BMGT 445 lecture 4 part 2

BMGT 445 lecture 4 part 2 - BMGT445 Lecture 4 Part 2 Asse...

Info iconThis preview shows pages 1–8. Sign up to view the full content.

View Full Document Right Arrow Icon
Click to edit Master subtitle style 3/1/11 BMGT 445 Professor Ethan Cohen-Cole Lecture 4, Part 2
Background image of page 1

Info iconThis preview has intentionally blurred sections. Sign up to view the full version.

View Full Document Right Arrow Icon
3/1/11 Examples – all zero coupons Asse ts Liabiliti es $1mm; 1 yr $1mm; 3yr $1mm; overnight $1mm; 3yr Is the duration of Equity positive or negative? What type of yield curve change do we want?
Background image of page 2
3/1/11 Examples – all zero coupons Asse ts Liabiliti es $1mm; overnight $1mm; 2 yr $1mm; 3 yr $1mm; 4 yr $1mm; 5 yr $1mm; 10 yr Is the duration of Equity positive or negative? What type of yield curve change do we want? $5mm; overnight $1mm; 2 yr $1mm; 3 yr $1mm; 4 yr $1mm; 5 yr $5mm; 10 yr
Background image of page 3

Info iconThis preview has intentionally blurred sections. Sign up to view the full version.

View Full Document Right Arrow Icon
3/1/11 IRR 1 Fed Policy Repricing Maturity Duration If MaturityA - MaturityL = 0, is the FI immunized? Asse ts Liabiliti es $1mm zero 1 yr maturity $1mm CD Pays: $999,999 in 1 week $1 at 1 year
Background image of page 4
3/1/11 IRR 1 Fed Policy Repricing Maturity Duration Duration The average life of an asset or liability The weighted- average time to maturity
Background image of page 5

Info iconThis preview has intentionally blurred sections. Sign up to view the full version.

View Full Document Right Arrow Icon
3/1/11 Term Structure of Interest Rates Time to Maturity Time to Maturity Time to Maturity Time to Maturity YTM YTM IRR 1 Fed Policy Repricing Maturity Duration
Background image of page 6
3/1/11 IRR 1 Fed Policy
Background image of page 7

Info iconThis preview has intentionally blurred sections. Sign up to view the full version.

View Full Document Right Arrow Icon
Image of page 8
This is the end of the preview. Sign up to access the rest of the document.

{[ snackBarMessage ]}

Page1 / 25

BMGT 445 lecture 4 part 2 - BMGT445 Lecture 4 Part 2 Asse...

This preview shows document pages 1 - 8. Sign up to view the full document.

View Full Document Right Arrow Icon
Ask a homework question - tutors are online