Parametric Immunization in Bond Portfolio Management

In this paper, we evaluate the relative immunization performance of the multifactor parametric interest rate risk model based on the Nelson-Siegel-Svensson specification of the yield curve with that of standard benchmark investment strategies, using European Central Bank yield curve data in the peri...

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Bibliographic Details
Main Author: Bravo, Jorge (author)
Other Authors: Fonseca, José (author)
Format: article
Language:eng
Published: 2013
Subjects:
Immunization
Duration
Interest rate
Risk Management
Portfolio Management
Online Access:http://hdl.handle.net/10174/7345
Country:Portugal
Oai:oai:dspace.uevora.pt:10174/7345

Internet

http://hdl.handle.net/10174/7345

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