Vol.1, No 5, 1997 pp. 31 - 40
UDC: 336.764.2; 339.164.4
YIELD CURVE AND INTEREST RATE RISK
Borko Krstić, Srđan Marinković
Faculty of Economics, University of Niš, Trg VJ 11, 18000 Niš, Yugoslavia
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.
KRIVA PRINOSA I KAMATNI RIZIK
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.
