Abstract
Shows that usual immunization assumptions are not valid in real world, and exposure to interest rate shifts cannot be eliminated through standard methods.
Volume
1
Page
427-456
Year
1994
Categories
Actuarial Applications and Methodologies
Investments
Asset/Liability Management (ALM);
Financial and Statistical Methods
Asset and Econometric Modeling
Duration
Financial and Statistical Methods
Asset and Econometric Modeling
Yield Curves
Publications
AFIR Colloquium
