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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Bibliographic Details
Main Author: Bravo, Jorge Miguel Ventura (author)
Other Authors: Silva, Carlos Manuel Pereira da (author)
Format: workingPaper
Language:eng
Published: 2013
Subjects:
Immunization
duration
parametric model
interest rate risk
Online Access:http://hdl.handle.net/10174/8422
Country:Portugal
Oai:oai:dspace.uevora.pt:10174/8422

Internet

http://hdl.handle.net/10174/8422

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