The Financial Immunization Theory examines the interest rate risk and studies the conditions in which it is possible to manage liability cash flow by means asset cash flow. This paper covers the semi-deterministic financial immunization when the network firms’ cash flows are given by a sequence of real number. The authors consider the problem of the constitution of network firms’ patrimonial fund managed with semi-deterministic financial immunization techniques, if the variables are known with certainty, or with stochastic financial immunization techniques, if few variables are known with probability. The authors examine the contribution forms which guarantee network firms’ minimum funding, and also they are immunized with respect to interest rate risk. The paper considers two different structures of interest rate, the first refers to asset cash flow and the second refers to liability cash flow. Redington and Fisher-Weil’s theorems are generalized in this setting.

La gestione del fondo patrimoniale delle reti di imprese

Luigi Romano
;
Donato Scolozzi
2017

Abstract

The Financial Immunization Theory examines the interest rate risk and studies the conditions in which it is possible to manage liability cash flow by means asset cash flow. This paper covers the semi-deterministic financial immunization when the network firms’ cash flows are given by a sequence of real number. The authors consider the problem of the constitution of network firms’ patrimonial fund managed with semi-deterministic financial immunization techniques, if the variables are known with certainty, or with stochastic financial immunization techniques, if few variables are known with probability. The authors examine the contribution forms which guarantee network firms’ minimum funding, and also they are immunized with respect to interest rate risk. The paper considers two different structures of interest rate, the first refers to asset cash flow and the second refers to liability cash flow. Redington and Fisher-Weil’s theorems are generalized in this setting.
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Utilizza questo identificativo per citare o creare un link a questo documento: http://hdl.handle.net/11587/426796
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