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Иммунизация Портфеля Облигаций При Условии Непараллельного Сдвига Кривых Ставок Процента

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  • Воронцовский Алексей Владимирович

Abstract

The article is devoted to the exploration of the methods providing the protection of a portfolio of bonds from the risk of changes in the future interest rates. It is supposed that interest rates change independently from each other in time. Non-plane curves of the current interest rates are examined. An unparallel shift of the curves is taken into account. The ways of the protection of income from a portfolio of bonds in the given range of interest rates through a purchase of an additional portfolio of bonds are shown. The cost of the latter is interpreted as a payment for the protection from the risk of falling of incomes from an initial portfolio

Suggested Citation

  • Воронцовский Алексей Владимирович, 2007. "Иммунизация Портфеля Облигаций При Условии Непараллельного Сдвига Кривых Ставок Процента," Vestnik of the St. Petersburg University. Series 5. Economics Вестник Санкт-Петербургского университета. Серия 5. Экономика, CyberLeninka;Федеральное государственное бюджетное образовательное учреждение высшего образования «Санкт-Петербургский государственный университет», issue 3, pages 119-129.
    • Handle: RePEc:scn:003571:14748304
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