第八章 债券定价和风险管理.pdf

第八章 债券定价和风险管理 CAPM, APT: treat securities at a high level of abstraction, assuming implicitly that a prior, detailed analysis of each security already had been performed, and that its risk and return features had been assessed. Specific analyses of particular security markets: valuation principles, determinants of risk and return, portfolio strategies commonly used within and across the various markets 固定收益证券 – is a claim on a specified period stream of income. – Have the advantage of being relative easy to understand because the level of payments is fixed in advance. – Risk consideration are minimal as long as the issuer of the security is sufficiently creditworthy. 1. Bond analysis 债券是最基本的固定收益证券。 债券的定价 债券的特性 1.1 Capitalization of Income Method of Value Promised yield-to-maturity n C P = ∑ t t t =1 (1+ y ) * – 如果y y ，则定价过低(underpriced) 。 * – 如果y y ，则定价过高(overpriced) 。 – y * 的确定依赖于债券的特征以及现时的市场 条件。 例子：一个债券，现价为900元，面值为 1000元，三年到期，息率为6% 。得到 y = 10.02 % 如果通过分析，得到 y * =9.00 % * y 问题：定价如何？如何确定 ？ Intrinsic value n C V = ∑ t * t t =1 (1+ y ) 例子：V = 924.06 两种程序所得结果的一致性，即价格与 回报率之间的关系。 为了利用Capitalization of Income Method C P * of Value，必须决定 ， ， 的值。 t y C P t 和 容易确定 * y 的确定依赖于投资者对债券的特征的 主观看法，以及现实的市场条件。从而