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Ochrona portfela obligacji przed ryzykiem stopy procentowej
Protection of bond portfolios against interest rate risk
Bank i Kredyt, 2004, nr 8, s. 39-45, bibliogr. 17 poz.
Portfel papierów wartościowych, Obligacje, Stopa procentowa, Ryzyko stopy procentowej, Zarządzanie ryzykiem, Strategia zarządzania
Portfolio securities, Bonds, Interest rate, Interest rate risk, Risk management, Management strategy
W artykule omówiono takie zagadnienia jak: determinanty poziomu stóp procentowych, pasywne zarządzanie ryzykiem portfeli zawierających obligacje, wypukłość obligacji a jej dochodowość, aktywne strategie zarządzania ryzykiem stopy procentowej dla portfela obligacji.

The level of interest rates in an economy depends on various factors, such as the supply of savings, the demand for funds and the activities of the central bank. This means that any changes in those values contribute to the emergence of an interest rate risk, which concerns a portfolio sensitive to changes in the general level of interest rates. This is exemplified in a bonds portfolio. The volatility of interest rates has a great influence on the return on investment from this type of instruments, and it also has an importance for obtaining and granting loans as it significantly impacts on their cost. That is why a correct forecast of future values of this variable is indispensable for rational investment decisions. An accurate forecast of the levels interest rate formation in an economy is also crucial for proper protection against the risk of interest rate volatility. Depending on projected trends in interest rate movements as well as their extent, various types of protection strategies may be implemented which are adjusted to specific needs, i.e. to the objective and duration of the investment,. The author analyses passive and active methods of protection against interest rate volatility. She pays attention to, among others, the influence of the convexity of bonds on the yield of this security. Modern instruments, which may be used to minimise the risk of changes in the value of bond portfolios, e.g. various types of swaps, are also discussed. The examples presented demonstrate that passive management of the bond portfolio risk demands constant monitoring of the market situation, in order to adjust the duration to the period of time remaining to the end of the investment. Constant reconstruction of the portfolio carries with it costs, which argues for seeking more effective strategies. According to the author, such strategies involve the application of derivatives. (original abstract)
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