Diplomová práce / info:eu-repo/semantics/masterThesis
Osoba oponující práci:
This thesis aims to specify all the necessities regarding bond investments, especially to highlight each individual risk connected with specific bond types and formulation of bond price sensitivity to the changes of yield curve levels known as duration and convexity. These measures can be applied during bond portfolio creation process so that immune portfolio regarding yield change sensitivity can be created. The thesis also tries to define all the essential characteristics that bond portfolio investors face when deciding about bond portfolio structure and the duration of the investment horizon. The thesis consists of two levels. Theoretical part aims to define all the essentials that bonds carry and risks that bond portfolio investors face, the types of bond portfolio yield measures, duration and convexity terms which are derived from Taylor series and represent approximative measures used for bond price changes estimation when changes of the yield curve occur and can be also used during bond portfolio immunization process. Theoretical concept of immunization is then put into the practice when real-world historical data accessible from Bloomberg database together with help of MS Excel software are used in order to create immunized bond portfolio immune from the changes of the yield curve.
bond; risk; bond portfolio; duration; convexity; yield; yield curve; YTM; Taylor series; immunization