Advanced Search
MyIDEAS: Login to save this paper or follow this series

Kapitalwertmethode bei nicht-flacher Zinsstrukturkurve


Author Info

  • Kohn, Wolfgang
Registered author(s):


    In der einfachen finanzmathematischen Welt herrscht ein konstanter Zinssatz. Wird die Modellwelt hinsichtlich einer nicht flachen Zinsstruktur abgeändert, so sollten die Barwertfaktoren um zwischenzeitliche Zinszahlungen (Zinseszinsen) neutralisiert werden. Die Berechnung der Barwertfaktoren mittels der Duplizierung von Zahlungsströmen (Bootstrapping) führt zu Kapitalwerten, die steigende bzw. fallende Finanzierungskosten der Investition besser im Kapitalwert berücksichtigen. Die Kapitalwerte der Investitionen fallen bzw. steigen gegenüber der herkömmlichen Berechnung und berücksichtigen damit besser die Markterwartungen aus der Zinsstrukturkurve. Die Unternehmensentscheidungen wirken damit stabilisierender auf die konjunkturelle Entwicklung. Ferner wird gezeigt, dass eine Barwertmarge bzw. Rentabilitätsmarge berechnet werden kann, die die Differenz zur gegebenen Zinsstruktur angibt, bei der der Kapitalwert Null wird. Alle Ergebnisse entsprechen dem traditionellen Ansatz, wenn die Zinsstruktur flach ist. -- The simple financial world assumes a constant interest rate over time (flat yield curve). If this restriction is released for a non constant interest rate (non-flat yield curve) the compounded interest should be neutralized for this interest payments. The net present value with neutralized interest payments (bootstraping method) leads towards net present values which takes better increasing and decreasing interest terms structures into account which results in lower or higher net present values. Therefore the investment decisions are more in line with the interest term structure. Further on a net present value margin is introduced, which shows for a given interest term structure the margin when the net present value is zero. It is an extension of the internal return of investment. All calculations are in line with a flat interest term structure.

    Download Info

    If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
    File URL:
    Download Restriction: no

    Bibliographic Info

    Paper provided by ZBW - German National Library of Economics in its series EconStor Preprints with number 83786.

    as in new window
    Date of creation: 14 Oct 2013
    Date of revision:
    Handle: RePEc:zbw:esprep:83786

    Contact details of provider:
    Postal: Düsternbrooker Weg 120, 24105 Kiel / Neuer Jungfernstieg 21, 20354 Hamburg
    Phone: +49 431 8814-1
    Fax: +49 431 8814-520
    Web page:
    More information through EDIRC

    Related research

    Keywords: Kapitalwertmethode; Zinsstrukturkurve; Marktzinsmodell; Finanzmathematik;

    Find related papers by JEL classification:

    This paper has been announced in the following NEP Reports:


    References listed on IDEAS
    Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
    as in new window
    1. Capi?ski,Marek & Kopp,Ekkehard, 2012. "Discrete Models of Financial Markets," Cambridge Books, Cambridge University Press, Cambridge University Press, number 9780521175722.
    2. Capi?ski,Marek & Kopp,Ekkehard, 2012. "Discrete Models of Financial Markets," Cambridge Books, Cambridge University Press, Cambridge University Press, number 9781107002630.
    Full references (including those not matched with items on IDEAS)



    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.


    Access and download statistics


    When requesting a correction, please mention this item's handle: RePEc:zbw:esprep:83786. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (ZBW - German National Library of Economics).

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If references are entirely missing, you can add them using this form.

    If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.