Inmunización financiera y m2: comportamiento en el mercado español de deuda pública

Abstract

The objective of the financial inmunization’s strategies is to avoid the risk due to possible variations on the interest rates. The financial inmunization models proposed for this aim can be classified in three gropus: single-factor models based on unique duration measures, multifactorial models based on a set of duration measures and models based on spread measures. In this work, from Spanish government bond market data, we simulate the spread model based in the use of M2 measure and comparate the results with those obtained applyng single-factor models, based on additive, multiplicative and multiplicative depending on term shifts of yield curve.