For each of the techniques below - Describe if it protects us against shifts and/or twists?
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Classical Immunization
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Contingent Immunization
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Multiple liability immunization
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Cash flow matching
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Horizon Matching
For each of the techniques below - Describe if it protects us against shifts and/or twists?
Classical Immunization
Contingent Immunization
Multiple liability immunization
Cash flow matching
Horizon Matching
1: shift only
2: shift
3: if used alone, then shift only. if combined with linear optimization, can protect twist.
4:shift
5: mostly shift. protect against twist only in the initial periord.
I am not sure about 2 and 4
I think this sounds correct
1: shift only
2: shift only
3: if used alone, then shift only. if combined with linear optimization, can protect twist.
4: shift + twist
5: mostly shift. protect against twist only in the initial periord.