03292ntm a22005417i 4500 000167553 CZ-PrVSE 20210619205335.0 m d cr n|||||||||| 210619s2021 xr fsbm 000 0 eng d NEZPRACOVANÝ IMPORT ABA006 cze ABA006 ABA006 rda Havlíková, Marie ISIS:112763 dis Empirické testování citlivosti dluhopisů eng Empirical Bond Sensitivity Testing / Marie Havlíková 2021 ?? stran : digital, PDF soubor Vedoucí práce: Bohumil Stádník Diplomová práce (Ing.)—Vysoká škola ekonomická v Praze. Fakulta financí a účetnictví, 2021 Obsahuje bibliografii Textový (vysokoškolská kvalifikační práce) Rok obhajoby 2021 The ultimate goal of this thesis is to research the empirical bonds’ price sensitivity to changes in one-year US Treasury rate. The incentive to research this field arises from the fact, that Macaulay duration and other conventional measures of bonds’ interest rate risk often assume the parallel shifts of the yield curves, which however rarely occurs and are typically accompanied by changes of slope and curvature of the yield curve. To achieve the aim, a portfolio of plain-vanilla fixed-coupon bonds with rating varying from AAA to B and coupon rate between one and five percent was assumed, covering the period from 2015 to 2019. The relationship between the one-year US Treasury rate and the bonds’ price was examined based on newly derived duration measure, which was then compared with Macaulay duration of the bonds. The results suggest that, Macaulay duration overestimate the interest rate risk of US Treasury bonds across the whole maturity spectrum. Corporate investment-grade bonds show higher sensitivity for shorter tenors (up to six years). For longer tenors the sensitivity appears to be slightly lower compared to Macaulay duration of the bonds. The high-yield bond, on the other hand, show very low or even no sensitivity to changes in one-year US Treasury rate. Způsob přístupu: Internet finanční inženýrství [obor dipl. práce] diplomové práce fd132022 czenas master's theses eczenas Bond Interest rate risk Macaulay duration Duration Credit rating Yield curve Fixed income market Stádník, Bohumil pna2012685552 ths Pýcha, Mikuláš ISIS:94384 opn Vysoká škola ekonomická v Praze. Fakulta financí a účetnictví kn20010709398 dgg https://insis.vse.cz/zp/71382/podrobnosti VŠKP v InSIS https://insis.vse.cz/zp/71382 Hlavní práce https://insis.vse.cz/zp/71382/posudek/vedouci Hodnocení vedoucího https://insis.vse.cz/zp/71382/posudek/oponent/69334 Oponentura https://insis.vse.cz/zp/71382/podrobnosti dc:identifier NEPOSILAT VSKP vse71382 210619 71382