multiperiod immunization

multiperiod immunization
A portfolio strategy in which a portfolio is created that will be capable of satisfying more than one predetermined future liability regardless of interest rate changes. Bloomberg Financial Dictionary

Financial and business terms. 2012.

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  • Multiperiod immunization — A portfolio strategy in which a portfolio is created that will be capable of satisfying more than one predetermined future liability regardless if interest rates change. The New York Times Financial Glossary …   Financial and business terms

  • Immunization — A strategy that matches the durations of assets and liabilities thereby minimizing the impact of interest rates on the net worth. Also known as multiperiod immunization . For example, large banks must protect their current net worth, whereas… …   Investment dictionary

  • Мультипериодная иммунизация — портфельная стратегия, предполагающая создание портфеля, способного удовлетворить несколько заданных будущих обязательств вне зависимости от изменения процентных ставок. По английски: Multiperiod immunization См. также: Стратегии иммунизации… …   Финансовый словарь

  • Dedicated Portfolio — A passive form of portfolio management that involves the matching of future cash inflows with future liabilities. The process of dedicating a portfolio may be used as an alternative to multiperiod immunization, which reduces the level of interest …   Investment dictionary

  • Cash flow matching — Also called dedicating a portfolio, this is an alternative to multiperiod immunization in which the manager matches the maturity of each element in the liability stream, working backward from the last liability to assure all required cash flows.… …   Financial and business terms

  • Combination matching — Also called horizon matching, a variation of multiperiod immunization and cash flow matching in which a portfolio is created that is always duration matched and also cash matched in the first few years. The New York Times Financial Glossary …   Financial and business terms

  • cash flow matching — Also called dedicating a portfolio, this is an alternative to multiperiod immunization that calls for the manager to match the maturity of each element in the liability stream, working backward from the last liability to assure all required cash… …   Financial and business terms

  • combination matching — Also called horizon matching ( horizon matching strategy, a variation of multiperiod immunization and cash flow matching in which a portfolio is created that is always duration matched and also cash matched in the first few years. Bloomberg… …   Financial and business terms

  • Interest rate risk — is the risk (variability in value) borne by an interest bearing asset, such as a loan or a bond, due to variability of interest rates. In general, as rates rise, the price of a fixed rate bond will fall, and vice versa. Interest rate risk is… …   Wikipedia

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