Generalized duration measures in a risk immunization setting. Implementation of the Heath-Jarrow-Morton model

Alina Kondratiuk-Janyska, and Marek Kałuszka. "Generalized duration measures in a risk immunization setting. Implementation of the Heath-Jarrow-Morton model." Applicationes Mathematicae 33.2 (2006): 145-157. <http://eudml.org/doc/279201>.

@article{AlinaKondratiuk2006,
abstract = {The aim of this paper is to set different lower bounds on the change of the expected net cash flow value at time H > 0 in general term structure models, referring to the studies of Fong and Vasiček (1984), Nawalkha and Chambers (1996), and Balbás and Ibáñez (1998) among others. New immunization strategies are derived with new risk measures: generalized duration and generalized M-absolute of Nawalkha and Chambers, and exponential risk measure. Furthermore, examples of specific one-factor HJM models are provided and the problem of immunization is discussed.},
author = {Alina Kondratiuk-Janyska, Marek Kałuszka},
journal = {Applicationes Mathematicae},
keywords = {asset-liability portfolio; immunization; duration; -absolute; one-factor HJM models},
language = {eng},
number = {2},
pages = {145-157},
title = {Generalized duration measures in a risk immunization setting. Implementation of the Heath-Jarrow-Morton model},
url = {http://eudml.org/doc/279201},
volume = {33},
year = {2006},
}

TY - JOUR
AU - Alina Kondratiuk-Janyska
AU - Marek Kałuszka
TI - Generalized duration measures in a risk immunization setting. Implementation of the Heath-Jarrow-Morton model
JO - Applicationes Mathematicae
PY - 2006
VL - 33
IS - 2
SP - 145
EP - 157
AB - The aim of this paper is to set different lower bounds on the change of the expected net cash flow value at time H > 0 in general term structure models, referring to the studies of Fong and Vasiček (1984), Nawalkha and Chambers (1996), and Balbás and Ibáñez (1998) among others. New immunization strategies are derived with new risk measures: generalized duration and generalized M-absolute of Nawalkha and Chambers, and exponential risk measure. Furthermore, examples of specific one-factor HJM models are provided and the problem of immunization is discussed.
LA - eng
KW - asset-liability portfolio; immunization; duration; -absolute; one-factor HJM models
UR - http://eudml.org/doc/279201
ER -