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Portfolio models for fixed income securities. Agenda. Portfolio dedication Modell for porteføljeimmunisering Modeller for faktorimmunisering Statsobligasjoner Selskapsobligasjoner Oppsummering. Risk management for fixed income securities. Risk associated with changes in interest rates.
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Agenda • Portfolio dedication • Modell for porteføljeimmunisering • Modeller for faktorimmunisering • Statsobligasjoner • Selskapsobligasjoner • Oppsummering Financial Optimization and Risk Management
Risk management for fixed income securities • Risk associated with changes in interest rates Financial Optimization and Risk Management
Risk management for fixed income securities, cont. • Price of a bond which makes predetermined risk free payments Financial Optimization and Risk Management
Risk management for fixed income securities, cont. • Yield to maturity Financial Optimization and Risk Management
Risk management for fixed income securities, cont. • Risk measure: sensitivity of price with respect to term stucture Financial Optimization and Risk Management
Risk management for fixed income securities, cont. • Approximation of price/yield curve Financial Optimization and Risk Management
Risk management for fixed income securities, cont. • Different concepts of duration Financial Optimization and Risk Management
Risk management for fixed income securities, cont. • Different concepts of duration, cont. Financial Optimization and Risk Management
Risk management for fixed income securities, cont. • Convexity: quadratic approximation Financial Optimization and Risk Management
Risk management for fixed income securities, cont. • Factor analysis of the term structure • Small parallel shifts are not what happen in real markets Financial Optimization and Risk Management
Risk management for fixed income securities, cont. • Factor models, cont. • Estimate factors • Keep only a few first ones Financial Optimization and Risk Management
Faktorimmunisering Financial Optimization and Risk Management
Faktorimmunisering (2) Financial Optimization and Risk Management
Faktorimmunisering (3) Financial Optimization and Risk Management
Statsobligasjoner Financial Optimization and Risk Management
Statsobligasjoner (2) Financial Optimization and Risk Management
Statsobligasjoner (3) Financial Optimization and Risk Management
Selskapsobligasjoner Financial Optimization and Risk Management
Selskapsobligasjoner (2) Financial Optimization and Risk Management
Selskapsobligasjoner (3) Financial Optimization and Risk Management
Selskapsobligasjoner (4) Financial Optimization and Risk Management
Selskapsobligasjoner (5) Financial Optimization and Risk Management
Selskapsobligasjoner (6) Financial Optimization and Risk Management
Selskapsobligasjoner (7) Financial Optimization and Risk Management
Selskapsobligasjoner (8) Financial Optimization and Risk Management
Oppsummering/konklusjon • ”Matching” av kontantstrømmer • Modell for porteføljeimmunisering • Modeller for faktorimmunisering for stats- og selskapsobligasjoner • Nyttige for problemer med (tilnærmet) kjente kontantstrømmer Financial Optimization and Risk Management
