chap2利率風(fēng)險(xiǎn)管理(2)-wenkub
2023-03-19 14:48:33 本頁(yè)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(jié)構(gòu) ? 流動(dòng)性溢價(jià)理論 考慮了未來的不確定性； 長(zhǎng)期利率等于現(xiàn)行利率與預(yù)期短期利率加上流動(dòng)性溢價(jià)的幾何平均數(shù)。Chap 2. 利率風(fēng)險(xiǎn)管理 王海艷 博士 副教授 課程內(nèi)容 1. 利率的期限結(jié)構(gòu) 2. 利率敏感性 3. 利率風(fēng)險(xiǎn)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(biāo) : 釘住某一利率 /釘住銀行準(zhǔn)備金 ? 金融市場(chǎng)全球一體化加速了利率的變動(dòng)和各國(guó)利率波動(dòng)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(fèi)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(chǎng)收益率或利率） ? Yield curve（收益率曲線）： 收益與到期期限的關(guān)系 flat, upwardsloping, downwardsloping, humpedshaped ? Bond stripping / bond reconstitution 2023/3/19 5 1. 利率期限結(jié)構(gòu) 三個(gè)主要理論： ? 無偏預(yù)期理論 ? 流動(dòng)性溢價(jià)理論 ? 市場(chǎng)分割理論 1. 利率期限結(jié)構(gòu) ? 無偏預(yù)期理論 某一特定時(shí)間下的收益曲線反映了當(dāng)時(shí)市場(chǎng)對(duì) 未來短期利率 的預(yù)期。流動(dòng)性溢價(jià)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 $
教學(xué)課件相關(guān)推薦
鄂ICP備17016276號(hào)-1