Dispersion measures as immunization risk measures

Balbás, Alejandro; Ibáñez, Alfredo; López, Susana

Publication:
Dispersion measures as immunization risk measures

dc.affiliation.dpto	UC3M. Departamento de Economía de la Empresa	es
dc.contributor.author	Balbás, Alejandro
dc.contributor.author	Ibáñez, Alfredo
dc.contributor.author	López, Susana
dc.date.accessioned	2010-01-19T09:33:23Z
dc.date.available	2010-01-19T09:33:23Z
dc.date.issued	2002-06
dc.description.abstract	The quadratic and linear cash flow dispersion measures M2 and Ñ are two immunization risk measures designed to build immunized bond portfolios. This paper generalizes these two measures by showing that any dispersion measure is an immunization risk measure and therefore, it sets up a tool to be used in empirical testing. Each new measure is derived from a different set of shocks (changes on the term structure of interest rates) and depends on the corresponding subset of worst shocks. Consequently, a criterion for choosing appropriate immunization risk measures is to take those developed from the most reasonable sets of shocks and the associated subset of worst shocks and then select those that work best empirically. Adopting this approach, this paper then explores both numerical examples and a short empirical study on the Spanish Bond Market in the mid-1990s to show that measures between linear and quadratic are the most appropriate, and amongst them, the linear measure has the best properties. This confirms previous studies on US and Canadian markets that maturity-constrained-duration-matched portfolios also have good empirical behavior.
dc.description.status	Publicado
dc.format.mimetype	application/pdf
dc.identifier.bibliographicCitation	Journal of Banking and Finance, June 2002, v.26, n.6, p.1229-1244
dc.identifier.issn	03784266
dc.identifier.uri	http://hdl.handle.net/10016/6484
dc.language.iso	eng
dc.publisher	Elsevier
dc.relation.publisherversion	http://dx.doi.org/10.1016/S0378-4266(01)00168-6
dc.rights	©Elsevier
dc.rights.accessRights	open access
dc.rights.uri	http://creativecommons.org/licenses/by-nc-nd/3.0/es/
dc.subject.eciencia	Empresa
dc.subject.jel	G11
dc.subject.other	Immunization risk measures
dc.subject.other	Dispersion measures
dc.subject.other	Linear measure
dc.subject.other	Maturity-matching bonds
dc.subject.other	Twists on the term structure
dc.title	Dispersion measures as immunization risk measures
dc.type	research article	*
dc.type.review	PeerReviewed
dspace.entity.type	Publication