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1、CHAPTERNINEMEASURINGINTEREST-RATERISKFRANKJ.FABOZZI,PH.D.,CFAFrederickFrankAdjunctProfessorofFinanceSchoolofManagementYaleUniversityGERALDW.BUETOW,JR.,PH.D.,CFAPresidentBFRCServices,LLCROBERTR.JOHNSON,PH.D.,CFAExecutiveVicePresidentCFAInstituteThevalueofabondchangesintheop
2、positedirectionofthechangeininterestrates.Alongbondposition’svaluewilldeclineifinterestratesrise,resultinginaloss.Forashortbondposition,alosswillberealizedifinterestratesfall.However,aninvestorwantstoknowmorethansimplywhenapositionwillreal-izealoss.Tocontrolinterest-rateri
3、sk,aninvestormustbeabletoquantifywhatwillresult.Thekeytomeasuringinterest-rateriskistheaccuracyoftheestimateofthevalueofthepositionafteranadverseratechange.Avaluationmodelisusedtodeterminethevalueofapositionafteranadverseratemove.Consequently,ifareliablevaluationmodelisnot
4、used,thereisnowaytoproperlymeasureinterest-rateriskexposure.Therearetwoapproachestomeasuringinterest-raterisk—thefull-valuationapproachandtheduration/convexityapproach.Webeginwithadiscussionofthefull-valuationapproach.Thebalanceofthechapterisdevotedtotheduration/con-vexity
5、approach.Asabackgroundtotheduration/convexityapproach,wediscussPartsofthischapterareadaptedfromseveralchaptersinFrankJ.Fabozzi,Duration,Convexity,andOtherBondRiskMeasures(NewHope,PA:FrankJ.FabozziAssociates,1999)andfromGeraldW.BuetowandRobertR.Johnson,“APrimeronEffectiveDu
6、rationandConvexity,’’inFrankJ.Fabozzi(ed.),ProfessionalPerspectivesonFixedIncomePortfolioManagement,Vol.1(NewHope,PA:FrankJ.FabozziAssociates,2000).183Copyright©2005,2001,1997,1995,1991,1987,1983byTheMcGraw-HillCompanies,Inc.Clickherefortermsofuse.184PART2BasicAnalyticsthe
7、pricevolatilitycharacteristicsofoption-freebondsandbondswithembeddedoptions.Wethenlookathowdurationcanbeusedtoestimateinterest-rateriskanddistinguishbetweenvariousdurationmeasures(effective,modified,andMacaulay).Next,weshowhowameasurereferredtoas“convexity”canbeusedtoimprov
8、ethedurationestimateofthepricevolatilityofabondtoratechanges.Inthenexttothelastsectionwes
