engleski

Repercussions of the immunisation theory on the asset-liability management

We consider the typical IRS (interest rate sensitive) portfolio characterised by its asset and liability streams. These streams will consist, in general, of random payments that are function of the interest rate. The problem is how to determine the allocation of assets to make them, as far as possible, equally vulnerable as the liabilities to the effects of fluctuations in the market rate of interest. On the basis of the results of semi-deterministic and stochastic immunisation theory, i. e. on the basis of the Downside Risk Theorem and the Stochastic Immunisation Theorem, we build the schemata, mostly linear programming problems, which can be used to select and manage an investment portfolio (a bonds portfolio, for example) dedicated to cover a fixed liability stream. One of the presented schemata is illustrated by a numerical example.

immunisation ; asset-liability management

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