第八章债券定价和风险管理
第八章 债券定价和风险管理
CAPM, APT: treat securities at a high level of abstraction, assuming implicitly that a prior, detailed analysis of each security already had been performed, and that its risk and return features had been assessed Specific analyses of particular security markets: valuation principles determinants of risk and return, portfolio strategies commonly used within and across the various markets
◼ CAPM, APT: treat securities at a high level of abstraction, assuming implicitly that a prior, detailed analysis of each security already had been performed, and that its risk and return features had been assessed. ◼ Specific analyses of particular security markets: valuation principles, determinants of risk and return, portfolio strategies commonly used within and across the various markets
■固定收益证券 Promise either a fixed stream of income or a stream of income that is determined according to a specified formula Have the advantage of being relative easy to understand because the level of payments is fixed in advance Risk consideration are minimal as long as the issuer of the security is sufficiently creditworthy
◼ 固定收益证券 ◼ Promise either a fixed stream of income or a stream of income that is determined according to a specified formula. ◼ Have the advantage of being relative easy to understand because the level of payments is fixed in advance. ◼ Risk consideration are minimal as long as the issuer of the security is sufficiently creditworthy
Bond analysis Bond attributes Bond pricing Appropriate yield to maturity Intrinsic value The relationship between the yield and price Bond risk management When the maturity and the payment time is not consistent Interest risk Reinvestment risk The approach of risk management Duration Convexity
◼ Bond analysis ◼ Bond attributes ◼ Bond pricing ◼ Appropriate yield to maturity ◼ Intrinsic value ◼ The relationship between the yield and price ◼ Bond risk management ◼ When the maturity and the payment time is not consistent ◼ Interest risk ◼ Reinvestment risk ◼ The approach of risk management ◼ Duration ◼ Convexity
1. Bond analysis ■债券是最基本的固定收益证券。 ■债券的定价 债券的特性
1. Bond analysis ◼ 债券是最基本的固定收益证券。 ◼ 债券的定价 ◼ 债券的特性