1. Portfolio models for fixed income securities

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

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

4. 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

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

6. 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

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

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

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

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

11. 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

12. 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

13. Financial Optimization and Risk Management Professor Alexei A. Gaivoronski Faktorimmunisering

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

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

16. Financial Optimization and Risk Management Professor Alexei A. Gaivoronski Statsobligasjoner

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

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

19. Financial Optimization and Risk Management Professor Alexei A. Gaivoronski Selskapsobligasjoner

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

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

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

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

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

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

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

27. 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