RT Journal Article SR Electronic T1 International Hedge of Fixed-Income Contracts JF The Journal of Portfolio Management FD Institutional Investor Journals SP 91 OP 100 DO 10.3905/jpm.2001.319795 VO 27 IS 2 A1 Shmuel Hauser A1 Miron Rozenkranz A1 Uri Ben-Zion A1 Uzi Yaari YR 2001 UL https://pm-research.com/content/27/2/91.abstract AB The fixed–income literature is concerned with hedging strategies for controlling the interest rate risk of assets and liabilities held domestically in a single currency. That there is little research dedicated to international immunization may reflect a view that companies and financial institutions dealing internationally need only replicate a single–currency hedging strategy in each country. The authors argue that separate immunization in each country is overly restrictive and may be costly to execute. Instead, they propose a less restrictive strategy treating the assets and liabilities held across currencies as portfolios, and matching the duration of those portfolios. Their immunization strategy should directly reduce the cost of international hedging against interest risk, and indirectly reduce the cost of hedging against currency risk. Simulation results suggest that the proposed strategy should be at least as effective as well as cheaper to implement.