HullRMFI3rdEdCh08risk management and financial institutions PPT幻灯片课件.pptVIP

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HullRMFI3rdEdCh08risk management and financial institutions PPT幻灯片课件.ppt

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HullRMFI3rdEdCh08risk management and financial institutions PPT幻灯片课件.ppt

Example (Table 8.5, page 173) Risk Management and Financial Institutions, 3e, Chapter 8, Copyright ? John C. Hull 2012 * Maturity yrs 1 2 3 4 5 7 10 Total Partial duration 0.2 0.6 0.9 1.6 2.0 ?2.1 ?3.0 0.2 Partial Durations Can Be Used to Investigate the Impact of Any Yield Curve Change Any yield curve change can be defined in terms of changes to individual points on the yield curve For example, to define a rotation we could change the 1-, 2-, 3-, 4-, 5-, 7, and 10-year maturities by ?3e, ? 2e, ? e, 0, e, 3e, 6e Risk Management and Financial Institutions, 3e, Chapter 8, Copyright ? John C. Hull 2012 * Combining Partial Durations to Create Rotation in the Yield Curve (Figure 8.5, page 174) Risk Management and Financial Institutions, 3e, Chapter 8, Copyright ? John C. Hull 2012 * Impact of Rotation The impact of the rotation on the proportional change in the value of the portfolio in the example is Risk Management and Financial Institutions, 3e, Chapter 8, Copyright ? John C. Hull 2012 * Alternative approach (Figure 8.6, page 175)Bucket the yield curve and investigate the effect of a small change to each bucket Risk Management and Financial Institutions, 3e, Chapter 8, Copyright ? John C. Hull 2012 * Principal Components Analysis Attempts to identify standard shifts (or factors) for the yield curve so that most of the movements that are observed in practice are combinations of the standard shifts Risk Management and Financial Institutions, 3e, Chapter 8, Copyright ? John C. Hull 2012 * Results (Tables 8.7 and 8.8 on page 176) The first factor is a roughly parallel shift (90.9% of variance explained) The second factor is a twist 6.8% of variance explained) The third factor is a bowing (1.3% of variance explained) Risk Management and Financial Institutions, 3e, Chapter 8, Copyright ? John C. Hull 2012 * The Three Factors (Figure 8.7 page 178) Risk Management and Financial Institutions, 3e, Chapter 8, Copyright ? John C. Hull 2012 * Alternatives for