《08-2016本科-债券久期凸性与免疫策略》.pdf

教 学 要 点 社会保险基金管理：投资运用  债券相关基础  久期含义、种类与特点 债券久期- 凸性与资产负债管理、免疫策略  久期与资产负债管理、利率风险管理  久期的适用性  凸性含义与特点 E-mail: chenzhitom@163.net  凸性与资产负债管理、利率风险管理 1 2 一、债券相关基础 一、债券相关基础 On the hand, a bond holder has a greater claim on an issuers 1、债券含义 income than a shareholder in the case of financial distress (this is true for all creditors). Bonds are often divided into different A debt instrument issued for a period of more than one year with categories based on tax status, credit quality, issuer type, maturity the purpose of raising capital by borrowing. The Federal and secured/unsecured (and there are several other ways to classify government, states, cities, corporations, and many other types of bonds as well). institutions sell bonds. The yield from a bond is made up of