Imunisasi Portofolio Obligasi Dengan Metode Durasi  

Oleh:

Widayanti, Yeti ; Mahastanti, Linda Ariany

Jenis: Article from Journal - ilmiah nasional - terakreditasi DIKTI
Dalam koleksi: Kinerja: Jurnal Bisnis dan Ekonomi Program Pascasarjana Universitas Atma Jaya Yogyakarta vol. 12 no. 2 (Aug. 2008), page 174-186.
Topik: Bond; Duration; Immunization

Ketersediaan

Perpustakaan Pusat (Semanggi) Nomor Panggil: KK15 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada

Lihat Detail Induk

Isi artikel

There are some risk that bond investor must faced in bond investment, such as interest rate risk and reinvestment risk. Both risks are caused by interest rate changes. The rise of interest rate will decrease the price of bond. The change of interest rate will affect reinvestment value of the coupon. If interest rate decreased, so the yield of bonds will be icnreased and it will be cause the increase of reinvestment value. The price of bond has opposite direction against. The interest rate risk and reinvestment risk has offsetting effect to one another. A strategy based on the effect is immunization. Immunizaation is a strategy used by investor to protect the net value of their asset and their liabilities from the change of interest rate risk. The approach of immunization is duration method. Holding period and duration of portfolio was held by investors must be same to build an immune onds. The aim of this research to see the using of duration method can be used to immunizing of single bond or bond portfolio in this research period (October 5 2005) when interest rate extremely changes from 9.25% to 12.09% and yield curve is not parallel. This result has shown that duration method can't be used at singe bond or bond portfolio in this research period. There is possibility in practice, this method can be implementation if the change of interest rates is not extremely change and yield curve is parallel.

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