A new immunization inequality for random streams of assets, liabilities and interest rates
Year of publication: |
2013
|
---|---|
Authors: | Gajek, Lesław ; Krajewska, Elżbieta |
Published in: |
Insurance / Mathematics & economics. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 53.2013, 3, p. 624-631
|
Subject: | Immunization | Asset-Liability Management | Interest rate risk | Vasicek's model | Merton's model | Theorie | Theory | Portfolio-Management | Portfolio selection | Zins | Interest rate | Zinsrisiko | Hedging | Zinsstruktur | Yield curve |
-
Interest and credit risk management in German banks
Dräger, Vanessa, (2021)
-
Properties and limitations of duration as a measure of time structure of bond and interest rate risk
Ajlouni, Moh'd M., (2012)
-
Uses of duration analysis for the control of interest rate risk
Toevs, Alden L., (1986)
- More ...
-
A new immunization inequality for random streams of assets, liabilities and interest rates
Gajek, Lesław, (2013)
-
Krajewska, Elżbieta, (2016)
-
Financial risk management for pension plans
Ostaszewski, Krzysztof M., (2004)
- More ...