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. The network firms' cash flows are given by a sequence of real number. In particular, this work examines the case in which some firms sign the network contract after its establishment. The authors aim to study the contribution forms which guarantee network firms'minimun funding and also they are immunized with respect to interest rate risk. They consider 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 sottoscrizione del contratto di rete in data successiva alla costituzione del fondo patrimoniale
Luigi Romano
;Donato Scolozzi
2019-01-01
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. The network firms' cash flows are given by a sequence of real number. In particular, this work examines the case in which some firms sign the network contract after its establishment. The authors aim to study the contribution forms which guarantee network firms'minimun funding and also they are immunized with respect to interest rate risk. They consider 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 settingI documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.
