Portfolio duration

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  • Topic 11 - Fixed income portfolio optimization. After completing this topic, you should be able to: Manage the interest rate risk of fixed income portfolios; compute portfolio value, income, duration, convexity compute effective duration; optimize liabilities funding (pension) using duration and convexity; optimize fixed income portfolios using duration and convexity.

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  • Essentials of Investments: Chapter 11 - Managing Bond Portfolios presents Bond Pricing Relationships, Rules for Duration, Callable Bonds, Mortgage Backed Securities, Passive Managemen, Bond Index Funds.

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  • Financial markets play a major role in allocating wealth and excess savings to productive ventures in the global economy. This extremely desirable process takes on various forms. Commercial banks solicit depositors’ funds in order to lend them out to businesses that invest in manufacturing and services or to home buyers who finance new construction or redevelopment. Investment banks bring to market offerings of equity and debt from newly formed or expanding corporations.

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  • Interest income is the most important source of revenue for most of the banks. The aim of this paper is to assess the impact of dierent interest rate scenarios on the banks' interest income. As we do not know the interest rate sensitivity of real banks, we construct for each bank a portfolio with a similar composition of its assets and liabilities, called 'tracking bank'. We evaluate the eect of 260 historical interest rate shocks on the tracking banks of German savings banks and cooperative banks.

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  • The maturity decision will reflect your view of the direction of short- term interest rates over the coming weeks or months. You’ll want a longer average maturity or duration when interest rates are falling and a shorter one when they’re rising. A working knowledge of economics will help you sort through the market drivers that determine the direction of interest rates. Once you’ve made the maturity decision, determining the optimal mix among U.S. Treasuries, agencies, commercial paper, CDs, and repos is still in front of you.

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  • One of the core tenets of Scrum is that the duration of the Sprint is never extended – it ends on the assigned date regardless of whether the team has completed the work it committed to. If the team has not completed their Sprint Goal, they have to stand up at the end of the Sprint and acknowledge that they did not meet their commitment. The idea is that this creates a very visible feedback loop, and teams are forced to get better at estimating what they are capable of accomplishing in a given Sprint, and then delivering it more...

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  • As a matter of sound investment practice, FHLBanks should be able to measure the price sensitivity for individual securities and for the entire portfolio. In general, techniques used to measure the risk of individual securities are also appropriate for the entire portfolio. To estimate portfolio sensitivity, FHLBanks generally use, at a minimum, duration. Because of the presence of options in most portfolios, duration may not be an effective risk measure.

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  • Lecture Derivatives - An introduction: Chapter 12 - Futures contracts and portfolio management. The main contents of the chapter consist of the following: The concept of immunization, altering asset allocation with futures.

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  • Chapter 13 DURATION ANALYSIS AND ITS APPLICATIONS. Abstract We discuss duration and its development, placing particular emphasis on various applications. The survey begins by introducing duration and showing how traders and portfolio managers use this measure in speculative and hedging strategies.

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  • The National Institute for Occupational Safety and Health (NIOSH) has requested that the National Academies, through the National Research Council (NRC) and the Institute of Medicine (IOM), conduct a series of reviews of its research portfolio. The charge is discussed in detail in a subsequent section, but in general it is to evaluate the relevance and impact of a NIOSH research program and to provide recommendations for future research. This report contains a review and evaluation of the NIOSH Traumatic Injury (TI) Research Program.

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  • A security stress test involves evaluating the price sensitivity of a security, or a portfolio, over a number of different interest rate changes. To identify and measure portfolio risk, maintain duration of equity limits, and adhere to sound investment practices, FHLBanks are required to estimate the value of their investment portfolios for different parallel interest rate changes. However, since parallel shifts rarely occur, FHLBanks should, in general, also measure portfolio value changes for non-parallel shifts, such as yield curve steepening and flattening scenarios.

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