Each investor is interested in controlling changes in the value of a stream of future cash flows depending by changes in interest rates. So many researchers have examined this problem or by establishing some results for bond portfolio immunization or lower limits for portfolio net value variation, when the shock belongs to a certain class of functions. In general, these inequalities hold for portfolios in balance and duration-matching, and contain terms dependent on certain types of temporal dispersion. In this paper, by introducing a new risk measure that take in account the mismatching between values of assets and liabilities, we have established some inequalities for the percentage variation of the net value of the portfolio, when the shock belongs to L^1 and L^2.
The Gap Between Assets and Liabilities of a Bond Portfolio
AMATO, Pancrazio
2013-01-01
Abstract
Each investor is interested in controlling changes in the value of a stream of future cash flows depending by changes in interest rates. So many researchers have examined this problem or by establishing some results for bond portfolio immunization or lower limits for portfolio net value variation, when the shock belongs to a certain class of functions. In general, these inequalities hold for portfolios in balance and duration-matching, and contain terms dependent on certain types of temporal dispersion. In this paper, by introducing a new risk measure that take in account the mismatching between values of assets and liabilities, we have established some inequalities for the percentage variation of the net value of the portfolio, when the shock belongs to L^1 and L^2.I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.
