Upravljanje s tveganji pri obvezniških portfeljih : delo diplomskega seminarja

Slijepčević, Tatijana (author), Kokol-Bukovšek, Damjana (mentor), Toman, Aleš (co-mentor)

V delu diplomskega seminarja sem se osredotočila na upravljanje s tveganji pri obvezniških portfeljih državnih obveznic s fiksnimi kuponi. Te naj bi bile kreditno netvegane in najbolj likvidne, zato upravljavca portfelja najbolj skrbi obrestno tveganje in z njim povezano tveganje reinvestiranja. Predstavljeni so štirje modeli, s katerimi lahko vlagatelji zmanjšajo svojo izpostavljenost obrestnemu tveganju: model trajanja, model trajanja s konveksnostjo, model kvadratov in model absolutnih vrednosti. Model trajanja imunizira portfelj obveznic pred infinitezimalnimi in vzporednimi spremembami na časovni strukturi obrestnih mer, če se trajanje portfelja ujema z naložbenim obdobjem vlagatelja in je sedanja vrednost njegovih prihodnjih finančnih obveznosti enaka sedanji vrednosti portfelja. Model trajanja s konveksnostjo še bolje imunizira portfelj obveznic pred vzporednimi spremembami, če poleg tega velja še, da je konveksnost portfelja enaka konveksnosti obveznosti. Model kvadratov in model absolutnih vrednosti imunizirata portfelj pred poljubnimi spremembami. Temeljita na minimizaciji mere kvadratov oziroma mere absolutnih vrednosti. Razlika med njima je ta, da model kvadratov v izračunu poleg mere kvadratov upošteva še trajanje portfelja, medtem ko model absolutnih vrednosti potrebuje zgolj mero absolutnih vrednosti.

• Language: Slovenian
• Keywords: finančna matematika, državne obveznice, imunizacija, trajanje, konveksnost, mera kvadratov, mera absolutnih vrednosti
• Work type: Final seminar paper
• Typology: 2.11 - Undergraduate Thesis
• Organization: FMF - Faculty of Mathematics and Physics
• Place of publishing: Ljubljana
• Publisher: [T. Slijepčević]
• Year: 2018
• Number of pages: 28 str.
• PID: 20.500.12556/RUL-106210
• UDC: 519.8
• COBISS.SI-ID: 18553689
• Publication date in RUL: 12.02.2019

Secondary language

• Language: English
• Title: Risk management of bond portfolios

Abstract

In the diploma thesis, I focus on fixed-coupon government bond portfolio risk management. Government bonds are supposed to be credit risk-free and very liquid, therefore a portfolio manager is mostly concerned about interest rate risk and reinvestment risk. Four models that reduce investor's exposure to the interest rate risk are presented: the duration model, the duration model with convexity, the M-Square model and the M-Absolute model. The duration model immunizes a bond portfolio against infinitesimal and parallel shifts in the time structure of interest rates if portfolio's duration matches investor's investment period and if the present value of portfolio matches the present value of investor's future financial liabilities. The duration model with convexity immunizes bond portfolio against parallel shifts even better if, in addition, the convexity of portfolio is equal to the convexity of liabilities. The M-Square model and the M-Absolute model immunize portfolio against any changes in the time structure of interest rates. They are based on minimization of the M-Square measure and the M-Absolute measure of portfolio respectively. The difference between them is that the M-Square model considers portfolio's duration besides its M-Square measure, whereas the M-Absolute model only considers its M-Absolute measure.

• Keywords: government bonds, immunization, duration, convexity, M-square, M-absolute