经营管理-债劵定价与风险管理(PPT 90页).pptx

债券定价和风险管理;;;1. Bond analysis;1.1 Capitalization of Income Method of Value;;;;;1.2 Bond attributes;`;;;;;;;;;;;;;;;;;;;;;;;;;;;1.3. Yield spread 的确定;;;1.4 预测违约的财务比(financial ratio);1.5. 债券定价;;;;;;;;2. Fixed-income portfolio management;;;;;例子;;2.1. Convexity;;2.2 Duration;;;例子;Duration;;Duration 和股票价格变化之间的关系;例子;凸性与Duration之间的关系;What determines duration?;;;2.3 Passive bond management;Passive methods;;Bond-index funds 债券市场指标 Lehman Brothers Merrill Lynch Salomon Brothers Number of issues maturity of included bonds excluded issues weighting reinvestment Daily availability ;;;;;;;;;;value 10000 60