'Universidad de Sevilla - Secretariado de Recursos Audiovisuales y Nuevas Tecnologias'
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
