Hedging against interest rate risk: reconsidering volatility-adjusted immunization

Article Abstract:

Long term interest rates indicate a lower volatility compared to short-term interest rates. Immunization strategies should concentrate on the sensitivity of asset values to interest rate changes than predicting the type of term-structure shifts. The recommended approach might result in major advancements on both convexity-based and duration-based immunization strategies.

Hedging (Finance)

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Risk management of non-maturing liabities

Article Abstract:

A model examining quantitative framework for liquidity risk and interest rate risk management for non-maturing liabilities is proposed. Case studies for the same are also discussed.

United Kingdom, Greece, Asset & Risk Management, Risk management, Liquidity (Finance)

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Immunization using a stochastic-process independent multi-factor model: the Portuguese experience

Article Abstract:

Immunization experience in the Portuguese government debt market is analyzed using stochastic processes.

Government expenditures, Portugal, Analysis, Usage, Economic policy, Stochastic processes, Debt management

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