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Управление процентным риском портфеля ГКО-ОФЗ в посткризисный период (стр. 30 из 31)

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Приложение.

Структуры иммунизированных портфелей по состоянию на 27.12.2000.

Таблица 1.

Структуры портфелей, иммунизированных по методу Л.Фишера–Р.Вейла.

Срок 21143 25013 25014 25021 25024 25030 27003 27004 27007 27009 27010 27011 28001
8 0 0 0 0.957 0 0 0 0 0 0 0 0 0.043
12 0 0 0 0.922 0 0 0 0 0 0 0 0 0.078
26 0 0 0 0.802 0 0 0 0 0 0 0 0 0.198
52 0 0 0 0.578 0 0 0 0 0 0 0 0 0.422
78 0 0 0 0.354 0 0 0 0 0 0 0 0 0.646
104 0 0 0 0.130 0 0 0 0 0 0 0 0 0.870

Таблица 2.

Структуры портфелей, иммунизированных на основе критерия Г.Фонга–О.Васичека.

Срок 21143 25013 25014 25021 25024 25030 27003 27004 27007 27009 27010 27011 28001
8 0.512 0.488 0 0 0 0 0 0 0 0 0 0 0
12 0 0.956 0 0 0.044 0 0 0 0 0 0 0 0
26 0 0.239 0 0 0.761 0 0 0 0 0 0 0 0
52 0 0 0 0 0 0.900 0.100 0 0 0 0 0 0
78 0 0 0 0 0 0 0 0.985 0.015 0 0 0 0
104 0 0 0 0 0 0 0 0 0 0.785 0.215 0 0

Таблица 3.

Структуры портфелей, иммунизированных от непараллельных сдвигов временной структуры процентных ставок на основе двухкомпонентной модели.

Срок 21143 25013 25014 25021 25024 25030 27003 27004 27007 27009 27010 27011 28001
26 0 0.627 0 0 0.341 0 0 0 0 0 0 0.032 0
52 0 0 0.142 0 0 0.856 0 0 0 0 0.002 0 0
78 0 0 0 0 0 0 0.266 0.715 0 0 0.019 0 0
104 0 0 0 0 0 0 0 0.879 0 0 0.121 0 0

Таблица 4.

Структуры портфелей, иммунизированных от смещения временных премий.

Срок 21143 25013 25014 25021 25024 25030 27003 27004 27007 27009 27010 27011 28001
8 0.521 0.479 0 0 0 0 0 0 0 0 0 0 0
12 0 0.965 0 0 0.035 0 0 0 0 0 0 0 0

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