How to Immunize a Defaultable Bond Portfolio?

Alina Kondratiuk-Janyska () and Marek Kałuszka ()
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Alina Kondratiuk-Janyska: Technical University of Łódź, Poland
Marek Kałuszka: Technical University of Łódź, Poland

Chapter 7 in Forecasting Financial Markets. Theory and Applications, 2005, vol. 0, pp 97-106 from University of Lodz

Abstract: Chapter 7 is devoted to a new definition of a risk-adjusted duration measure of bond portfolios. This is a theoretical approach to mathematical properties of new immunization strategies including terms for default probabilities and default payoffs.

Keywords: Risk-adjusted duration measure of bond portfolios; Immunization strategies; default probabilities (search for similar items in EconPapers)
JEL-codes: C01 E02 F00 G00 (search for similar items in EconPapers)
Date: 2005
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Persistent link: https://EconPapers.repec.org/RePEc:ann:findec:book:y:2005:n:00:ch:07:mon

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