서지주요정보
한국 채권 시장에서 채권관리 전략들에 대한 효율성 검정 = The efficiency test of bond portfolio management in korean bond market
서명 / 저자 한국 채권 시장에서 채권관리 전략들에 대한 효율성 검정 = The efficiency test of bond portfolio management in korean bond market / 조희연.
저자명 조희연 ; Cho, He-Youn
발행사항 [서울 : 한국과학기술원, 1988].
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등록번호

4105022

소장위치/청구기호

학술문화관(문화관) 보존서고

MMGS 8832

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초록정보

In recent years, Korean bond market has been developed very rapidly. Because, its realized rate of return is competitive in compared to the amount of risk. But, the bond strategies which are being used in Korean bond market are naive. Therefore, we formulate the bond strategies which can be used in bond market and test these strategies in Korean bond market. In this paper, we first explain the concept of duration which will be the basis of the immunization stategy and introduce several other bond strategies. Second, we apply four important strategies to Korean bond market. We evaluate the strategies in terms of risk side and return side. As far as the risk side is concerned, risk minimized immunization strategy generates return closer to the promised return than the other strategies. The immunization strategy and maturity matching strategy produce similar results. The "go long" strategy produces poor results as expected. On the return side, "go long" strategy outperforms the other strategies which can be attributed to the decrease of interest rate. The duration matching strategy and maturity matching strategy produce relatively poor results. The above analysis indicates that for investors with accurate information about interest rate, it would be desirable to select active strategy. But, it would be desirable to take risk minimized immunization strategy if he has no information or risk averse.

서지기타정보

서지기타정보
청구기호 {MMGS 8832
형태사항 ii, 64 p. : 삽도 ; 26 cm
언어 한국어
일반주기 부록 : 각 전략에 대한 성과분석 그래프
저자명의 영문표기 : He-Youn Cho
지도교수의 한글표기 : 이상빈
지도교수의 영문표기 : Sang-Sin Lee
학위논문 학위논문(석사) - 한국과학기술원 : 경영과학과,
서지주기 참고문헌 : p. 62-64
주제 Strategy.
Bonds.
Portfolio management.
재무 관리. --과학기술용어시소러스
전략. --과학기술용어시소러스
Finance.
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