Appunti VERIFICATO
math
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- Hedgers trade to reduce exposure to asset price risks.
- Speculators take positions based on future asset price movements for profit.
- Arbitrageurs seek riskless profits through simultaneous transactions; a theoretical example involving US and European banks highlights potential arbitrage, but practical issues like transaction costs and default risks limit real-world applicability.
- Interest rates are categorized into Treasury rates (government borrowing), Interbank rates (banks lending to each other), Overnight rates (central bank reserves), and Repo rates (repurchasing agreements).
- The LIBOR rate is determined by a panel of banks, but its manipulation has led to the adoption of alternative rates like SOFR, SONIA, and ESTR.
- Risk-free interest rates are measured using bond prices; zero-coupon bonds and coupon bonds valuation principles are discussed, along with concepts like yield and par yield.
- Net Present Value (NPV) and Internal Rate of Return (IRR) are used to evaluate investment projects, with IRR being the discount rate that makes NPV null.
- The bootstrap procedure determines zero rates iteratively from bond prices, generating a yield curve or zero-curve.
- Bond duration measures interest rate risk sensitivity; it is defined as a weighted average of payment dates and equals maturity for zero-coupon bonds.
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