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Presentasjon i TI_7 Financial Optimization and Risk Management

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Presentasjon i TI_7 Financial Optimization and Risk Management Powered By Docstoc
					Portfolio models for fixed
income securities
Agenda
n Portfolio dedication
n Modell for porteføljeimmunisering
n Modeller for faktorimmunisering
    ¨ Statsobligasjoner
    ¨ Selskapsobligasjoner

n   Oppsummering
Risk management for fixed income securities
n   Risk associated with changes in interest rates
Risk management for fixed income securities, cont.
 n   Price of a bond which makes predetermined risk free payments
Risk management for fixed income securities, cont.
 n   Yield to maturity
Risk management for fixed income securities, cont.
 n   Risk measure: sensitivity of price with respect to term stucture
Risk management for fixed income securities, cont.
 n   Approximation of price/yield curve
Risk management for fixed income securities, cont.
 n   Different concepts of duration
Risk management for fixed income securities, cont.
 n   Different concepts of duration, cont.
Risk management for fixed income securities, cont.
 n   Convexity: quadratic approximation
Risk management for fixed income securities, cont.
  n   Factor analysis of the term structure
       ¨   Small parallel shifts are not what happen in real markets
Risk management for fixed income securities, cont.
 n   Factor models, cont.




 n   Estimate factors
 n   Keep only a few first ones
Faktorimmunisering
Faktorimmunisering (2)
Faktorimmunisering (3)
Statsobligasjoner
Statsobligasjoner (2)
Statsobligasjoner (3)
Selskapsobligasjoner
Selskapsobligasjoner (2)
Selskapsobligasjoner (3)
Selskapsobligasjoner (4)
Selskapsobligasjoner (5)
Selskapsobligasjoner (6)
Selskapsobligasjoner (7)
Selskapsobligasjoner (8)
Oppsummering/konklusjon
n ”Matching” av kontantstrømmer
n Modell for porteføljeimmunisering
n Modeller for faktorimmunisering for stats-
  og selskapsobligasjoner
n Nyttige for problemer med (tilnærmet)
  kjente kontantstrømmer

				
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posted:7/25/2013
language:Norwegian
pages:27