ph.D. (Risk Management))--North-West University, Potchefstroom Campus, 2005.Banks and financ...
Since Redington (1952) it has been recognized that classical immunization theory fails when shifts i...
Macaulay duration matched strategy is a key tool in bond portfolio immunization. It is well known th...
The concepts of duration, convexity, and immunization are fundamental tools of asset-liability manag...
Two Fong-Vasicek immunization results are discussed and applied in relation to asset portfolios of ...
In this paper, we develop a new immunization model based on a parametric specification of the term s...
Immunization is a well-known fixed-income strategy to lock in a target rate of return over a known i...
Some institutions hold income producing properties directly as part of an investment portfolio. The...
This dissertation addresses research issues in the area of interest rate risk management of default-...
<p>Duration and convexity measures are commonly applied in the management of bond portfolios t...
Financial immunization is a passive management strategy for portfolios comprising fixed income finan...
In this chapter we develop a new immunization model based on a parametric specification of the term ...
In the last two decades, duration analysis has been largely applied to fixed - income securities . H...
This paper presents a condition equivalent to the existence of a Riskless Shadow Asset that guarante...
The model, by using the option theory, determines the fair value of the insurance life policies with...
Thesis (Ph.D. (Risk Management))--North-West University, Potchefstroom Campus, 2005.Banks and financ...
Since Redington (1952) it has been recognized that classical immunization theory fails when shifts i...
Macaulay duration matched strategy is a key tool in bond portfolio immunization. It is well known th...
The concepts of duration, convexity, and immunization are fundamental tools of asset-liability manag...
Two Fong-Vasicek immunization results are discussed and applied in relation to asset portfolios of ...
In this paper, we develop a new immunization model based on a parametric specification of the term s...
Immunization is a well-known fixed-income strategy to lock in a target rate of return over a known i...
Some institutions hold income producing properties directly as part of an investment portfolio. The...
This dissertation addresses research issues in the area of interest rate risk management of default-...
<p>Duration and convexity measures are commonly applied in the management of bond portfolios t...
Financial immunization is a passive management strategy for portfolios comprising fixed income finan...
In this chapter we develop a new immunization model based on a parametric specification of the term ...
In the last two decades, duration analysis has been largely applied to fixed - income securities . H...
This paper presents a condition equivalent to the existence of a Riskless Shadow Asset that guarante...
The model, by using the option theory, determines the fair value of the insurance life policies with...
Thesis (Ph.D. (Risk Management))--North-West University, Potchefstroom Campus, 2005.Banks and financ...
Since Redington (1952) it has been recognized that classical immunization theory fails when shifts i...
Macaulay duration matched strategy is a key tool in bond portfolio immunization. It is well known th...