tailieunhanh - Additional Praise for Fixed Income Securities Tools for Today’s Markets, 2nd Edition phần 3

lãi suất nguy cơ an ninh có thể được đo bằng bao nhiêu thay đổi giá của nó là thay đổi lãi suất. Các biện pháp nhạy cảm về giá được sử dụng trong nhiều cách, bốn trong số đó sẽ được liệt kê ở đây. Đầu tiên, thương nhân bảo hiểm rủi ro một vị trí trong một trái phiếu với trái phiếu khác | 5 One-Factor Measures of Price Sensitivity The interest rate risk of a security may be measured by how much its price changes as interest rates change. Measures of price sensitivity are used in many ways four of which will be listed here. First traders hedging a position in one bond with another bond or with a portfolio of other bonds must be able to compute how each of the bond prices responds to changes in rates. Second investors with a view about future changes in interest rates work to determine which securities will perform best if their view does in fact obtain. Third investors and risk managers need to know the volatility of fixed income portfolios. If for example a risk manager concludes that the volatility of interest rates is 100 basis points per year and computes that the value of a portfolio changes by 10 000 dollars per basis point then the annual volatility of the portfolio is 1 million. Fourth asset-liability managers compare the interest rate risk of their assets with the interest rate risk of their liabilities. Banks for example raise money through deposits and other short-term borrowings to lend to corporations. Insurance companies incur liabilities in exchange for premiums that they then invest in a broad range of fixed income securities. And as a final example defined benefit plans invest funds in financial markets to meet obligations to retirees. Computing the price change of a security given a change in interest rates is straightforward. Given an initial and a shifted spot rate curve for example the tools of Part One can be used to calculate the price change of any security with fixed cash flows. Similarly given two spot rate curves the models in Part Three can be used to calculate the price change of any derivative security whose cash flows depend on the level of rates. Therefore the challenge of measuring price sensitivity comes not so much from the 89 90 ONE-FACTOR MEASURES OF PRICE SENSITIVITY computation of price changes given changes in