Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
9727653 | Physica A: Statistical Mechanics and its Applications | 2005 | 13 Pages |
Abstract
Under the assumption of the movement of rigid, a nonparallel-shift model in the term structure of interest rates is developed by introducing Fisher & Weil duration which is a well-known concept in the area of interest risk management. This paper has studied the hedge and replication for portfolio immunization to minimize the risk exposure. Throughout the experiment of numerical simulation, the risk exposures of the portfolio under the different risk hedging strategies are quantitatively evaluated by the method of value at risk (VaR) order statistics (OS) estimation. The results show that the risk hedging strategy proposed in this paper is very effective for the interest risk management of the default-free bond.
Related Topics
Physical Sciences and Engineering
Mathematics
Mathematical Physics
Authors
Pu Gong, Xubiao He,