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International term structure dynamics and inmunisation

 
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<title>International term structure dynamics and inmunisation</title>
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<namePart>Daenen, Benoît</namePart>
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<publisher>EURO</publisher>
<publisher>University of Liège</publisher>
<dateIssued>1994</dateIssued>
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<abstract displayLabel="Summary">The stochastic process followed by the term structure has major on the value of financial firms since it affects directly its assets and liabilities. The awareness of financial risk management has become more and more important for bank and insurance managers since the collapse of the Bretton Woods Act in 1971. Indeed we observe a sharp increase of term structure volatility  and frequent negative term structures affecting considerably the interest rate risk of those firms. The purpose of this paper is to give some empirical notions of the term structure dynamics and to evaluate the performance of financial risk immunisation techniques.</abstract>
<note type="statement of responsibility">Antonio Borghesi</note>
<note>Donación de AGERS</note>
<note>Ponencia presentada en "Risk management : 4th mini Euro-Conference : A meeting place for indutries companies and universities", celebrada em  Liège, 4 al 6 mayo de 1994, organizada por the European Association of Operational Research Societies y University of Liège</note>
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