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Statistische Analyse des Zinsprozeßrisikos von Anleihen und zinsderivativen Wertpapieren

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Freisleben, B., Ripper, K. Statistische Analyse des Zinsprozeßrisikos von Anleihen und zinsderivativen Wertpapieren. Credit and Capital Markets – Kredit und Kapital, 31(2), 245-272. https://doi.org/10.3790/ccm.31.2.245
Freisleben, Bernd and Ripper, Klaus "Statistische Analyse des Zinsprozeßrisikos von Anleihen und zinsderivativen Wertpapieren" Credit and Capital Markets – Kredit und Kapital 31.2, 1998, 245-272. https://doi.org/10.3790/ccm.31.2.245
Freisleben, Bernd/Ripper, Klaus (1998): Statistische Analyse des Zinsprozeßrisikos von Anleihen und zinsderivativen Wertpapieren, in: Credit and Capital Markets – Kredit und Kapital, vol. 31, iss. 2, 245-272, [online] https://doi.org/10.3790/ccm.31.2.245

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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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Author Details

Bernd Freisleben, Siegen und Frankfurt/M.

Klaus Ripper, Siegen und Frankfurt/M.

References

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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.