Immunization Conditions and Immunization Risk for a Fixed-Income Portfolio

Joanna Klimkowska ()
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Joanna Klimkowska: Warsaw School of Economics, Warsaw, Poland

Chapter 10 in FindEcon Monograph Series: Advances in Financial Market Analysis, 2009, vol. 7, pp 145-155 from University of Lodz

Abstract: Klimkowska (Chapter 10) presents new results on immunization for fixed-income portfolio under the general assumptions of changes in the yield curve. She formulates the lower bound on the loss of the terminal portfolio value and proposes the third order duration around a planning horizon as a relevant risk measure of immunization.

Keywords: Immunization for fixed-income portfolio; Yield curve; Risk measurement (search for similar items in EconPapers)
JEL-codes: C01 E02 F00 G00 (search for similar items in EconPapers)
Date: 2009
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