Yield curve analysis



Analyse der Renditestrukturkurve

Inhalt

1.    Einführung................................................................................................................ 3

2.    Renditestruktur und Markterwartungen ................................................................. 4

3.   Das Entscheidungsproblem der Laufzeitenwahl .................................................... 10

3.1  Die Perspektive des Investors ............................................................................ 10

3.2  Die Perspektive des Finanziers........................................................................... 13

4.    Kassazinssatze und implizite Terminzinssatze.......................................................16

5.    Entscheidungsregeln für die Laufzeitenwahl ......................................................... 18

5.1 Niveau, Steigung, Krümmung............................................................................. 19

5.2 Interdependenzen der gestaltgebenden Faktoren ............................................ 21

6. Schlussbemerkung ................................................................................................. 25



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