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Zinsderivate: Modelle Und Bewertung

Zinsderivate: Modelle Und Bewertung

          
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About the Book

Die zentrale Motivation fur dieses Buch ist die Tatsache, dass Zinsrisiko eine der wichtigsten Risikoquellen fur Finanzinstitute, aber auch fur andere Unt- nehmen darstellt. Steigende Zinsen konnen die Kosten der Fremdfinanzierung so stark wachsen lassen, dass u. U. sogar die Existenz eines Unternehmens gefahrdet ist. Eine Festgeldanlage erbringt in Zeiten fallender Zinsen weniger Ertrag als geplant und beeinflusst das Ergebnis eines Unternehmens negativ, wahrend Portfolios aus festverzinslichen Anleihen bei einem Zinsanstieg an Wert verlieren. Ein Portfoliomanager sollte daher ein genuines Interesse an Instrumenten zur Steuerung des Zinsanderungsrisikos haben, und Zinsderi- te bieten hierfur vielfaltige Moglichkeiten. Trotz der mittlerweile umfangreichen Literatur zum Thema der Bew- tung von Aktien-, Index- und Wahrungsderivaten gibt es unserer Ansicht nach bisher kaum Bucher, die dem Leser sowohl die allgemeinen technischen Grundlagen der Derivatebewertung als auch den Inhalt der aktuellen Modelle zur Bewertung von Zinsderivaten vermitteln. Zinssensitive Produkte stellen immer noch in einem hohen Mafie eine, eigene Welt" mit vielen Besond- heiten und Unterschieden im Vergleich zu Aktien, Indizes oder Wahrungen dar. Als einfachstes Beispiel sei hier die begrenzte Restlaufzeit von Anleihen mit (im Falle von Staatsanleihen in heimischer Wahrung) garantierter f- ter Ruckzahlung genannt. Ein sinnvolles Zinsmodell muss in der Lage sein, eine im Zeitablauf abnehmende Unsicherheit uber die Kursentwicklung der Anleihe im Zeitablauf abzubilden. Bei Aktien ist dieses Problem aufgrund der okonomischen Charakteristika einer prinzipiell unendlichen Laufzeit mit unsicherem Ruckzahlungswert nicht gegeben. Diese Tatsache schliei3t eine e- fache ubertragung des Modells von Black und Scholes auf die Bewertung von Zinsderivaten aus.


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Product Details
  • ISBN-13: 9783540212287
  • Publisher: Springer
  • Publisher Imprint: Springer
  • Edition: 2004 ed.
  • Language: German
  • Returnable: Y
  • Spine Width: 11 mm
  • Weight: 308 gr
  • ISBN-10: 3540212280
  • Publisher Date: 26 Apr 2004
  • Binding: Paperback
  • Height: 234 mm
  • No of Pages: 199
  • Series Title: German
  • Sub Title: Modelle Und Bewertung
  • Width: 156 mm


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