Surplus Management with Embedded Option Properties under Interest Rate and Default Risks
碩士 === 國立中央大學 === 財務管理研究所 === 89 === Bierwag [1987] points out that there has been very little research into the default effects on duration-based strategies. This study compares two duration measures for evaluating the interest rate risk of a non-default-free bond with embedded option pr...
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| Format: | Others |
| Language: | en_US |
| Published: |
2001
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| Online Access: | http://ndltd.ncl.edu.tw/handle/36196994445489047621 |
| Summary: | 碩士 === 國立中央大學 === 財務管理研究所 === 89 === Bierwag [1987] points out that there has been very little research into the default effects on duration-based strategies. This study compares two duration measures for evaluating the interest rate risk of a non-default-free bond with embedded option properties.
Tzeng, Wang, and Soo [2000] demonstrate that linear programming can implement a new optimal immunization strategy to maximize the convexity gain. We follow this strategy but assume the financial institution has non-default-free bonds with embedded options on their balance sheets. Further, we illustrate a example to show the importance of the convexity gain.
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