Portfolio models for fixed income securities

Financial Optimization and Risk Management Professor Alexei A. Gaivoronski Agenda Portfolio dedication Modell for porteføljeimmunisering Modeller for faktorimmunisering  Statsobligasjoner  Selskapsobligasjoner Oppsummering

Financial Optimization and Risk Management Professor Alexei A. Gaivoronski Risk management for fixed income securities Risk associated with changes in interest rates

Financial Optimization and Risk Management Professor Alexei A. Gaivoronski Risk management for fixed income securities, cont. Price of a bond which makes predetermined risk free payments

Financial Optimization and Risk Management Professor Alexei A. Gaivoronski Risk management for fixed income securities, cont. Yield to maturity

Financial Optimization and Risk Management Professor Alexei A. Gaivoronski Risk management for fixed income securities, cont. Risk measure: sensitivity of price with respect to term stucture

Financial Optimization and Risk Management Professor Alexei A. Gaivoronski Risk management for fixed income securities, cont. Approximation of price/yield curve

Financial Optimization and Risk Management Professor Alexei A. Gaivoronski Risk management for fixed income securities, cont. Different concepts of duration

Financial Optimization and Risk Management Professor Alexei A. Gaivoronski Risk management for fixed income securities, cont. Different concepts of duration, cont.

Financial Optimization and Risk Management Professor Alexei A. Gaivoronski Risk management for fixed income securities, cont. Convexity: quadratic approximation

Financial Optimization and Risk Management Professor Alexei A. Gaivoronski Risk management for fixed income securities, cont. Factor analysis of the term structure  Small parallel shifts are not what happen in real markets

Financial Optimization and Risk Management Professor Alexei A. Gaivoronski Risk management for fixed income securities, cont. Factor models, cont. Estimate factors Keep only a few first ones

Financial Optimization and Risk Management Professor Alexei A. Gaivoronski Faktorimmunisering

Financial Optimization and Risk Management Professor Alexei A. Gaivoronski Faktorimmunisering (2)

Financial Optimization and Risk Management Professor Alexei A. Gaivoronski Faktorimmunisering (3)

Financial Optimization and Risk Management Professor Alexei A. Gaivoronski Statsobligasjoner

Financial Optimization and Risk Management Professor Alexei A. Gaivoronski Statsobligasjoner (2)

Financial Optimization and Risk Management Professor Alexei A. Gaivoronski Statsobligasjoner (3)

Financial Optimization and Risk Management Professor Alexei A. Gaivoronski Selskapsobligasjoner

Financial Optimization and Risk Management Professor Alexei A. Gaivoronski Selskapsobligasjoner (2)

Financial Optimization and Risk Management Professor Alexei A. Gaivoronski Selskapsobligasjoner (3)

Financial Optimization and Risk Management Professor Alexei A. Gaivoronski Selskapsobligasjoner (4)

Financial Optimization and Risk Management Professor Alexei A. Gaivoronski Selskapsobligasjoner (5)

Financial Optimization and Risk Management Professor Alexei A. Gaivoronski Selskapsobligasjoner (6)

Financial Optimization and Risk Management Professor Alexei A. Gaivoronski Selskapsobligasjoner (7)

Financial Optimization and Risk Management Professor Alexei A. Gaivoronski Selskapsobligasjoner (8)

Financial Optimization and Risk Management Professor Alexei A. Gaivoronski Oppsummering/konklusjon ”Matching” av kontantstrømmer Modell for porteføljeimmunisering Modeller for faktorimmunisering for stats- og selskapsobligasjoner Nyttige for problemer med (tilnærmet) kjente kontantstrømmer