Στρατηγικές ανοσοποίησης χαρτοφυλακίου στην περίπτωση πολλαπλών υποχρεώσεων
Immunization strategies for a bond portfolio in the case of multiple liabilities
Θεοφανίδου, Χριστίνα - Βασιλεία
In the investment area, bond as a usual financial instrument, often holds the leading role in the structure of a portfolio. From the investment hand, the purpose is to control and minimize the portfolio's risks, by managing assets in such a way as to reflect the characteristics of their liabilities. The dissertation focus on immunisation strategies of a bond portfolio in the case of multiple liabilities. Bond's characteristics, the risks of investing in them while useful financial meanings and definitions are presented. The thesis emphasizes duration and convexity, which are measures that manage the exposure of interest rate rirk. In addition, mathematical tools are referred too, in order to facilitate the reader. Finally, strategies based on single or multiple measure of risks in actuarial models that are based on multiple shocks in the term structure of interest rates, are presented. The problem of immunization will be presented as an optimization problem, under a fixed - open loop strategy. New risk measures associated with changes of the term structure are also defined.