Immunization Using a Parametric Model of the Term Structure
In this paper, we develop a new immunization model based on a parametric specification of the term structure of interest rates. The model extends traditional duration analysis to account for both parallel and non-parallel term structure shifts that have an economic meaning. Contrary to most interest...
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| Formato: | workingPaper |
| Idioma: | eng |
| Publicado em: |
2013
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| Texto completo: | http://hdl.handle.net/10174/8422 |
| País: | Portugal |
| Oai: | oai:dspace.uevora.pt:10174/8422 |