文章基本信息

标题：DURATION AND CONVEXITY OF BONDS
其他标题：TRAJANJE I KONVEKSNOST OBVEZNICA
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作者：Slobodan Čerović ; Marina Pepić ; Stanislav Čerović 等
期刊名称：European Journal of Applied Economics
印刷版ISSN：2406-2588
电子版ISSN：2406-3215
出版年度：2014
卷号：11
期号：1
页码：53-66
DOI：10.5937/sjas11-4766
语种：English
出版社：Singidunum University
摘要：The wide impact that interest rate changes have on business performance,the fact that all market participants are,more or less,exposed to interest rate risk,as well as high volatility in interest rates in recent years,make interest rate risk one of the most significant risks.It is impossible to neutralize interest rate risk completely,but it is desirable to reduce it to a minimum.In order to effectively manage it,interest rate risk must first be identified and measured.This paper aims to show the two methods of measuring the interest rate risk - duration and convexity.The concept of duration is a good indicator of changes in the price of bonds but only for small changes in the interest rates.In case of major changes,the duration gives overestimated/underestimated approximation of the bond price,because bond price-yield relationship is not linear.Therefore,when measuring interest rate risk,convexity of bonds must be taken into account.Modified duration and convexity taken together provide the best approximation of the sensitivity of bond prices to changes in interest rates.
其他摘要：Veliki uticaj koji promene kamatnih stopa imaju na uspešnost poslovanja,činjenica da su svi tržišni učesnici,više ili manje,izloženi kamatnom riziku,kao i velika volatilnost kamatnih stopa poslednjih godina,čine kamatni rizik jednim od najznačajnijih rizika.Kamatni rizik je nemoguće u potpunosti eliminisati,ali ga je poželjno svesti na najmanju moguću meru.Kako bi se efikasno upravljalo kamatnim rizikom najpre se mora prepoznati i izmeriti izloženost ovoj vrsti rizika.Ovaj rad ima za cilj da ukaže na dve metode merenja kamatnog rizika - na trajanje i konveksnost.Koncept trajanja je dobar pokazatelj promene cene obveznice ali samo za male promene prinosa (kamatnih stopa).U slučaju većih promena,trajanje daje precenjenu/potcenjenu aproksimaciju promenu cene obveznice,jer odnos cena obveznice – prinos nije linearan.Zbog toga se prilikom merenja kamatnog rizika u obzir mora uzeti i konveksnost obveznice.Modifikovano trajanje i konveksnost uzeti zajedno daju najbolju aproksimaciju osetljivosti cene obveznice na promenu kamatnih stopa.
关键词：Macaulay;modified;effective;empirical and dollar duration;duration of a portfolio;modified and effective convexity;convexity of a portfolio.
其他关键词：Mekulijevo;modifikovano;efektivno;empirijsko novčano trajanje;trajanje portfolia;modifikovana i efektivna konveksnost;konveksnost portfolia.