We develop a novel approach to the bond portfolio optimization in insurance companies that are subject to the new …

A system is implemented that simulates a bond portfolio over the long-term of liabilities. It pays all liabilities and … of return potential and risk drivers on the bond allocation, on assumptions and on market conditions in order to improve … €10billion insurer portfolio. Current market conditions favor short bond duration, reducing government bonds and mixing in …

hold more bonds with inflated credit ratings. We estimate the probability of a bond having an inflated credit rating using … conditional credit default swap spread distributions and merge this with a unique bond-level portfolio holdings dataset. The …

companies? And if such issues influence systemic stability, what design features of the bond and characteristics of the issuing … insurer cause catastrophe bond issues to destabilize the financial sector? Contrary to current conjectures of insurance … a catastrophe bond. We empirically confirm that a higher pre-issue leverage, a higher firm valuation and previous cat …

Many bond portfolio managers argue that bond laddering tends to outperform other bond investment strategies because it … reduces both market price risk and reinvestment risk for a bond portfolio in the presence of interest rate uncertainty …. Despite the popularity of bond ladders as a strategy for managing investments in fixed-income securities, there is surprising …

been performed in our recent working paper [5],"Enhancement of the Fisher-Weil bond technique immunization". So it is seen … curve ; Bond portfolio ; immunization ; optimization ; linearization …

there is no clear common sense for that. Our main purpose in this paper is to present how the classical Fisher-Weil bond … change approximation and the associated bond hedging technique can be enhanced, such that we are able to solve simultaneously … these two issues. The good approximation of the bond or portfolio change we derive, allows to get an interesting consequence …