The effect of yield curve shape and level on bond immunisation effectiveness

Autor:	Brendan Prettejohn, Gary van Vuuren
Rok vydání:	2016
Předmět:	Economics and Econometrics Financial economics media_common.quotation_subject Bond Interest rate Bond valuation Accounting Yield elasticity of bond value Statistics Economics Yield curve Finance media_common Sign (mathematics)
Zdroj:	Investment Analysts Journal. 45:177-193
ISSN:	2077-0227 1029-3523
DOI:	10.1080/10293523.2016.1165901
Popis:	The effect of different-shaped yield curves on the effectiveness of bond immunisation was investigated. Bonds were priced using historical yield curves of various shapes and simulated interest rate shocks applied. The resulting end-values of these bonds were calculated and compared at relevant duration dates using symmetrical (positive and negative) shocks. Yield curve shape and position were found to be important factors for immunisation effectiveness and results also demonstrated that – all else held constant – immunisation effects are asymmetrical for shocks of different sign. Changes in bond value are consistently less pronounced for positive shocks, regardless of yield curve shape or level.
Databáze:	OpenAIRE
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