【风险管理】Ch04利率风险.ppt

利率的种类 国债利率 伦敦银行同业的拆借利率 （LIBOR借出 and LIBID存入） 房屋贷款利率 储蓄利率 最优贷款利率 再回购利率 无风险利率 交易员如何管理债券组合的风险 债券可能有不同的期限 可能含有不同的利率，不同利率间的变动幅度也可能不同 单独一个数字不能表现利率的变化 哪些工具可以帮助交易员？ 交易员要学习的主要概念和工具 不同利率类型的基本知识 利率的计算方法 收益率曲线 久期 凸性 利率的计算方法 零息债券的利率 或者 离散复合利率 连续复合利率 The yield curve(the term structure of interest rates) The curve shows the relation between the (level of) interest rate (or cost of borrowing) and the time to maturity 收益率曲线的例子 The US dollar yield curve as of February 9, 2005. The curve has a typical upward sloping shape, Y—yield, X—term 净利息收入差 净息差=利息收入-利息支出 目标：保持净息差稳定 银行资产负债管理部门的职责，如达到上述目标？ 建立系统：检测客户业务决策行为 调整短期和长期利率，使得资产利息匹配负债利息，如提高5年的存款和住房贷款利率 Swap rate Swap Rates are the fixed rates exchanged for floating in an interest rate swap agreement float rate: LIBOR +xbasic point(1/10 000) 债券组合的久期和凸性 交易组合的Immunization(免疫) 保持利率有关的资产组合免受收益率曲线微小的平行移动的影响. 免受收益率曲线较大规模的平行移动的影响 * * * Starting Zero Curve Yield curve * Parallel Shift * Partial Duration A partial duration calculates the effect on a portfolio of a change to just one point on the zero curve * Partial Duration continued * Example (Table 7.5, page 147) Risk Management and Financial Institutions, 2e, Chapter 7, Copyright ? John C. Hull 2009 * Maturity yrs 1 2 3 4 5 7 10 Total Partial duration 2.0 1.6 0.6 0.2 ?0.5 ?1.8 ?1.9 0.2 Partial Durations Can Be Used to Investigate the Impact of Any Yield Curve Change Any yield curve change can be defined in terms of changes to individual points on the yield curve For example, to define a rotation we could change the 1-, 2-, 3-, 4-, 5-, 7, and 10-year maturities by ?3e, ? 2e, ? e, 0, e, 3e, 6e 局部久期的应用 * Combining Partial Durations to Create Rotation（旋转） in the Yield Curve 收益率曲线的旋转变化 * Impact of Rotation The impact of the rotation on the proportional change in the value of the portfolio in the example is 旋转对组合价值的影响 * Alternative approach Bucket the yield curve and investigate the effect of a small change