What does "dedication" really mean in terms of including immunization, CF matching?
What are the fundamental difference between Immunization and CF matching?
that's about right. You need to have cash flows available before each liability is due. In immunization strategy, whole portfolio is invested and used to satisfy liability
I was under the impression that CF Matching wasn't really affected by shifts/twists in the interest rate term structure? You set it at t=0 and more or less just let it ride...
But the problem with them is: You have to have VERY good estimates on the timing/value of your cash outflow obligations. This is very difficult for many firms who need to do ALM (which is why many of them do Immunization instead).
I could be 100% wrong though Someone yell at me if I am. I haven't made it back around to this study session yet for final review... i'm just shooting from the hip.
Immunization focuses on interest rate risk and a 'terminal value', whereas CF Matching focuses on matching coupon dates and liabilitiy dates.
Broadly, that's how I look at it
发表于 2011-7-11 19:47
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Someone yell at me if I am. I haven't made it back around to this study session yet for final review... i'm just shooting from the hip.