chap2利率風險管理(2)-wenkub
2023-03-19 14:48:33 本頁面
【正文】 expected short rate for the following year is E(r2)=6%. If investors cared only about the expected value of the interest rate, what would be the price of a 2year zero? Interest Rate Uncertainty Forward Rates 2023/3/19 15 Example(Certainty): Now consider a short term investor who wishes to invest only for 1 year. She can purchase the 1year zero first, then purchase the 2year zero with 1 year to maturity. What will be the price of each purchase? What is the holdingperiod return? Interest Rate Uncertainty Forward Rates 2023/3/19 16 Example： Suppose that most investors have shortterm horizons and therefore are willing to hold the 2year bond only if its price falls to $. At this price, the expected holdingperiod return on the 2year bond is 7% . The risk premium of the 2year bond, therefore, is 2%。 1. 利率期限結構 ? 流動性溢價理論 考慮了未來的不確定性； 長期利率等于現(xiàn)行利率與預期短期利率加上流動性溢價的幾何平均數。Chap 2. 利率風險管理 王海艷 博士 副教授 課程內容 1. 利率的期限結構 2. 利率敏感性 3. 利率風險的傳統(tǒng)度量方法 影響利率的因素 ? 中央銀行的貨幣政策 ? 中央銀行貨幣政策的目標 : 釘住某一利率 /釘住銀行準備金 ? 金融市場全球一體化加速了利率的變動和各國利率波動之間的傳遞 中央銀行貨幣政策的影響 中央銀行貨幣政策 利率 (資本成本 /收益率 ) 消費者和企業(yè) 1. Term Structure of interest Rate ? The structure of interest rates for discounting cash flows of different maturities. （不同證券的市場收益率或利率） ? Yield curve（收益率曲線）： 收益與到期期限的關系 flat, upwardsloping, downwardsloping, humpedshaped ? Bond stripping / bond reconstitution 2023/3/19 5 1. 利率期限結構 三個主要理論： ? 無偏預期理論 ? 流動性溢價理論 ? 市場分割理論 1. 利率期限結構 ? 無偏預期理論 某一特定時間下的收益曲線反映了當時市場對 未來短期利率 的預期。流動性溢價隨著期限增加而上漲。 it offers an expected rate of return of 7% versus the 5% riskfree return on the 1year bond. At this risk premium, investors are willing to bear the price risk associated with interest rate uncertainty. When bond prices reflect a risk premium, however, the forward rate, f2, no longer equals the expected short rate, E(r2). Although we have assumed that E(r2)=6%, it is easy to confirm that f2=8%. The yield to maturity on the 2year zeros selling at $
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