Bond risks based on factor volatilities:
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Abschlussarbeit Buch |
| Sprache: | English |
| Veröffentlicht: |
1996
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| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | V, 96, 23 S. graph. Darst. |
Internformat
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Datensatz im Suchindex
| _version_ | 1804125628980527104 |
|---|---|
| adam_text | I
Contents
1. Introduction 1
l.lFocus 1
1.2 The Term Structure of Interest Rates: Terminology 2
1.2.1 Discrete Time 2
1.2.2 Continuous Time 3
1.3 Factors of Term Structure Movements 5
1.4 Present Extent of Research 8
1.4.1 Heath/Jarrow/Morton 8
1.4.2 Kahn 9
1.4.3 Litterman/Scheinkman 10
1.5Objective 11
2 Theoretical Framework 13
2.1 Term Structure Movements: Analysis of Patterns 13
2.1.1 Introduction 13
2.1.2 Correlation Structure of Term Structure Movements 13
2.1.3 Structure of Eigenvectors 16
2.1.3.1 Basics 16
2.1.3.2 First Eigenvector 17
2.1.3.3 Second Eigenvector 17
2.1.3.4 Third and Fourth Eigenvector 20
2.1.4 Stability of Patterns 23
2.1.5 Systematical Variations 24
2.1.5.1 Variation of Steepness 25
2.1.5.2 Variation of Curvature 27
2.1.6 Summary of Section 2.1 30
2.2 Siegel Paradox and Arbitrage 31
2.2.1 Siegel Paradox 31
2.2.2 Forward Rates and Arbitrage 32
2.2.2.1 Connection 32
2.2.2.2 Derivation of a Correction Term 33
n
2.2.3 Impact on Yields 34
2.2.3.1 Connection 34
2.2.3.2 Appraising the Dimension of a Correction Term 34
2.2.4 Summary of Section 2.2 35
2.3 Adequate Representation of Different Intervals 36
2.3.1 Term Structure and PC A: Usual Application 36
2.3.2 Critique of the Usual Application 36
2.3.2.1 A Set of Points versus a Continuum 36
2.3.2.2 Consequences of Overrepresentation 37
2.3.2.3 Examination of Articles 37
2.3.3 Improved Application 37
2.3.3.1 Introduction of Weightings 37
2.3.3.2 Calculation of the Eigenvalues 39
2.3.3.3 Calculation of the Eigenvectors 39
2.3.4 Summary of Section 2.3 40
2.4 Stability of the Detected Factors 41
2.4.1 Purpose 41
2.4.2 Probability Distribution of Sample Principal Components 41
2.4.3 Confidence Interval and Hypothesis Testing of Eigenvalues 41
2.4.4 Confidence Interval and Hypothesis Testing of
Eigenvectors 42
2.4.5 Procedure 42
2.5 Summary of the Formal Procedure 4^
3. Empirical Examination 45
3.1 Interest Rates in the Swiss Context 4^
3.1.1 The Money Market 45
3.1.2 The Capital Market 45
3.1.3 Interest Rate Futures 46
3.1.4 Interest Rate Swaps 4(*
3.1.5 Market Imperfections 4
3.1.6 Choice of Yields 48
3.1.7 Summary of Section 3.1 49
m
3.2 Statistical Properties of the Selected Yields 50
3.2.1 Data 50
3.2.2 Normal Distribution 50
3.2.3 Autocorrelation and Random Walk 51
3.2.4 Structural Breaks 53
3.2.4.1 Introduction 53
3.2.4.2 Normal Distribution of the Residuals 53
3.2.4.3 Autocorrelation of the Residuals 54
3.2.4.4 Homoscedasticity of the Residuals 55
3.2.4.5 Structural Breaks 56
3.2.5 Summary of Section 3.2 58
3.3 Estimate of the Main Factors of Yield Movements 58
3.3.1 Introduction 58
3.3.2 PCA with Unweighted Correlation Matrix 59
3.3.3 PCA with Weighted Correlation Matrix 60
3.3.4 Comparison 61
3.3.4.1 Eigenvalues 61
3.3.4.2 Eigenvectors 61
3.3.5 Summary of Section 3.3 63
3.4 Investigating the Stability of the Detected Factors 64
3.4.1 Introduction 64
3.4.2 Estimates for the Subperiod 1988.02 1992.12 64
3.4.3 Estimates for the Subperiod 1993.01 1995.02 65
3.4.4 Stability Test: Version 1 66
3.4.5 Stability Test: Version 2 67
3.4.6 Conclusion 67
4. Interpretations 69
4.1 Systems Thinking 69
4.1.1 Introduction 69
4.1.2 Systems, Elements and Relations 70
4.1.3 Complexity 71
4.1.4Ultrastability 72
4.1.5 Summary of Section 4.1 73
IV
4.2 What is Behind the Principal Components 73
4.2.1 Motivation 73
4.2.2 Observable Factors Behind Every Principal Component? 74
4.2.3 Interviews 76
4.2.3.1 Objective 76
4.2.3.2 General Characteristics of Financial Markets 76
4.2.3.3 The Role of the USA 77
4.2.3.4 The Role of Germany 78
4.2.3.5 Different States of a System 78
4.2.3.6 Causalities 79
4.2.3.7 Term Structure Effects 79
4.2.4 Summary of Section 4.2 80
4.3 Observable Factors of Swiss Yields 80
4.3.1 Objective 80
4.3.2 The Correlation between German and Swiss Yield
Movements 80
4.3.3 Co integration between German and Swiss Yields 82
4.3.4 Summary of Section 4.3 83
4.4 Interpreting the Principal Components 83
4.4.1 Objective 83
4.4.2 Interpretation 83
4.4.3 Principal Components and Interest Rate Inversion 84
4.4.4 Summary of Section 4.4 87
4.5 Bond Hedging 87
4.5.1 Objective 87
4.5.2 Change of Present Value Due to a Factor Shock 87
4.5.3 Factor Hedging 88
4.5.3.1 Idea 88
4.5.3.2 Second Factor Hedging 89
4.5.3.3 Third Factor Hedging 90
4.5.3.4 Second plus Third Factor Hedging 92
4.5.4 Summary of Section 4.5
V
5. Summary 94
5.1 Chapter 1: Introduction 94
5.2 Chapter 2: Theoretical Framework 94
5.3 Chapter 3: Empirical Examination 95
5.4 Chapter 4: Interpretations 96
Appendix Al
A. Elucidating the Principal Component Analysis (PCA) A1
A.I Concept Al
A.2 Geometrical Properties A3
A.3 Selection of Variables A5
A.4 Distribution of Principal Components A5
A.5 Summary of Appendix A. A7
B. Arbitrage A9
B.I An Example for Arbitrage A9
B.2 Investigation of the Appraised Correction Term A(t,T) Al 1
B.2.1 Identical and Constant Volatility for all Times to
Maturity All
B.2.2 Different but Constant Volatilities for Different
Times to Maturity A13
C. Notation A15
C. 1 Capital Latin Letters A15
C.2 Small Latin Letters A16
C.3 Capital Greek Letters A17
C.4 Small Greek Letters A18
D. Abbreviations A19
E. Data A20
F. References A 22
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| indexdate | 2024-07-09T18:04:35Z |
| institution | BVB |
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| physical | V, 96, 23 S. graph. Darst. |
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| spelling | Staub, Renato Verfasser aut Bond risks based on factor volatilities von Renato Staub 1996 V, 96, 23 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier St. Gallen, Univ., Diss., 1996 Obligaties gtt Risicoanalyse gtt Festverzinsliches Wertpapier (DE-588)4121262-9 gnd rswk-swf Risiko (DE-588)4050129-2 gnd rswk-swf (DE-588)4113937-9 Hochschulschrift gnd-content Festverzinsliches Wertpapier (DE-588)4121262-9 s Risiko (DE-588)4050129-2 s DE-604 HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=007463456&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Staub, Renato Bond risks based on factor volatilities Obligaties gtt Risicoanalyse gtt Festverzinsliches Wertpapier (DE-588)4121262-9 gnd Risiko (DE-588)4050129-2 gnd |
| subject_GND | (DE-588)4121262-9 (DE-588)4050129-2 (DE-588)4113937-9 |
| title | Bond risks based on factor volatilities |
| title_auth | Bond risks based on factor volatilities |
| title_exact_search | Bond risks based on factor volatilities |
| title_full | Bond risks based on factor volatilities von Renato Staub |
| title_fullStr | Bond risks based on factor volatilities von Renato Staub |
| title_full_unstemmed | Bond risks based on factor volatilities von Renato Staub |
| title_short | Bond risks based on factor volatilities |
| title_sort | bond risks based on factor volatilities |
| topic | Obligaties gtt Risicoanalyse gtt Festverzinsliches Wertpapier (DE-588)4121262-9 gnd Risiko (DE-588)4050129-2 gnd |
| topic_facet | Obligaties Risicoanalyse Festverzinsliches Wertpapier Risiko Hochschulschrift |
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