提升債券組合凸性之研究：考慮時間經過效果與殖利率非平行移動
Other Title
On Improving Bond Portfolio’s Convexity: Consider Time Passage Effect
and Non-Parallel Shift of Yield Curve
and Non-Parallel Shift of Yield Curve
Date Issued
2004
Date
2004
Author(s)
DOI
922416H002029
Abstract
Duration and Convexity have long been
used as risk indices which measure the
sensitivity of bond price change due to the
change of bond’s yield to maturity.
Duration represents the first order risk index
which is linear whereas convexity is the
second order risk index which is non-linear.
Since convexity is the second order risk
index, the convexity has always the positive
impact on bond price change in spite of the
up or down change of bond’s yield to
maturity. Due to this positive impact of
convexity on bond’s price, convexity is worth
picking up and there do exist a lot of
researches doing how to pick up bond’s
convexity.
This project is to try to pick up the bond
portfolio’s convexity under the assumptions
that time is fixed and yield curve is parallely
shifted at the first stage. Due to the result
done by Christensen and Sorensen(1994),
however, picking up bond’s convexity is at
the cost of losing time value because of the
time passage effect of interest bearing bond.
It implies that the time passage effect cannot
be ignored when picking up bond’s
convexity. In other words, this project has
to study how to pick up bond portfolio’s
convexity without losing time value and
conduct this research under the environment
that time is changing and yield curve is
parallely shifted.
Duration and Convexity are static risk indices which means they must be measured
under the assumption that yield curve is
parallely shifted. Since yield curve is
perhaps not parallely shifted, however, there
is a need to explore how to picking up
bond’s convexity with the assumption that
yield curve is not parallely shifted.
Therefore, this project lastly constructs both
static model and dynamic model to pick up
bond portfolio’s convexity by taking both
time passage effect and non-parallel shift of
yield curve into account.
Subjects
Duration
Convexity
Yield to Maturity
Bond Portfolio
Time Passage Effect
Yield Curve Parallel Shift
Static Model
Dynamic Model
Publisher
臺北市：國立臺灣大學財務金融學系暨研究所
Type
report
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