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Beschreibung
Banks failed to fulfil the function to provide the economy with maturity transformations. In this book you will find methods to describe, reduce and avoid losses based on changes in the slope of the yield curve. The first part shows the different shifts of the yield curve and their effects on the bank portfolio. The second part considers the question of the importance of Duration and Convexity in the selection process. Finally, an empirical study on a simulated portfolio similar to the bank book shows the effects and results of changes in the yield curve.
Importance of Duration and Convexity in the selection process Portfolio immunization against interest rate risks
Details
| Verlag | AV Akademikerverlag |
| Ersterscheinung | 20. September 2016 |
| Maße | 22 cm x 15 cm x 0.4 cm |
| Gewicht | 96 Gramm |
| Format | Softcover |
| ISBN-13 | 9783639880472 |
| Seiten | 52 |
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