光华杨云红老师证 券投资课件2010春 债券定价和风险管理.pptVIP

第八章 债券定价与风险管理 主要内容 利率风险 久期 凸性 消极的债券组合管理 这里所谓的风险管理，是针对债券的利率风险控制，而债券本身的风险（例如，违约风险）不在讨论范围之内。 管理固定收益证券的基本策略： 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 当利率上涨和下降时，债券持有者就会面临资金损失和收益。这些损失或者收益使得在债券投资中，即使利息和本金支付能够保证得到（例如国债），投资者也面临风险。 利率风险 为什么利率变动时，债券价格会变动？ 在一个完全竞争市场中，所有的证券提供的都是公平合理的期望回报率（fair expected rates of return）。 利率风险 例子：一种债券，息率为8% 。如果市场的竞争收益率为8% ，则它的价格为面值。 如果市场竞争收益率上升为9%，则债券价格将下降，以使得总期望回报率为9%。 如果市场的竞争收益率下降为7%，则债券价格将上升，以使得总期望回报率为9%。 利率风险：折价债券 When bond prices are set according to the present value formula, any discount from par value provides an anticipated capital gain that will augment a below-market coupon rate just sufficiently to provide a fair total rate of return. 利率风险：溢价债券 If the coupon rate exceeds the market interest rate, the interest income by itself is greater than available elsewhere in the market. The price is greater than the par value, the resulting capital losses offset the large coupon payments so that the investor receive only a fair rate of return. 利率风险：公平合理的期望回报率 Each bond offers investors the fair total rate of return. Although the capital gain versus income components differ, the price of each bond is set to provide competitive rates, as we should expect in well-functioning capital markets. 利率风险 债券价格受市场的影响，市场利率波动是固定收入证券市场的主要风险根源。 价格和收益率之间的反向关系：The inverse relationship between price and yield is a central feature of fixed-income securities. 决定价格对利率波动敏感度一个关键因素是到期日。Interest rate fluctuations represent the main source of risk in the fixed-income market, and one key factor that determines that sensitivity is the maturity of the bond. A general rule in evaluating bond price risk is that, keeping all other factors the same, the longer the maturity of the bond, the greater the sensitivity of pri