Indicative FSP

Immunization / hedging for the Bank’s bond position

This project focuses on the ways and methodologies related to the modeling and dealing with risk due to variation of prices of synthetic elements of a portfolio of bonds and in general the variation of the value of the portfolio. Specifically the following methods are implemented: duration and convexity, Yield Beta method, PCA, Bond Futures, VAR.

Current Distinctions & Awards
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