September 2014
Intermediate to advanced
368 pages
12h 12m
German
Content preview from Zinsen, Anleihen, Kredite, 5th Edition
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9 Konvexität
Themen: 1. Das Ziel, sich gegen Zinsänderungen zu immunisieren, verlangt ein Duration-Matching. 2. Sodann wird eine Genauigkeitsverbesserung durch die Konvexität besprochen. Sie lehrt, dass die Stärke der (konkaven) Krümmung einer Zinskurve die Volatilität der Zinssätze ausdrückt.
9.1 Duration-Matching
Lernziel: Wie eine Bank oder eine Versicherung sich gegen Zinsrisiken schützen kann.
9.1.1 Die Duration eines Portfolios
Wir betrachten ein Portfolio P aus Anleihen. Das Portfolio kann auch allgemeine Zinsinstrumente enthalten, wie zum Beispiel die noch zu besprechenden Swaps (Kapitel 10). Doch zur Vereinfachung sprechen wir von Anleihen. Angenommen, das Portfolio enthalte zwei Anleihen, A und B. Der augenblickliche Wert der Anleihe ...
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O’Reilly covers everything we've got, with content to help us build a world-class technology community, upgrade the capabilities and competencies of our teams, and improve overall team performance as well as their engagement.Julian F.
I wanted to learn C and C++, but it didn't click for me until I picked up an O'Reilly book. When I went on the O’Reilly platform, I was astonished to find all the books there, plus live events and sandboxes so you could play around with the technology.Addison B.
I’ve been on the O’Reilly platform for more than eight years. I use a couple of learning platforms, but I'm on O'Reilly more than anybody else. When you're there, you start learning. I'm never disappointed.Amir M.
I'm always learning. So when I got on to O'Reilly, I was like a kid in a candy store. There are playlists. There are answers. There's on-demand training. It's worth its weight in gold, in terms of what it allows me to do.