듀레이션을 이용한 채권포트폴리오의 면역전략에 관한 실증적 연구 = An Empirical Study on the Immunization Strategy of Bond Portfolio using Duration

다국어 초록 (Multilingual Abstract)

A bond seems to be a stable investment instrument relative to stocks. Because a bond investors are received periodical interest and insured repayment of principal at maturity. But a bond as investment instrument is exposed to several risks such as systematic risk and unsystematic risk.
That is, a bond has price risk and reinvestment risk when interest rate changes. Two risks have trade-off effect each other. Interest rate risk can be removed from offsetting those two opposite effect.
The principle of immunization was presented as a means of eliminating the risk of bond investment arising from market interest rate changes. It implies that the immunized portfolio, the Macaulay duration is equal to the investment horizon, will realize the promised yield at the horizon date in spite of unexpected market yield changes.
The purpose of this study is to test empirically the immunization strategy as a bond portfolio management for eliminating interest rate risk using duration in the Korean Bonds Markets.
To test the efficiency of an immunization strategy, the first thing to do is to organize sixth kinds of bond portfolio using immunization strategy and maturity strategy. The second is to compare both the realized yield and the standard deviation of the difference between the promised yield and realized yield of each portfolio.
Judging from the results of an empirical study, it may be concluded that the immunization strategy has an efficiency as a bond portfolio management strategy to eliminate the risk arising from the market yield changes and to guarantee the higher yield rather than maturity strategy do.

목차 (Table of Contents)

• Ⅰ. 서 론
• Ⅱ. 채권투자에 관한 이론적 고찰
• 2.1. 채권투자의 위험
• 2.2. 채권평가의 기본모형
• 2.3. 채권가격과 수익률의 관계
• Ⅲ. 듀레이션과 볼록성
• 3.1. 듀레이션의 결정요인
• 3.2. 듀레이션의 특성
• 3.3. 듀레이션의 한계
• 3.4. 볼록성의 개념
• Ⅳ. 듀레이션을 이용한 면역전략
• 4.1. 면역전략의 개념
• 4.2. 면역전략의 적용
• 4.3. 면역전략의 한계
• Ⅴ. 면역전략에 관한 실증적 분석
• 5.1. 가설설정 및 표본선정
• 5.2. 채권포트폴리오의 구성
• 5.3. 채권가격과 실현수익률의 계산
• 5.4. 가설검증 및 실증분석
• Ⅵ. 결 론