Immunization of a portfolio of bonds under a condition of an unparalleled shift in interest rate curves

Authors

  • Алексей Владимирович Воронцовский St. Petersburg State University, 7–9, Universitetskaya nab., St. Petersburg, 199034, Russian Federation https://orcid.org/0000-0001-6473-1951

Abstract

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.

Keywords:

portfolio of bonds

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Author Biography

Алексей Владимирович Воронцовский, St. Petersburg State University, 7–9, Universitetskaya nab., St. Petersburg, 199034, Russian Federation

доктор экономических наук, профессор, заместитель декана экономического факультета по научной работе

References

Литература на русском языке

Бригхем Ю., Гапенски Л. Финансовый менеджмент. Полный курс: В 2 т. / Пер. с англ. СПб., 1997.

Воронцовский А. В. Инвестиции и финансирование: методы оценки и обоснования. СПб., 1998.

Воронцовский А. В. Управление рисками: 3-е изд. СПб., 2005.

Дуглас Л. Г. Анализ рисков операций с облигациями на рынке ценных бумаг / Пер. с англ. М., 1998.

Фабоцци Ф. Управление инвестициями /Пер. с англ. М., 2000.

Шарп У., Алексадер Г., Бейли Дж. Инвестиции / Пер. с англ. М., 1997. С. 977.


References in Latin Alphabet


Translation of references in Russian into English

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Published

2007-09-28

How to Cite

Воронцовский, А. В. (2007). Immunization of a portfolio of bonds under a condition of an unparalleled shift in interest rate curves. St Petersburg University Journal of Economic Studies, (3), 119–129. Retrieved from https://economicsjournal.spbu.ru/article/view/3908

Issue

No. 3 (2007)

Section

Modelling the investment and production

License

Articles of the St Petersburg University Journal of Economic Studies are open access distributed under the terms of the License Agreement with Saint Petersburg State University, which permits to the authors unrestricted distribution and self-archiving free of charge.

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