Иммунизация портфеля облигаций при условии непараллельного сдвига кривых ставок процента

Аннотация

The article is devoted to the exploration of the methods providing the protection of a portfolio of bonds from the risk of changes in the future interest rates. It is supposed that interest rates change independently from each other in time. Non-plane curves of the current interest rates are examined. An unparallel shift of the curves is taken into account. The ways of the protection of income from a portfolio of bonds in the given range of interest rates through a purchase of an additional portfolio of bonds are shown. The cost of the latter is interpreted as a payment for the protection from the risk of falling of incomes from an initial portfolio.

Ключевые слова:

портфель облигаций