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 market. 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 ;;;;Immunization;;;;;;;;;value 10000 6000 8% interest rate;;;;;;;2.5 Active bond management;9、春去春又回，新桃换旧符。在那桃花盛开的地方，在这醉人芬芳的季节，愿你生活像春天一样阳光，心情像桃花一样美丽，日子像桃子一样甜蜜。7月-217月-21Friday, July 30, 2021 10、人的志向通常和他们的能力成正比例。07:01:1407:01:1407:017/30/2021 7:01:14 AM 11、夫学须志也，才须学也，非学无以广才，非志无以成学。7月-2107:01:1407:01Jul-2130-Jul-21 12、越是无能的人，越喜欢挑剔别人的错儿。07:01:1407:01:1407:01Friday, July 30, 2021 13、志不立，天下无可成之事。7月-217月-2107:01:1407:01:14July 30, 2021 14、Thank you very much for taking me with you on that splendid outing to London. It was the first time that I had seen the Tower or any of the other famous sights. If I'd gone alone, I couldn't have seen nearly as much, because I wouldn't have known my way about. 。30 七月 20217:01:14 上午07:01:147月-21 15、会当凌绝顶，一览众山小。七月 217:01 上午7月-2107:01July 30, 2021 16、如果一个人不知道他要驶向哪头，那么任何风都不是顺风。2021/7/30 7:01:1407:01:1430 July 2021 17、一个人如果不到最高峰，他就没有片刻的安宁，他也就不会感到生命的恬静和光荣。7:01:14 上午7:01 上午07:01:147月-21