- Tytuł:
- Immunization and convex interest rate shifts
- Autorzy:
- Barber, J. R.
- Powiązania:
- https://bibliotekanauki.pl/articles/206488.pdf
- Data publikacji:
- 2013
- Wydawca:
- Polska Akademia Nauk. Instytut Badań Systemowych PAN
- Tematy:
-
immunization
yield curve
linear factor model
convexity - Opis:
- An important issue in immunization theory is the form of the interest rate process under which immunization is feasible. This paper generalizes Fisher and Weil immunization result to convex interest rate shifts, and examines the practical significance of this generalization. We examine the features of a linear factor model that are consistent with a convex shift. In particular, we show that a specific two factor linear model is sufficient and necessary for a convex shift. This two factor specification allows parallel and damped yield curve shifts, which in combination can twist the yield curie.
- Źródło:
-
Control and Cybernetics; 2013, 42, 1; 259-266
0324-8569 - Pojawia się w:
- Control and Cybernetics
- Dostawca treści:
- Biblioteka Nauki
Artykuł