**2009, Vol. 19, Issue 1****, an ****item 6**

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KONDRATIUK-JANYSKA A., KALUSZKA M., On new immunization strategies under
random shocks on the term structure of interest rates**

We propose new strategies for portfolio immunization under multiple shocks in the term structure of interest rates (TSIR for short), where a shock is given by the sum of a polynomial and a random field (see e.g. Kimmel, 2002). General propositions are formulated, but in our example we consider a Brownian sheet. Under different assumptions about shocks in the TSIR, we consider the case of a single liability and develop the approach of portfolio immunization in the case of multiple liabilities, introduced in Kondratiuk-Janyska and Kaluszka (2006). Since different classes of shocks are discussed, it implies different lower bounds on the net value of cash flow (difference between assets and liabilities) at time H (the investor’s planning horizon) when shocks appear. In consequence, immunization strategies are presented with new risk measures, such as e.g. exponential duration.

Keywords: portfolio, immunization, duration, term structure of interest rates, random field