金融市场和机构第三章.pptVIP

Copyright ? 2006 Pearson Addison-Wesley. All rights reserved. 3-* Maturity and the Volatility of Bond Returns (cont.) Conclusion from Table 3-2 analysis Prices and returns more volatile for long-term bonds because have higher interest-rate risk No interest-rate risk for any bond whose maturity equals holding period Copyright ? 2006 Pearson Addison-Wesley. All rights reserved. 3-* Reinvestment Risk Occurs if hold series of short bonds over long holding period i at which reinvest uncertain Gain from i ?, lose when i ? Copyright ? 2006 Pearson Addison-Wesley. All rights reserved. 3-* Calculating Durationi =10%, 10-Year 10% Coupon Bond Copyright ? 2006 Pearson Addison-Wesley. All rights reserved. 3-* Calculating Durationi = 20%, 10-Year 10% Coupon Bond Copyright ? 2006 Pearson Addison-Wesley. All rights reserved. 3-* Formula for Duration Key facts about duration All else equal, when the maturity of a bond lengthens, the duration rises as well All else equal, when interest rates rise, the duration of a coupon bond fall Copyright ? 2006 Pearson Addison-Wesley. All rights reserved. 3-* Formula for Duration The higher is the coupon rate on the bond, the shorter is the duration of the bond Duration is additive: the duration of a portfolio of securities is the weighted-average of the durations of the individual securities, with the weights equaling the proportion of the portfolio invested in each Copyright ? 2006 Pearson Addison-Wesley. All rights reserved. 3-* Duration and Interest-Rate Risk i ? 10% to 11%: Table 3-4, ?10% coupon bond Copyright ? 2006 Pearson Addison-Wesley. All rights reserved. 3-* Duration and Interest-Rate Risk (cont.) i ? 10% to 11%: 20% coupon bond, DUR = 5.72 years Copyright ? 2006 Pearson Addison-Wesley. All rights reserved. 3-* The greater is the duration of a security, the greater is the percentage change in the market value of the security for a given change in interest rates Therefore, the greater is the duration of a security, the greater is