证券投资学之债券定价与风险管理.pptx

第八章 债券定价与风险管理;主要内容;;积极策略（Active strategy）： attempts to achieve returns greater than to those commensurate with the risk borne. Trade on interest rate predictions Trade on market inefficiencies 消极策略（Passive strategy）：takes market prices of securities as fairly set. Control risk Balance risk and return;1、利率风险;利率风险;利率风险;利率风险;利率风险：折价债券;利率风险：溢价债券;利率风险：公平合理的期望回报率;利率风险;债券定价定理：定性描述利率风险;债券定价定理：定性描述利率风险;债券定价定理：定性描述??率风险;债券定价定理：定性描述利率风险;Change in Bond Price as a Function of Change in Yield to Maturity;债券定价定理：定性描述利率风险;例子;债券定价定理：定性描述利率风险;2、Duration;仅仅只用到期日描述利率风险是不够的;例子：息率8%的债券（每年支付两次）与零息债券;例子说明;例子说明:有效到期日;例子说明:有效到期日;Duration;Cash flows paid by 9% coupon, annual payment bond with 8-year maturity and 10 y-t-m;8%;Duration;Duration;Duration 和股票价格变化之间的关系;例子;What determines duration?;Rule for duration;Rules for Duration (cont’d);Rules for Duration (cont’d);The modified duration;3、Convexity;仅仅只需Duration就够了吗？;Yield;;;Correction for Convexity;;例子：;;Why do investors like convexity?;;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;;例子：;例子：;;;;;;Figure Immunization;;Rebalancing immunized portfolio;Rebalancing immunized portfolio;;;;Immunization 在实际中的问题;