第八章债券定价和风险管理(证券投资学-北大,杨云红).pptx

第八章 债券定价和风险管理;;;;1. Bond analysis;1.1 Capitalization of Income Method of Value;;;;;1.2 Bond attributes;;;;;;;;;;;;;;;;;;;;;;;;;;;;;预测违约的财务比(financial ratio);单变量方法;多变量方法;;;1.3. Yield spread 的确定;;1.4. 债券定价;;;;;;;;;2. Fixed-income portfolio management;2.1 利率风险;;;;;;;例子;;2.2 Duration;例子：息率8%的债券;;;;Duration;8%;Duration;;Duration 和股票价格变化之间的关系;例子;What determines duration?;;;2.3 Convexity;Yield;;;Correction for Convexity;;Why do investors like convexity?;;2.4 Passive bond management;Passive methods;;Bond-index funds Create a portfolio that mirrors the composition of an index that measures the broad