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Statistische Analyse des Zinsprozeßrisikos von Anleihen und zinsderivativen Wertpapieren
Freisleben, Bernd | Ripper, Klaus
Credit and Capital Markets – Kredit und Kapital, Vol. 31 (1998), Iss. 2 : pp. 245–272
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Bernd Freisleben, Siegen und Frankfurt/M.
Klaus Ripper, Siegen und Frankfurt/M.
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Abstract
Statistical Analysis of the Interest Process Risk and of Interest-Based Derivative Securities
This contribution analyses the interest process risk pertaining to fixed-interestbearing loans and to interest-based derivative securities. On the basis of an analysis of main components, it shows for the German capital market that the risk component involved in portfolios of fixed-interest-bearing securities can be traced back to three major factors. The results of the analysis of main-components are related to ordinary risk indicators. It turns out that the Fisher-Weil-duration suffices as risk indicator for most portfolios of fixed-interest-bearing securities. Only where portfolios consist of interest-based products for the most part is the use of the more costly key-rate-duration justified.