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Yield curve and interest rate risk
Univeristy of Niš, Faculty of Economy, Serbia
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.
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article language: English
document type: unclassified
published in SCIndeks: 02/06/2007

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