Fixed Income 11: Portfolio Risk Management with Duration Matching

Описание к видео Fixed Income 11: Portfolio Risk Management with Duration Matching

How can bond sensitivity to interest rates cause a bank or a pension fail? One cause of insolvency is due to duration differences between the firm's assets and liabilities. In this last lecture in a series on fixed income investments, we will discuss how to duration-match a portfolio of assets to liabilities to immunize the portfolio to interest rate changes, with important caveats.

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