Bohumil Stádník – Financial Engineering, Department of Banking and Insurance, Faculty of Finance, University of Economics
in Prague, W. Churchill sq.4, 140 00 Prague, Czech Republic
DOI: https://doi.org/10.31410/ERAZ.S.P.2019.207
5th International Conference – ERAZ 2019 – KNOWLEDGE BASED SUSTAINABLE DEVELOPMENT, Budapest – Hungary, May 23, 2019, SELECTED PAPERS
Published by: Association of Economists and Managers of the Balkans – Belgrade, Serbia
Conference partners: Faculty of Economics and Business, Mediterranean University, Montenegro; University of National and World Economy – Sofia, Bulgaria; Faculty of Commercial and Business Studies – Celje, Slovenia; Faculty of Applied Management, Economics and Finance – Belgrade, Serbia;
ISBN 978-86-80194-21-9, ISSN 2683-5568, DOI: https://doi.org/10.31410/ERAZ.S.P.2019
Abstract
The Macaulay Duration could be roughly interpreted as the percentage change of a bond
price if the shift of interest rate equals 1% along the whole zero-coupon curve; which is empirically very
rare case. To deal with the prediction of short-term rates shifts and its consequences for the whole yield
curve is more often praxis, thus it is useful to define a certain value which respects this fact and which is
handled in the same way as Macaulay Duration. We name this measure as “Short Rate Shift Duration”
and the main contribution of this study is to suggest a procedure which allows to find its values.
Key words
Short Rate Shift Duration, conventional duration, Macaulay Duration, Short Rate Shift
Duration of portfolio, zero-coupon yield curve.
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