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

Alina Kondratiuk-Janyska () and Marek Kaluszka ()

Operations Research and Decisions, 2009, vol. 19, issue 1, 91-101

Abstract: We introduce new measures of immunization such as exponential duration referring, in particular, to Fong and Vasiček [7], Nawalkha and Chambers [14], Balbás and Ibáñez [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.

Keywords: portfolio; immunization; duration; term structure of interest rates; random field (search for similar items in EconPapers)
Date: 2009
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Citations: View citations in EconPapers (1)

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