For each of the techniques below - Describe if it protects us against shifts and/or twists?
1. Classical Immunization
2. Contingent Immunization
3. Multiple liability immunization
4. Cash flow matching
5. Horizon Matching作者: bluejazzy 时间: 2013-4-24 06:28
1: shift only
2: shift
3: if used alone, then shift only. if combined with linear optimization, can protect twist.
4:shift
5: mostly shift. protect against twist only in the initial periord.
I am not sure about 2 and 4作者: Windjammer 时间: 2013-4-24 06:32
I think this sounds correct
1: shift only
2: shift only
3: if used alone, then shift only. if combined with linear optimization, can protect twist.
4: shift + twist
5: mostly shift. protect against twist only in the initial periord.
