Although traditional immunization offers protection against parallel movements of theterm structure of interest rates (TSIR) exclusively, numerous studies have shown that thisstrategy offers near perfect immunization at an empirical level. This work reveals some of thefactors that justify this...

In conditions of high exchange rate volatility, entities conducting foreign trade transactions are subject to currency risk exposures, which may have a significant impact on financial performance and operating profitability. The research approach is oriented to identify the possibility to...

The group of duration models has grown rapidly during last years, offering manynew approaches for interest rate risk management in delta or delta-gamma frameworks.This paper attempts to make up for the lack of empirical evidence concerning theperformance of some of the most realistic duration...