Naslov
Repercussions of the immunisation theory on the asset-liability management

Autori
Aljinović, Zdravka ; Šego, Boško ; Plazibat-Tomić, Neli

Vrsta, podvrsta i kategorija rada
Radovi u zbornicima skupova, cjeloviti rad (in extenso), znanstveni

Izvornik
Proceedings of the 9th International Conference on Operational Research - KOI 2002 / Šorić, Kristina ; Hunjak, Tihomir ; Scitovski, Rudolf - Zagreb : Osijek : Hrvatsko društvo za operacijska istraživanja (CRORS), 2003, 275-285

Skup
9th International Conference on Operational Research KOI 2002

Mjesto i datum
Trogir, Hrvatska, 02.10.2002. - 04.10.2002

Vrsta sudjelovanja
Predavanje

Vrsta recenzije
Međunarodna recenzija

Ključne riječi
immunisation ; asset-liability management

Sažetak
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.

Izvorni jezik
Engleski

Znanstvena područja
Ekonomija

POVEZANOST RADA