dc.rights.license | Kūrybinių bendrijų licencija / Creative Commons licence | en_US |
dc.contributor.author | Stádník, Bohumil | |
dc.date.accessioned | 2024-07-11T07:31:47Z | |
dc.date.available | 2024-07-11T07:31:47Z | |
dc.date.issued | 2022 | |
dc.date.submitted | 2022-03-07 | |
dc.identifier.isbn | 9786094762888 | en_US |
dc.identifier.issn | 2029-4441 | en_US |
dc.identifier.uri | https://etalpykla.vilniustech.lt/handle/123456789/154627 | |
dc.description.abstract | The value of Macaulay duration, probably the most widely used quantification method for measuring interest rate sensitivity of bonds, could roughly be financially interpreted as a percentage change of the bond price if the parallel shift of the interest rate equals 1 percentage point along the entire zero-coupon curve and the initial bond price is equal to 100%. T he main problem of its practical application lies in the fact that parallel curve shift is a very rare case, and we are more often concerned with predicting short-term rate shifts and considering their consequences for the rest of the yield curve and thus also for bonds with longer maturities. Therefore, it is useful to find a certain value that represents a quantification of the impact of short rate shifts on bond prices with respect to the parameters of bonds. So, the main contribution of this financial engineering research is to design a measure that can be used in the same way as Macaulay duration, but as a response to the change of the short interest rate, for example: in the equation for changing ΔP of a bond, in the equation of the volatility ratio of two bonds, or in the equation for bond portfolio sensitivity. Such a measure is still lacking in finance. We refer to this measure as the “short rate-shift duration”. Since the effect of the short rate shift on the entire yield curve, and thus especially on the price of long-term bonds, is very difficult to predict analytically, we use empirical data to calculate the duration value of the short-term shift and also to calculate its values for the USD and EUR interest markets. | en_US |
dc.format.extent | 10 p. | en_US |
dc.format.medium | Tekstas / Text | en_US |
dc.language.iso | en | en_US |
dc.relation.uri | https://etalpykla.vilniustech.lt/handle/123456789/154478 | en_US |
dc.rights | Attribution 4.0 International | en_US |
dc.rights.uri | http://creativecommons.org/licenses/by/4.0/ | en_US |
dc.source.uri | https://bm.vgtu.lt/index.php/verslas/2022/paper/view/762 | en_US |
dc.subject | Short rate shift duration | en_US |
dc.subject | Macaulay duration | en_US |
dc.subject | interest rate sensitivity | en_US |
dc.subject | zero-coupon yield curve | en_US |
dc.title | Improving the quantification of interest rate risk | en_US |
dc.type | Konferencijos publikacija / Conference paper | en_US |
dcterms.accessRights | Laisvai prieinamas / Openly available | en_US |
dcterms.accrualMethod | Rankinis pateikimas / Manual submission | en_US |
dcterms.alternative | Finance and investments: new challenges and opportunities | en_US |
dcterms.dateAccepted | 2022-04-07 | |
dcterms.issued | 2022-05-13 | |
dcterms.license | CC BY | en_US |
dcterms.references | 31 | en_US |
dc.description.version | Taip / Yes | en_US |
dc.contributor.institution | Prague University of Economics and Business | en_US |
dcterms.sourcetitle | 12th International Scientific Conference “Business and Management 2022” | en_US |
dc.identifier.eisbn | 9786094762895 | en_US |
dc.identifier.eissn | 2029-929X | en_US |
dc.publisher.name | Vilnius Gediminas Technical University | en_US |
dc.publisher.name | Vilniaus Gedimino technikos universitetas | en_US |
dc.publisher.country | Lithuania | en_US |
dc.publisher.country | Lietuva | en_US |
dc.publisher.city | Vilnius | en_US |
dc.description.grantnumber | IP 100040 | en_US |
dc.identifier.doi | https://doi.org/10.3846/bm.2022.762 | en_US |