清华大学货币银行学讲义（考研必备）ch7 risk structure.pptVIP

ch7. The structure of interest rate: risk structure risk premium: A risk premium is defined as the differential in yield between a security being studied and a default-free one, with all factors other than default risk being held constant. a security’s risk premium is the interest rate differential between it and risk-free security that has identical term of maturity. The risk premium is the cost of default risk for borrower. It can be measured according to the possibilities of default of borrowers, to the debt issuer’s credit reputation. The risk structure can be demonstrated with a group of yield curve or the interest rate of different securities at a horizon of time. A credit rating represents the agency’s opinion about the creditworthiness of an obligor with respect to a particular debt security or other financial obligation. Standard Poor’s, Moody is the main rating agents for credit rating 7.5 Risk premium business cycle Cyclical Behavior of Risk Premiums Probabilities of Default (PD) do be influenced by business cycle. However, whether the cycle influenced the risk premium? “Through-the-cycle” effect: if rating assess the business-risk sensitivity, the rating has already including the cycle factors, rating try to mitigate the effect of cycle, (cycle effect can be filtered out) there will be not much change with the fluctuation of cycle, hence the “average” rating will not change as much, and risk premium will also not fluctuate as much. However, if there is persistent downturn in the economy, microeconomic conditions not just temporary change, PD may be significantly raise, the absolute level of risk within a rating category fluctuates: overshoot or undershoot around the average rating. Risk premium will also overshoot or undershoot. * 7.1 risk structure: risk premium （风险溢价） 利率违约风险结构描述了在其它条件不变下投资收益与其对应违约风险的关系。 这两者间的关系可近似用图来表示。在图中，纵轴代表投资收益，横轴代表风险，纵轴截距表示无风险回报；用它可表示所有期望的财产证券投入的回报情况。该图显示了投资者因感觉到违约风险存在而要求更高的回报。 风险溢价（risk premium）定义为在违约风险之外的所有因素不变条件下，所研究的债权