Ch04HullOFOD8thEdition要点解析.ppt

* * * * * * * * * * * * * * * * * * * * * * * * * Key Duration Relationship Duration is important because it leads to the following key relationship between the change in the yield on the bond and the change in its price * 考虑某个面值为100美元，息票利率为10%的3年期债券。债券每6个月付息一次，利息为5美元。y=0.12。 表4-6 久期的计算 时期 现金流 现值 权重 年份*权重 0.5 5 4.709 0.050 0.025 1.0 5 4.435 0.047 0.047 1.5 5 4.176 0.044 0.066 2.0 5 3.933 0.042 0.083 2.5 5 3.704 0.039 0.098 3.0 105 73.256 0.778 2.333 合计 130 94.213 1 2.653 例4-5 由表4-6所描述的债券价格为94.213美元，久期为2.653，当收益率增加了10个基点后，债券价格的近似变化为债券价格会下降到 Key Duration Relationship continued When the yield y is expressed with compounding m times per year The expression is referred to as the “modified duration” * 例4-6 表4-6 债券组合的久期 Bond Portfolios The duration for a bond portfolio is the weighted average duration of the bonds in the portfolio with weights proportional to prices The key duration relationship for a bond portfolio describes the effect of small parallel shifts in the yield curve What exposures remain if duration of a portfolio of assets equals the duration of a portfolio of liabilities? 金融机构常常通过确保其资产的久期等于负债的久期来对冲面临的利率风险，但资产组合对于利率较大的平行移动和非平行移动仍有风险暴露。 * 4.9 曲率 Convexity The convexity, C, of a bond is defined as This leads to a more accurate relationship When used for bond portfolios it allows larger shifts in the yield curve to be considered, but the shifts still have to be parallel * Theories of the Term Structure Expectations Theory: forward rates equal expected future zero rates Market Segmentation: short, medium and long rates determined independently of each other Liquidity Preference Theory: forward rates higher than expected future zero rates * Liquidity Preference Theory Suppose that the outlook for rates is flat and you have been offered the following choices Which would you choose as a depositor? Which for your mortgage? * Maturity Deposit rate Mortgage rate 1 year 3% 6% 5 year 3% 6% Liquidity Preference Theory cont To match