Parametric Immunization in Bond Portfolio Management

Article English OPEN
Bravo, Jorge; Fonseca, José;
(2012)
  • Publisher: INEAG - RESEARCH AND TRAINING INSTITUTE OF EAST AEGEAN
  • Subject: Duration | Risk Management | Interest rate | Immunization | Portfolio Management
    mesheuropmc: education

In this paper, we evaluate the relative immunization performance of the multifactor parametric interest rate risk model based on the Nelson-Siegel-Svensson specification of the yield curve with that of standard benchmark investment strategies, using European Ce... View more
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