Bond risk analysis: a guide to duration and convexity
Saved in:
| Main Author: | |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
New York, NY
New York Inst. of Finance
1990
|
| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Physical Description: | XII, 339 S. graph. Darst. |
| ISBN: | 0132210371 |
Staff View
MARC
| LEADER | 00000nam a2200000 c 4500 | ||
|---|---|---|---|
| 001 | BV004438694 | ||
| 003 | DE-604 | ||
| 005 | 00000000000000.0 | ||
| 007 | t | ||
| 008 | 910805s1990 d||| |||| 00||| eng d | ||
| 020 | |a 0132210371 |9 0-13-221037-1 | ||
| 035 | |a (OCoLC)20354867 | ||
| 035 | |a (DE-599)BVBBV004438694 | ||
| 040 | |a DE-604 |b ger |e rakddb | ||
| 041 | 0 | |a eng | |
| 049 | |a DE-384 |a DE-945 |a DE-188 | ||
| 050 | 0 | |a HG4651 | |
| 082 | 0 | |a 332.63/23 |2 20 | |
| 084 | |a QK 620 |0 (DE-625)141668: |2 rvk | ||
| 100 | 1 | |a Douglas, Livingston G. |e Verfasser |4 aut | |
| 245 | 1 | 0 | |a Bond risk analysis |b a guide to duration and convexity |c Livingston G. Douglas |
| 264 | 1 | |a New York, NY |b New York Inst. of Finance |c 1990 | |
| 300 | |a XII, 339 S. |b graph. Darst. | ||
| 336 | |b txt |2 rdacontent | ||
| 337 | |b n |2 rdamedia | ||
| 338 | |b nc |2 rdacarrier | ||
| 650 | 7 | |a Obligaties |2 gtt | |
| 650 | 7 | |a Portfolio-analyse |2 gtt | |
| 650 | 4 | |a Bonds | |
| 650 | 4 | |a Bonds |x Prices | |
| 650 | 4 | |a Portfolio management | |
| 650 | 0 | 7 | |a Aktienkurs |0 (DE-588)4141736-7 |2 gnd |9 rswk-swf |
| 650 | 0 | 7 | |a Kapitalanlage |0 (DE-588)4073213-7 |2 gnd |9 rswk-swf |
| 650 | 0 | 7 | |a Kursrisiko |0 (DE-588)4224506-0 |2 gnd |9 rswk-swf |
| 650 | 0 | 7 | |a Festverzinsliches Wertpapier |0 (DE-588)4121262-9 |2 gnd |9 rswk-swf |
| 689 | 0 | 0 | |a Aktienkurs |0 (DE-588)4141736-7 |D s |
| 689 | 0 | 1 | |a Kursrisiko |0 (DE-588)4224506-0 |D s |
| 689 | 0 | |5 DE-604 | |
| 689 | 1 | 0 | |a Kapitalanlage |0 (DE-588)4073213-7 |D s |
| 689 | 1 | 1 | |a Festverzinsliches Wertpapier |0 (DE-588)4121262-9 |D s |
| 689 | 1 | |5 DE-604 | |
| 856 | 4 | 2 | |m HBZ Datenaustausch |q application/pdf |u http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=002753562&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |3 Inhaltsverzeichnis |
| 999 | |a oai:aleph.bib-bvb.de:BVB01-002753562 | ||
Record in the Search Index
| _version_ | 1804118611938246656 |
|---|---|
| adam_text | Contents
Preface, ix
PART I: DURATION, 1
Chapter 1: The Duration Concept, 3
Introduction, 3
Defining duration, 3
Duration in a graphical form, 4
Summary, 7
Chapter 2: The Mathematics of Duration, 8
Introduction, 8
Macaulay s duration, 8
A sample calculation of duration, 10
Durations for a variety of bonds, 12
Duration definitions, 14
Summary, 15
Chapter 2 Appendix: Duration Calculations for Bonds Purchased Between
Coupon Payment Dates, 17
iii
iv Contents
Chapter 3: The Factors That Influence Duration, 21
Introduction, 21
Term to maturity, 21
Explanation of the duration:term to maturity relationship, 24
Coupon rate, 24
Explanation of the durationxoupon rate relationship, 26
Accrued interest, 28
Explanation of the duratiomaccrued interest relationship, 30
Market yield level, 31
Explanation of the duration:market yield relationship, 33
Sinking fund provisions, 35
Explanation of the duration: sinking fund relationship, 35
Call provisions, 37
Passage of time, 37
Explanation of the duration:passage of time relationship, 39
Summary, 40
Chapter 4: Duration Tables, 42
Introduction, 42
The primary factors, 42
Duration tables, 43
The interaction of term to maturity and market yield
level, 43
The interaction of coupon rate and term to maturity, 51
The interaction of market yield level and coupon rate, 53
The interaction of accrued interest and term to maturity, 55
Early redemption provisions, 56
Factor sensitivity for short term, intermediate term, and long term
bonds, 56
Summary, 57
Chapter 5: Using Duration as a Risk Measure, 59
Introduction, 59
Duration as an indicator of bond risk, 60
The modified duration concept, 60
Using modified duration as a measure of bond risk, 62
Illustrations of modified duration, 63
Modified duration and the priceiyield curve, 65
The advantages and limitations of modified duration, 67
Summary, 70
Contents v
Chapter 6: Effective Duration, 71
Introduction, 71
Definitions of effective duration, 72
Effective duration of corporate bonds, 73
Callable bonds, 73
The price sensitivity of a callable bond, 73
Assessing the duration of a callable bond, 74
Deriving the price of a callable bond, 79
The price behavior of a callable bond, 81
The derivation of effective duration, 83
Callable bond illustrations, 87
Sinking fund provisions, 101
Putable bonds, 103
The price sensitivity of a putable bond, 103
Assessing the duration of a putable bond, 104
The price behavior of a putable bond, 111
A case study: Province of Manitoba 9 /s% put bond
due 1/15/18, 113
The advantages and limitations of effective duration, 114
Effective duration of mortgage backed securities and asset backed
securities, 117
Mortgage backed securities, 118
Mortgage passthroughs, 118
Derivative mortgage products, 125
Asset backed securities, 134
Certificates for automobile receivables (CA RS), 135
Certificates for amortizing revolving debts (CARDS), 136
Summary, 137
Chapter 6 Appendix A: Another Method of Assessing the Duration of a
Callable (or Putable) Bond, 140
Chapter 6 Appendix B: The CMS Option Valuation Method for Fixed Income
Securities, 144
Chapter 6 Appendix C: Bond Market Volatility, 154
Chapter 7: Portfolio Duration, 158
Introduction, 158
Calculating a portfolio duration, 158
An illustration, 159
Calculating the modified duration of a portfolio, 161
Estimating a portfolio s duration and modified duration, 162
v[ Contents
Calculating the effective duration of a portfolio, 164
An illustration, 165
Summary, 165
Chapter 7 Appendix: Calculating an Internal Rate of Return, 168
Chapter 8: Duration and Bond Portfolio Management Strategy, 172
Introduction, 172
Passive bond management, 172
Cashflow matching, 173
Description of approach, 173
Illustrations, 173
Advantages and limitations, 173
Bond immunization, 174
Description of the approach, 174
Illustrations, 174
Advantages and limitations, 175
Bond indexation, 182
Description of approach, 182
Illustrations, 182
Advantages and limitations, 191
Active bond management, 192
Risk controlled bond management, 192
Total return maximization, 193
Current income maximization, 197
Risk controlled bond management: advantages and limitations,
199
Summary, 202
Chapter 8 Appendix: The Impacts and Mechanics of Bond Swaps, 206
PART II: CONVEXITY, 211
Chapter 9: The Concept of Convexity, 213
Introduction, 213
The price.yield relationship, 213
A simple definition of convexity, 215
An illustration of convexity (10 year bond), 216
An illustration of convexity (30 year bond), 219
Convexity as a change in duration, 220
Summary, 222
Contents vjj
Chapter 10: The Mathematics of Convexity, 223
Introduction, 223
The concept of a convexity factor, 223
Choosing a single convexity factor, 226
Using a probability weighted average convexity factor, 230
The convexity of U.S. Treasury bonds, 231
Generic issues, 231
Actual issues, 234
The convexity of noncallable corporate and federal agency bonds, 235
Generic issues, 235
Actual issues, 238
The advantages and limitations of convexity factors, 239
The concept of a price volatility multiplier, 240
Summary, 242
Chapter 10 Appendix: Convexity and the Price:Yield Function, 243
Chapter 11: The Factors That Influence Convexity, 246
Introduction, 246
Duraion, 246
Cashflow distribution, 252
Market yield volatility, 257
Direction of yield change, 258
The convexity of noncallable corporate bonds versus noncallable U.S.
Treasury bonds, 260
Summary, 264
Chapter 11 Appendix: The Convexity of Zero Coupon Bonds, 265
Chapter 12: Negative Convexity, 269
Introduction, 269
Defining negative convexity, 269
A numeric illustration of negative convexity, 270
The average convexity factor for a callable bond, 273
A graphical presentation of negative convexity, 274
Negative convexity and callable corporate bonds, 275
Factors that influence the negative convexity of callable bonds, 275
Illustrations of corporate bonds, 279
Another approach to discovering negative convexity, 283
A price volatility multiplier for corporate bonds, 284
viji Contents
Negative convexity and mortgage backed securities, 285
Factors influencing the negative convexity of mortgage backed
securities, 285
Illustrations of mortgage backed securities, 286
Summary, 290
Chapter 13: Portfolio Convexity, 291
Introduction, 291
Portfolio convexity: the concept, 291
Portfolio convexity: calculations, 292
Estimating portfolio convexity, 298
Summary, 299
Chapter 14: Convexity and Bond Portfolio Management Strategy, 300
Introduction, 300
Passive management strategies, 300
Cashflow matching, 301
Bond immunization, 301
Bond indexation, 302
Active management strategies, 303
Risk controlled bond management techniques, 306
Adding conexity vis a vis a benchmark, 307
Dumbbell portfolios versus bullet portfolios, 308
Duration weighted swaps that add incremental convexity, 312
Risk altering management techniques, 314
Adding convexity by extending maturity (noncallable bonds),
314
Adding convexity by trading down in coupon, 315
Other considerations, 317
Transaction costs, 318
Nonparallel yield curve shifts, 318
Unexpected changes in yield spreads, 318
Importance of yield differential over time, 319
The price of convexity, 319
The importance of duration effects versus convexity effects, 319
Rebalancing away the potential convexity effects, 321
Using effective duration to make active management decisions,
321
Summary, 322
Glossary, 323
Index, 334
|
| any_adam_object | 1 |
| author | Douglas, Livingston G. |
| author_facet | Douglas, Livingston G. |
| author_role | aut |
| author_sort | Douglas, Livingston G. |
| author_variant | l g d lg lgd |
| building | Verbundindex |
| bvnumber | BV004438694 |
| callnumber-first | H - Social Science |
| callnumber-label | HG4651 |
| callnumber-raw | HG4651 |
| callnumber-search | HG4651 |
| callnumber-sort | HG 44651 |
| callnumber-subject | HG - Finance |
| classification_rvk | QK 620 |
| ctrlnum | (OCoLC)20354867 (DE-599)BVBBV004438694 |
| dewey-full | 332.63/23 |
| dewey-hundreds | 300 - Social sciences |
| dewey-ones | 332 - Financial economics |
| dewey-raw | 332.63/23 |
| dewey-search | 332.63/23 |
| dewey-sort | 3332.63 223 |
| dewey-tens | 330 - Economics |
| discipline | Wirtschaftswissenschaften |
| format | Book |
| fullrecord | <?xml version="1.0" encoding="UTF-8"?><collection xmlns="http://www.loc.gov/MARC21/slim"><record><leader>01801nam a2200481 c 4500</leader><controlfield tag="001">BV004438694</controlfield><controlfield tag="003">DE-604</controlfield><controlfield tag="005">00000000000000.0</controlfield><controlfield tag="007">t</controlfield><controlfield tag="008">910805s1990 d||| |||| 00||| eng d</controlfield><datafield tag="020" ind1=" " ind2=" "><subfield code="a">0132210371</subfield><subfield code="9">0-13-221037-1</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(OCoLC)20354867</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(DE-599)BVBBV004438694</subfield></datafield><datafield tag="040" ind1=" " ind2=" "><subfield code="a">DE-604</subfield><subfield code="b">ger</subfield><subfield code="e">rakddb</subfield></datafield><datafield tag="041" ind1="0" ind2=" "><subfield code="a">eng</subfield></datafield><datafield tag="049" ind1=" " ind2=" "><subfield code="a">DE-384</subfield><subfield code="a">DE-945</subfield><subfield code="a">DE-188</subfield></datafield><datafield tag="050" ind1=" " ind2="0"><subfield code="a">HG4651</subfield></datafield><datafield tag="082" ind1="0" ind2=" "><subfield code="a">332.63/23</subfield><subfield code="2">20</subfield></datafield><datafield tag="084" ind1=" " ind2=" "><subfield code="a">QK 620</subfield><subfield code="0">(DE-625)141668:</subfield><subfield code="2">rvk</subfield></datafield><datafield tag="100" ind1="1" ind2=" "><subfield code="a">Douglas, Livingston G.</subfield><subfield code="e">Verfasser</subfield><subfield code="4">aut</subfield></datafield><datafield tag="245" ind1="1" ind2="0"><subfield code="a">Bond risk analysis</subfield><subfield code="b">a guide to duration and convexity</subfield><subfield code="c">Livingston G. Douglas</subfield></datafield><datafield tag="264" ind1=" " ind2="1"><subfield code="a">New York, NY</subfield><subfield code="b">New York Inst. of Finance</subfield><subfield code="c">1990</subfield></datafield><datafield tag="300" ind1=" " ind2=" "><subfield code="a">XII, 339 S.</subfield><subfield code="b">graph. Darst.</subfield></datafield><datafield tag="336" ind1=" " ind2=" "><subfield code="b">txt</subfield><subfield code="2">rdacontent</subfield></datafield><datafield tag="337" ind1=" " ind2=" "><subfield code="b">n</subfield><subfield code="2">rdamedia</subfield></datafield><datafield tag="338" ind1=" " ind2=" "><subfield code="b">nc</subfield><subfield code="2">rdacarrier</subfield></datafield><datafield tag="650" ind1=" " ind2="7"><subfield code="a">Obligaties</subfield><subfield code="2">gtt</subfield></datafield><datafield tag="650" ind1=" " ind2="7"><subfield code="a">Portfolio-analyse</subfield><subfield code="2">gtt</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Bonds</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Bonds</subfield><subfield code="x">Prices</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Portfolio management</subfield></datafield><datafield tag="650" ind1="0" ind2="7"><subfield code="a">Aktienkurs</subfield><subfield code="0">(DE-588)4141736-7</subfield><subfield code="2">gnd</subfield><subfield code="9">rswk-swf</subfield></datafield><datafield tag="650" ind1="0" ind2="7"><subfield code="a">Kapitalanlage</subfield><subfield code="0">(DE-588)4073213-7</subfield><subfield code="2">gnd</subfield><subfield code="9">rswk-swf</subfield></datafield><datafield tag="650" ind1="0" ind2="7"><subfield code="a">Kursrisiko</subfield><subfield code="0">(DE-588)4224506-0</subfield><subfield code="2">gnd</subfield><subfield code="9">rswk-swf</subfield></datafield><datafield tag="650" ind1="0" ind2="7"><subfield code="a">Festverzinsliches Wertpapier</subfield><subfield code="0">(DE-588)4121262-9</subfield><subfield code="2">gnd</subfield><subfield code="9">rswk-swf</subfield></datafield><datafield tag="689" ind1="0" ind2="0"><subfield code="a">Aktienkurs</subfield><subfield code="0">(DE-588)4141736-7</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="0" ind2="1"><subfield code="a">Kursrisiko</subfield><subfield code="0">(DE-588)4224506-0</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="0" ind2=" "><subfield code="5">DE-604</subfield></datafield><datafield tag="689" ind1="1" ind2="0"><subfield code="a">Kapitalanlage</subfield><subfield code="0">(DE-588)4073213-7</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="1" ind2="1"><subfield code="a">Festverzinsliches Wertpapier</subfield><subfield code="0">(DE-588)4121262-9</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="1" ind2=" "><subfield code="5">DE-604</subfield></datafield><datafield tag="856" ind1="4" ind2="2"><subfield code="m">HBZ Datenaustausch</subfield><subfield code="q">application/pdf</subfield><subfield code="u">http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=002753562&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA</subfield><subfield code="3">Inhaltsverzeichnis</subfield></datafield><datafield tag="999" ind1=" " ind2=" "><subfield code="a">oai:aleph.bib-bvb.de:BVB01-002753562</subfield></datafield></record></collection> |
| id | DE-604.BV004438694 |
| illustrated | Illustrated |
| indexdate | 2024-07-09T16:13:03Z |
| institution | BVB |
| isbn | 0132210371 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-002753562 |
| oclc_num | 20354867 |
| open_access_boolean | |
| owner | DE-384 DE-945 DE-188 |
| owner_facet | DE-384 DE-945 DE-188 |
| physical | XII, 339 S. graph. Darst. |
| publishDate | 1990 |
| publishDateSearch | 1990 |
| publishDateSort | 1990 |
| publisher | New York Inst. of Finance |
| record_format | marc |
| spelling | Douglas, Livingston G. Verfasser aut Bond risk analysis a guide to duration and convexity Livingston G. Douglas New York, NY New York Inst. of Finance 1990 XII, 339 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Obligaties gtt Portfolio-analyse gtt Bonds Bonds Prices Portfolio management Aktienkurs (DE-588)4141736-7 gnd rswk-swf Kapitalanlage (DE-588)4073213-7 gnd rswk-swf Kursrisiko (DE-588)4224506-0 gnd rswk-swf Festverzinsliches Wertpapier (DE-588)4121262-9 gnd rswk-swf Aktienkurs (DE-588)4141736-7 s Kursrisiko (DE-588)4224506-0 s DE-604 Kapitalanlage (DE-588)4073213-7 s Festverzinsliches Wertpapier (DE-588)4121262-9 s HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=002753562&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Douglas, Livingston G. Bond risk analysis a guide to duration and convexity Obligaties gtt Portfolio-analyse gtt Bonds Bonds Prices Portfolio management Aktienkurs (DE-588)4141736-7 gnd Kapitalanlage (DE-588)4073213-7 gnd Kursrisiko (DE-588)4224506-0 gnd Festverzinsliches Wertpapier (DE-588)4121262-9 gnd |
| subject_GND | (DE-588)4141736-7 (DE-588)4073213-7 (DE-588)4224506-0 (DE-588)4121262-9 |
| title | Bond risk analysis a guide to duration and convexity |
| title_auth | Bond risk analysis a guide to duration and convexity |
| title_exact_search | Bond risk analysis a guide to duration and convexity |
| title_full | Bond risk analysis a guide to duration and convexity Livingston G. Douglas |
| title_fullStr | Bond risk analysis a guide to duration and convexity Livingston G. Douglas |
| title_full_unstemmed | Bond risk analysis a guide to duration and convexity Livingston G. Douglas |
| title_short | Bond risk analysis |
| title_sort | bond risk analysis a guide to duration and convexity |
| title_sub | a guide to duration and convexity |
| topic | Obligaties gtt Portfolio-analyse gtt Bonds Bonds Prices Portfolio management Aktienkurs (DE-588)4141736-7 gnd Kapitalanlage (DE-588)4073213-7 gnd Kursrisiko (DE-588)4224506-0 gnd Festverzinsliches Wertpapier (DE-588)4121262-9 gnd |
| topic_facet | Obligaties Portfolio-analyse Bonds Bonds Prices Portfolio management Aktienkurs Kapitalanlage Kursrisiko Festverzinsliches Wertpapier |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=002753562&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| work_keys_str_mv | AT douglaslivingstong bondriskanalysisaguidetodurationandconvexity |