标题: Classical vs Contingent Immunization vs Cash Flow Matching [打印本页] 作者: dmar 时间: 2011-7-15 23:02 标题: Classical vs Contingent Immunization vs Cash Flow Matching
What are the differences?
-Classical is just matching the durations of assets to that of liabilities
-Contingent Immunization allows for profits
-Cash flow matching - Buy zero coupon bond to mature at latest liability and work backwards
?作者: PieMan 时间: 2011-7-15 23:20
More or less.
Classical immunization is protected from a one-time shift in rates.
Contingent immunization is triggered once you reach a breakpoint.
Cash flow matching is most conservative. Not immunization at all, just making sure there will be enough cash flow to cover liabilities.
