English
Polski
REPORT A PROBLEM
LINKS
Resource link (short)
http://www.zasobynauki.pl/zasoby/82798Resource link (repository)
https://id.e-science.pl/records/82798Resource metadata
| Title |
Kwalifikacja ryzyka. How to find a bond portfolio with the highest convexity in a class of fixed duration portfolios (RB-2000-86-02) |
|---|---|
| Persons |
Authors:
Leszek Saturnin Zaremba, Włodzimierz Henryk Smoleński
Partner: Systems Research Institute Polish Academy of Sciences, Warsaw |
| Description |
The paper extends the main result, that is, the construction of a K- immunization strategy with the highest convexity to a more general setting by dropping the key assumption stating that interest rate shocks h_t to occur in a near future are proportional to the values of spot rates y_t plus 1, e.g. the condition (4) holds. Here, the interest rate shifts h_t are allowed to be of the more general type (1) with known (to an investor) coefficients g_t’s (usually estimated empirically based on historical data). The optimal portfolio Z* is found here by means of the К — T conditions. If the convexity of Z* exceeds that of any single payment at time when the liability has to be discharged, then Z* appears to be also the best K-immunization strategy yielding the maximal unanticipated rate of return due to shocks in spot rates (English) |
| Keywords | "unanticipated rate of return"@en, "immunizacja"@pl, "duration"@en, "nieoczekiwana stopa zwrotu"@pl, "convexity"@en, "Immunization"@en, "wypukłość"@pl, "czas trwania"@pl |
| Classification |
Resource type:
article, chapter Scientific discipline: Dziedzina nauk społecznych / ekonomia i finanse (2018) Destination group: pupils, students, scientists Harmful content: No |
| Characteristics |
Title of source document: RB-2000-86-02
Place of publication: Warszawa Publisher: IBSPAN Time of publication: 2000 From page: 1 To page: 11 Resource language: English |
| License | CC BY-SA 4.0 |
| Technical information |
Submitter: Anna Wasilewska Availability date: 13-01-2023 |
| Collections | Kolekcja Instytutu Badań Systemowych PAN w Warszawie |
Citation
Leszek Saturnin Zaremba, Włodzimierz Henryk Smoleński. Kwalifikacja ryzyka. How to find a bond portfolio with the highest convexity in a class of fixed duration portfolios (RB-2000-86-02). [article, chapter] Available in Atlas of Open Science Resources, . License: CC BY-SA 4.0, https://creativecommons.org/licenses/by-sa/4.0/legalcode.pl. Date of access: DD.MM.RRRR.
Similar resources
O nowoczesnem lecznictwie i jego kierunkach
Maksymilian Blassberg, article, chapter, Wrocław Medical University, dziedzina nauk medycznych / medycyna (2011)
Metody analityczne w podejmowaniu decyzji na rynku kapitałowym. Immunizacja jako metoda eliminacji ryzyka niewywiązania się z zobowiązań finansowych (RB-1999-79-03)
Leszek Zaremba, article, chapter, Systems Research Institute Polish Academy of Sciences, Warsaw, Dziedzina nauk społecznych / ekonomia i finanse (2018)
Construction of a K-immunization strategy with the highest convexity (RB-1995-99-02)
Leszek Zaremba, article, chapter, Systems Research Institute Polish Academy of Sciences, Warsaw, Dziedzina nauk społecznych / ekonomia i finanse (2018)
Metody analityczne w podejmowaniu decyzji na rynku kapitałowym. New formulas for immunizing durations. (RB-1999-79-01)
Leszek Zaremba, Grzegorz Rządkowski, article, chapter, Systems Research Institute Polish Academy of Sciences, Warsaw, Dziedzina nauk społecznych / ekonomia i finanse (2018)
Immunization in case of proportional shifts in spot rates and mispriced bonds (RB-1995-99-03)
Leszek Zaremba, article, chapter, Systems Research Institute Polish Academy of Sciences, Warsaw, Dziedzina nauk społecznych / ekonomia i finanse (2018)
Nowe spojrzenie na immunizację (RB-1995-37-05)
Leszek Zaremba, article, chapter, Systems Research Institute Polish Academy of Sciences, Warsaw, Dziedzina nauk społecznych / ekonomia i finanse (2018)