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

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