Modele wyceny normatywnej i rynkowej obligacji o stopie korygowanej z marżą

• Autorzy: Joanna Utkin

Warianty tytułu

Models of Normative Assessment and Market Obligation with a Corrected Rate and Margin

• Języki publikacji: PL

Abstrakty

EN

This study concerns the assessment of bonds with variable percentage, determined by means of a certain market rate prior to the beginning of a respective interest period. Upon the basis of models of the assessment of bonds with a corrected rate without a margin, known from literature, the author completes models of the assessment of bonds with a corrected rate (FRN), and with a multiplicative and additive margin. With this purpose in mind, she conducts a variety of assessments: normative and market. The former provides the relation, which should occur between values of assorted series of a given bond. The market assessment, which consists of discounting income flows with the assistance of profitability rates of zero-coupon bonds, leads to the presentation of the value of the obligation with a corrected rate and margin as the value of two revenue currents, one of which is expressed by the value of bonds without a margin. If the examined marked does not contain zero-coupon bonds, then the discounting coefficients are obtained from the curve of spot profitability corresponding to the date of the bond assessment. The Macaulay period has been defined for the obtained bonds. (original abstract)

Słowa kluczowe

PL

Wycena obligacji; Modele ekonometryczne

EN

Valuation of bonds; Econometric models

• Czasopismo: Przegląd Statystyczny
• Rocznik: 1997
• Tom: 44
• Numer: z. 4
• Strony: 489--497

Twórcy

autor

Joanna Utkin

• Szkoła Główna Handlowa w Warszawie

Bibliografia

• [1] Jackowicz K., Duration Macaulaya-Hicksa dla wybranych typów obligacji. Bank i Kredyt, kwiecień 1995, s. 42-49.
• [2] Mohseni A., Plumyene J.M., La duration et le risque de taux. PUF, Paris 1991.
• [3] Solnik B., Risque de taux d'une obligation a taux variable. La Revue Banque 485 (1988), s. 782-797.
• [4] Utkin J., Wycena obligacji trzyletniej o oprocentowaniu zmiennym. Przegląd Statystyczny, 2 (1995).
• [5] Utkin J., Obligacja dziesięcioletnia - rynkowe wyceny i prognozy cen przetargowych. Przegląd Statystyczny, 3-4 (1996).