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Anlagestrategien in Festverzinslichen Wertpapieren

Anlagestrategien in Festverzinslichen Wertpapieren

          
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About the Book

Die nationalen und intemationalen Kapitalmarkte sind in den letzten zwei Jahr- zehnten von einer deutlich erhohten Zinsvolatilitiit betroffen. Ais Reaktion auf die damit verbundene Zunahme der Zinsanderungsrisiken sind zwei Entwick- lungen zu beobachten. Zum einen wurden an den Primar-und Sekundarmarkten fUr festverzinsliche Wertpapiere neuartige Instrumente zur Begrenzung der Zinsanderungsrisiken fUr GIaubiger und/oder Schuldner sowie zur Neuvertei- lung dieser Risiken eingefUhrt. Zum anderen wurden neue Anlagestrategien zur Steuerung der mit Anleiheportefeuilles verbundenen Zinsanderungsrisiken entwickelt. Die Arbeit von Christian Holzer ist dem zweiten Bereich gewidmet. Auf Basis einer am Lehrstuhl Investition und Finanzierung der Universitiit Dortmund aufgebauten Datenbank mit Kurs-und Stammdaten der Anleihen von Bund, Bahn und Post untersucht der Autor fUr den Zeitraum von 1979 bis 1986 eine Viel- zahl - aktiver und semiaktiver Anlagestrategien sowie - die bedingte Immunisierung und Portefeuilleversicherung als Reprasentanten von Absicherungsstrategien. Die Untersuchung von Christian Holzer stellt die erste empirische Studie dar, in der fUr den deutschen Rentenmarkt die wichtigsten Strategien zur Ertrags-Risiko- steuerung von Anleiheportefeuilles einer umfassenden empirischen Analyse unterzogen werden. Wenn auch die Ergebnisse von Simulationsstudien nur fUr die der Untersuchung zugrundeliegenden Simulationsumgebung GUltigkeit besitzen, so sind doch einige der Resultate aufgrund ihrer Stabilitiit gegenUber Variationen der Datenkonstellationen verallgemeinerbar. Diese verallgemeine- rungsfahigen Ergebnisse sind von Bedeutung fUr die Beurteilung der Steuerungs- moglichkeiten der mit - den Eigenbestiinden von Kreditinstituten, - den Portefeuilles von Rentenfonds, - dem Deckungsstock von Versicherungen und - den festverzinslichen Anlagen von Industrieuntemehmen verbundenen Zinsanderungsrisiken.


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Product Details
  • ISBN-13: 9783409147484
  • Publisher: Gabler Verlag
  • Publisher Imprint: Gabler Verlag
  • Edition: Softcover Reprint of the Origi ed.
  • Language: German
  • Returnable: N
  • Spine Width: 20 mm
  • Width: 170 mm
  • ISBN-10: 3409147489
  • Publisher Date: 01 Jan 1990
  • Binding: Paperback
  • Height: 244 mm
  • No of Pages: 342
  • Series Title: German
  • Weight: 599 gr


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