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Duration and Convexity of Bonds

Author

Listed:
  • Čerović Slobodan

    (Singidunum University, Department of Tourism and Hospitality, 32 Danijelova Street, Belgrade, Serbia)

  • Pepić Marina

    (National Bank of Serbia 12 Kralja Petra Street, Belgrade, Serbia)

  • Čerović Stanislav

    (Singidunum University, Master’s graduate student 32 Danijelova Street, Belgrade, Serbia)

  • Čerović Nevena

    (University of Belgrade, Faculty of Economics, Master’s student 6 Kamenička Street, Belgrade, Serbia)

Abstract

Veliki uticaj koji promene kamatnih stopa imaju na uspešnost poslovanja, cinjenica da su svi tržišni ucesnici, više ili manje, izloženi kamatnom riziku, kao i velika volatilnost kamatnih stopa poslednjih godina, cine kamatni rizik jednim od najznacajnijih rizika. Kamatni rizik je nemoguce u potpunosti eliminisati, ali ga je poželjno svesti na najmanju mogucu meru. Kako bi se efikasno upravljalo kamatnim rizikom najpre se mora prepoznati i izmeriti izloženost ovoj vrsti rizika. Ovaj rad ima za cilj da ukaže na dve metode merenja kamatnog rizika - na trajanje i konveksnost. Koncept trajanja je dobar pokazatelj promene cene obveznice ali samo za male promene prinosa (kamatnih stopa). U slucaju vecih promena, trajanje daje precenjenu/potcenjenu aproksimaciju promenu cene obveznice, jer odnos cena obveznice prinos nije linearan. Zbog toga se prilikom merenja kamatnog rizika u obzir mora uzeti i konveksnost obveznice. Modifikovano trajanje i konveksnost uzeti zajedno daju najbolju aproksimaciju osetljivosti cene obveznice na promenu kamatnih stopa.

Suggested Citation

  • Čerović Slobodan & Pepić Marina & Čerović Stanislav & Čerović Nevena, 2014. "Duration and Convexity of Bonds," The European Journal of Applied Economics, Sciendo, vol. 11(1), pages 53-66, April.
    • Handle: RePEc:vrs:tejoae:v:11:y:2014:i:1:p:53-66:n:2
    DOI: 10.5937/sjas11-4766
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