Guest Post: Equity Duration Immunization And Mismatch

Tyler Durden's picture

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Racer's picture

Just like a goalie who would cover only one side of the net and leave the other half wide open for the opponent to score in…..


Goalpost depiction below


Where X = Fed


edit: sorry I missed the half way mark...


Anonymous's picture

37 year duration and a S&P dividend yield at 2% - if rates go up 3 percent is that over a 50% drop in price?

Anonymous's picture

Duration needs to be be defined in this context. Holding period - I think not.

Orly's picture

Ja, mohn.  Buy und holdt.

Finest strategery ever invented.



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sidkof's picture

Rapid growth of assets and liability portfolios to the risk of significant mismatch ... Necessary to implement a strategy of partial immunization duration specified risk limits .... Does not require the reduction of mensagens para orkut equity exposure

Adam33's picture

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