- Negative duration
- Отрицательный процентный риск. Ситуация, при которой цена ценной бумаги, обеспеченной пулом ипотек, движется в том же направлении, что и процентные ставки . Инвестиционная деятельность .
Англо-русский экономический словарь.
Negative duration
Смотреть что такое "Negative duration" в других словарях:
negative duration — (1) The name for a particular relationship between changes in the price of a debt security and changes in prevailing interest rates. When a security has negative duration, its price decreases in response to a decrease in prevailing market rates.… … Financial and business terms
Negative duration — A situation in which the price of the MBS moves in the same direction as interest rates. The New York Times Financial Glossary … Financial and business terms
negative convexity — A phrase use to describe a particular type of instability in the duration of an instrument. Negative convexity means that as yields rise, duration rises and as yields fall, duration falls. Graphically, this is seen as a price/yield curve for… … Financial and business terms
Negative pickup deal — In film production, a negative pickup is a contract entered into by an independent producer and a movie studio wherein the studio agrees to purchase the movie from the producer at a given date and for a fixed sum. Depending on whether the studio… … Wikipedia
Duration gap — Contents 1 Definition 2 Overview 3 Torque analogy 4 See also Definition The difference between the duration of … Wikipedia
negative — A denial; a proposition by which something is denied; a statement in the form of denial. Two negatives do not make a good issue. As to negative covenant negative easement negative servitude negative statute negative testimony, see those titles @… … Black's law dictionary
negative — A denial; a proposition by which something is denied; a statement in the form of denial. Two negatives do not make a good issue. As to negative covenant negative easement negative servitude negative statute negative testimony, see those titles @… … Black's law dictionary
Negative Convexity — When the shape of a bond s yield curve is concave. A bond’s convexity is the rate of change of its duration, and is measured as the second derivative of price with respect to yield. Most mortgage bonds are negatively convex. Callable bonds… … Investment dictionary
positive duration — (1) The name for a particular relationship between changes in the price of a debt security and changes in prevailing interest rates. When a security has positive duration, its price increases in response to a decrease in prevailing market rates.… … Financial and business terms
modified duration — Macaulay duration adjusted for compounding. The figure for Macaulay duration is divided by the sum of one plus the rate divided by the number of compounding periods per year. A more accurate measure of the weighted average time remaining until… … Financial and business terms
Bond duration — Financial markets Public market Exchange Securities Bond market Fixed income Corporate bond Government bond Municipal bond … Wikipedia
