Comunicação em evento científico
Multi Liability Immunization with the M-Absolute Model: an Approach to the 21st Century U.S. Bond Market
Claudia Simões (Simões, C); Luís Oliveira (Oliveira, L.); Jorge Ventura Bravo (Bravo, J.);
Título Evento
10th Portuguese Finance Network Conference
Ano
2018
Língua
Inglês
País
Portugal
Mais Informação
Abstract/Resumo
We present an empirical study where the M-Absolute strategy is applied in a multiple liability immunization setting, where yearly liabilities increase with inflation. We use real data from U.S. TIPS and U.S. Treasuries between 2000 and 2017 to test what is the best bond dataset to apply to this end. We conclude that U.S. TIPS surpasses U.S. Treasuries, corroborating previous empirical research that states that the asset portfolio's structure should resemble the liability profile in order to achieve the best immunization results.
Agradecimentos/Acknowledgements
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Palavras-chave
Interest rate risk,Immunization,Duration,M-Absolute,Term Structure of Interest Rates,Inflation