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2#
发表于 2011-7-11 19:25
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Concept:
Contingent immunization - you want to immunize a liability, while retaining the benefits of active management. You can remain immunized until your portfolio value falls below your floor value. The floor value is the value of the liability, discounted at the available immunisation rate.
Multiple Liability Immunisation - you want to immunise a set of liabilities. Set your duration of your liabilities equal to the duration of your assets. Have the maturities of your assets bracket the maturities of your liabilities.
I'm sure of the above, I also think that Multiple Liability Immunisation only works for a one time parallel shift of the yield curve. You can improve on this by using functional (key rate) durations. Correct me if I'm wrong. |
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