ERM-613-17: Managing Investment Portfolios - Ch.6


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Reading Source: ERM-613-17 Study Note

Topics Covered in this Reading:

  • Managing Funds Against Liabilities
  • Dedication Strategies
    • Immunization Strategies
    • Extensions of Classical Immunization Theory
    • Multiple Liability Immunization
    • Immunization for General Cash Flows
    • Return Maximization for Immunized Portfolios
  • Cash Flow Matching Strategies
    • Cash Flow Matching versus Multiple Liability Immunization
    • Extensions of Basic Cash Flow Matching
    • Application Considerations
  • Other Fixed Income Strategies
  • Combination Strategies
  • Leverage
    • Effects of Leverage
    • Repurchase Agreements
  • Derivatives-Enabled Strategies
    • Interest Rate Risk
    • Other Risk Measures
    • Bond Variance vs. Bond Duration
    • Interest Rate Futures
    • Interest Rate Swaps
    • Interest Rate Options
    • Credit Risk Instruments