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Measuring of bond price sensitivity
[Měření citlivosti ceny dluhopisů]

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  • Jarmila Radová

Abstract

In this article is analyzed duration as a measure of interest risk of bonds. We study significant factors which influence on highness of duration and also price chance of bonds. We discuss different ways to calculate duration and also we try to show its importance to management of bonds portfolio.

Suggested Citation

  • Jarmila Radová, 2007. "Measuring of bond price sensitivity [Měření citlivosti ceny dluhopisů]," Český finanční a účetní časopis, Prague University of Economics and Business, vol. 2007(3), pages 41-55.
    • Handle: RePEc:prg:jnlcfu:v:2007:y:2007:i:3:id:232:p:41-55
    DOI: 10.18267/j.cfuc.232
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    References listed on IDEAS

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    1. Fisher, Lawrence & Weil, Roman L, 1971. "Coping with the Risk of Interest-Rate Fluctuations: Returns to Bondholders from Naive and Optimal Strategies," The Journal of Business, University of Chicago Press, vol. 44(4), pages 408-431, October.
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    More about this item

    Keywords

    Duration; Yield to maturity; Immunization; Durace; Výnosnost do doby splatnosti; Imunizace;
    All these keywords.

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G24 - Financial Economics - - Financial Institutions and Services - - - Investment Banking; Venture Capital; Brokerage

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