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Measuring of bond price sensitivity

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  • Jarmila Radová
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    Abstract

    In this article is analyzed duration as a measure of interest risk of bonds. We study significant factors which influence on highness of duration and also price chance of bonds. We discuss different ways to calculate duration and also we try to show its importance to management of bonds portfolio.

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    Bibliographic Info

    Article provided by University of Economics, Prague in its journal Český finanční a účetní časopis.

    Volume (Year): 2007 (2007)
    Issue (Month): 3 ()
    Pages: 41-55

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    Handle: RePEc:prg:jnlcfu:v:2007:y:2007:i:3:id:232:p:41-55

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    Related research

    Keywords: Imunizace; Yield to maturity; Immunization; Durace; Výnosnost do doby splatnosti; Imunizace;

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    1. Fisher, Lawrence & Weil, Roman L, 1971. "Coping with the Risk of Interest-Rate Fluctuations: Returns to Bondholders from Naive and Optimal Strategies," The Journal of Business, University of Chicago Press, vol. 44(4), pages 408-31, October.
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