search query: @author Chambers, D. / total: 6
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| Author: | Nawalkha, S. Chambers, D. |
| Title: | An improved immunization strategy: M-absolute |
| Journal: | Financial Analysts' Journal
1996 : SEP/OCT, VOL. 52:5, p. 69-76 |
| Index terms: | STRATEGY RISK ECONOMICS |
| Language: | eng |
| Abstract: | Current immunization models have limited power in interest rate risk protection. A new approach, entitled M-Absolute, is designed to provide powerful and practical single-risk- measure immunization in particular circumstances. M-Absolute is similar to M-Square but is derived as a first-order Iower bound immunization risk model. Like duration, M-Absolute can be implemented as a simple, single-risk-measure immunization model. M-Absolute of a bond is defined as the weighted average of the absolute distances of the bond's cash flows from a horizon point. |
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