Иммунизация портфеля облигаций при условии непараллельного сдвига кривых ставок процента

Воронцовский Алексей Владимирович

Vestnik of the St. Petersburg University. Series 5. Economics Вестник Санкт-Петербургского университета. Серия 5. Экономика, 2007, issue 3, 119-129

Abstract: The article is devoted to the exploration of the methods providing the protection of a portfolio of bonds from the risk of changes in the future interest rates. It is supposed that interest rates change independently from each other in time. Non-plane curves of the current interest rates are examined. An unparallel shift of the curves is taken into account. The ways of the protection of income from a portfolio of bonds in the given range of interest rates through a purchase of an additional portfolio of bonds are shown. The cost of the latter is interpreted as a payment for the protection from the risk of falling of incomes from an initial portfolio

Date: 2007
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Persistent link: https://EconPapers.repec.org/RePEc:scn:003571:14748304

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