Český finanční a účetní časopis 2007(3):41-55 | DOI: 10.18267/j.cfuc.232

Measuring of bond price sensitivity

Jarmila Radová
Doc. RNDr. Jarmila Radová, Ph.D. - docentka, vedoucí katedry; Katedra bankovnictví a pojišťovnictví, Fakulta financí a účetnictví, Vysoká škola ekonomická v Praze, nám. W. Churchilla 4, 130 67 Praha 3; <radova@vse.cz>.

In this article is analyzed duration as a measure of interest risk of bonds. We study significant factors which influence on highness of duration and also price chance of bonds. We discuss different ways to calculate duration and also we try to show its importance to management of bonds portfolio.

Keywords: Duration; Yield to maturity; Immunization.
JEL classification: G12, G24

Published: October 1, 2007  Show citation

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Radová, J. (2007). Measuring of bond price sensitivity. Czech Financial and Accounting Journal, 2007(3), 41-55. doi: 10.18267/j.cfuc.232
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    References

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