Models of Financial Immunization: Behavior on the Spanish Public Debt Market

Global Journal of Business Research, Vol. 2, No. 1, pp.101-109, 2008

9 Pages Posted: 18 Feb 2010

Date Written: 2008

Abstract

Financial immunization is a passive management strategy for portfolios comprising fixed income financial assets that aims to eliminate from such portfolios any risk arising from uncertainty concerning the future performance of interest rates. Some effort has been made to employ different models of immunization to get this objective. The purpose of this paper is to simulate the behavior of different models of financial immunization, based on information concerning the Spanish public debt market, with a view to conducting a comparative analysis.

JEL Classification: G12

Suggested Citation

Martinez, Miguel Angell Perez and Ruiz Herrán, Vicente and Peña-Cerezo, Miguel A., Models of Financial Immunization: Behavior on the Spanish Public Debt Market (2008). Global Journal of Business Research, Vol. 2, No. 1, pp.101-109, 2008, Available at SSRN: https://ssrn.com/abstract=1543488

Miguel Angell Perez Martinez (Contact Author)

University of the Basque Country ( email )

Barrio Sarriena s/n
Leioa, Bizkaia 48940
Spain

Vicente Ruiz Herrán

University of the Basque Country ( email )

Barrio Sarriena s/n
Leioa, Bizkaia 48940

Miguel A. Peña-Cerezo

Independent ( email )

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