Portfolio models for fixed income securities

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Portfolio models for fixed income securities
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Agenda

• Portfolio dedication
• Modell for porteføljeimmunisering
• Modeller for faktorimmunisering
• Statsobligasjoner
• Selskapsobligasjoner
• Oppsummering

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Risk management for fixed income securities

• Risk associated with changes in interest rates

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Risk management for fixed income securities, cont.

• Price of a bond which makes predetermined risk
  free payments

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Risk management for fixed income securities, cont.

• Yield to maturity

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Risk management for fixed income securities, cont.

• Risk measure sensitivity of price with respect
  to term stucture

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Risk management for fixed income securities, cont.

• Approximation of price/yield curve

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Risk management for fixed income securities, cont.

• Different concepts of duration

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Risk management for fixed income securities, cont.

• Different concepts of duration, cont.

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Risk management for fixed income securities, cont.

• Convexity quadratic approximation

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Risk management for fixed income securities, cont.

• Factor analysis of the term structure
• Small parallel shifts are not what happen in real
  markets

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Risk management for fixed income securities, cont.

• Factor models, cont.
• Estimate factors
• Keep only a few first ones

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Faktorimmunisering
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Faktorimmunisering (2)
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Faktorimmunisering (3)
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Statsobligasjoner
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Statsobligasjoner (2)
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Statsobligasjoner (3)
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Selskapsobligasjoner
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Selskapsobligasjoner (2)
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Selskapsobligasjoner (3)
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Selskapsobligasjoner (4)
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Selskapsobligasjoner (5)
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Selskapsobligasjoner (6)
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Selskapsobligasjoner (7)
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Selskapsobligasjoner (8)
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Oppsummering/konklusjon

• Matching av kontantstrømmer
• Modell for porteføljeimmunisering
• Modeller for faktorimmunisering for stats- og
  selskapsobligasjoner
• Nyttige for problemer med (tilnærmet) kjente
  kontantstrømmer