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Duration matching - PowerPoint PPT Presentation

Chapter 12

Chapter 12. Portfolio-Management Techniques. Overview. The purpose of this chapter is to examine some common portfolio-management techniques. In particular, we will look at: Match-Funding Immunization Horizon Matching Indexation Portfolio Insurance. Overview.

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Chapter 12

Chapter 12. Futures Contracts and Portfolio Management. Outline. Pricing of interest rate futures Duration The concept of immunization Bank bullet Hedging with interest rate futures. Pricing Interest Rate Futures Contracts .

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Interest Rate Risk & Duration Matching: A Regulatory Perspective

Interest Rate Risk & Duration Matching: A Regulatory Perspective. Chet Szczepanski Chief Actuary Pennsylvania Insurance Department. VFIC Study. Timely Utilizes DFA Important Conclusion. Important Conclusion. Long duration strategies performed better than matched duration strategies.

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114 views • 11 slides

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Duration matching - PowerPoint PPT Presentation

Chapter 12

Chapter 12

Interest Rate Risk &amp; Duration Matching: A Regulatory Perspective

Interest Rate Risk & Duration Matching: A Regulatory Perspective