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1997, vol. 1, iss. 5, pp. 31-40
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Yield curve and interest rate risk
Kriva prinosa i kamatni rizik
Univeristy of Niš, Faculty of Economy, Serbia
Abstract
Yield curve present graphical interpretation of term structure of interest rates, as a functional relationship between maturates of debt instruments differing only in length of time to maturity and it's yield to maturity. This is an instrument, which enable us to focus on factors relevant for portfolio interest rate risk. For correct assessment of portfolio interest rate risk, total term structure of interest rates (that is, yield curve) must be taken into account, not only single interest rate. The yield curve represents a highly useful analytical apparatus for it gives useful information about market expectation of future interest rates and their components. It is also a necessary prerequisite for correct debt instrument valuation. Under current circumstances in our country, however, usefulness of yield curve is substantially blurred due to inefficiency and strong influence of non-market criteria on financial markets.
Sažetak
Kriva prinosa predstavlja grafičku interpretaciju ročne strukture kamatnih stopa kao funkcionalnog odnosa između dospeća kreditnih instrumenata različitih jedino po dospeću i njihove stope prinosa po dospeću. To je instrument koji nam omogućava da se usmerimo na faktore relevantne na kamatni rizik složenih portfolia. Za korektno merenje kamatnog rizika portfolia mora se sagledati ukupna ročna struktura kamatnih stopa, odnosno kriva prinosa, a ne samo pojedinačna kamatna stopa. Kriva prinosa predstavlja izuzetno koristan analitički instrumentarijum, koji nam pruža upotrebljive informacije o budućim kamatnih stopama i komponentama budućih kamatnih stopa, koje tržište očekuje. Ona je takođe, neophodan preduslov za korektnu evaluaciju kreditnih instrumenata. Zbog aktuelnog stanja u domaćoj ekonomiji, pre svega, usled neefikasnosti i jakog uticaja netržišnih kriterijuma na domaća finansijska tržišta, indikativnost krive prinosa je značajno smanjena.
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