《利率風(fēng)險(xiǎn)的管理》ppt課件-全文預(yù)覽
【正文】 l to the Repo dealer and gets the cash to pay the bond itself. The Repo Dealer typically gives less cash than the market price of the bond. The difference is called haircut. The term T and the Repo rate are decided at time t. 回購的實(shí)際交易過程（ 2） 2. At time T the trader buys back the bond from the Repo Dealer, pays Pt plus the Repo rate to the dealer and sells the bond in the market to get PT. The trader profit is In percentage terms, the trader only puts down the haircut (the margin) as own capital. And hence, the return on capital is: Return = Trader Profit / haircut 1 Repo Numerical Example On June 10, 1986 (t) a trader wishes to finance a $10 million par amount of a %, 5152022 Tbond. The trader wishes to finance the position until June 13, 1986 (T). The clean price of this $10 million bond at (t) is $9,403,000. The accrued interest rate is: % x (10/Jun/1986 15/May/1986) x 10 million 2 x (15/Nov/1986 – 15/May/1986) = $51, The dirt price is Pt = $9,454,220 Repo Numerical Example（ 2） Assume that the haircut is 50 basis points (bp) = % Then the haircut is haircut = % x 9,454,220 = 47, and the amount borrowed is 9,454,220 – 47, = 9,406, On June 13, 1986 (T), the clean price of this bond is $9,691,000. (That is equivalent to say that the market rallied ~3% in the period.) and the dirty price is PT = 9,748,130. The Repo dealer delivers the bond and receives (1+ x 3/360) x 9,406, = 9,411, Repo Numerical Example（ 3） Therefore the interest paid to the Repo dealer is . The trader receives the bond from the Repo dealer and pays 9,411, sells the bond to the market and receives 9,748,130. The trader profit is: 9,748,130 9,454,220 = 289, The return is 289, 1 = 511% Observe that the market rallied only 3% and the return of the position was 511%. 逆回購 的交易過程 Consider a trader and a Repo dealer. Suppose that the trader at time t wants to take a short position until time T then ： 1. At time t, the trader sells the bond at market price Pt, and enters a Reverse Repo with the Repo Dealer. And hence, the trader receives the bond from the Repo dealer and pays cash for it. The trader delivers the bond to the market. 2. At time T, the trader buys the bond in the market at PT and sells the bond to the Repo Dealer at Pt plus the Repo rate. The profit is then Notice that lower PT higher the trader profit. 二、利率風(fēng)險(xiǎn)的定義與特點(diǎn) 利率風(fēng)險(xiǎn)的定義 利率風(fēng)險(xiǎn)是指由于利率的變動(dòng)給投資者帶來損失的可能性，或是指由于預(yù)期利率水平和到期時(shí)的實(shí)際市場利率水平產(chǎn)生差異而給投資者帶來損失的可能性。 回購協(xié)議的期限從一日至數(shù)月不等。 從本質(zhì)上說 ， 回購協(xié)議是一種抵押貸款 ， 其抵押品為證券 。 利率的分類 （ 1）名義利率與真實(shí)利率：費(fèi)雪方程式 （ 2）固定利率與浮動(dòng)利率 （ 3）短期利率與長期利率 （ 4）單利與復(fù)利（連續(xù)復(fù)利） （ 5）即期利率與遠(yuǎn)期利率 （二） 利率的計(jì)算 終值和現(xiàn)值的計(jì)算公式 （ 1）終值的計(jì)算公式 如果一筆簡易貸款的利率為 r，期限為 n年，本金 P0元。 利率的計(jì)算 （ 1） 利率 =利息 /本金（單位時(shí)間，一般為年） （ 2）利率 =利潤率 ?利息占利潤的比例（單位時(shí)間，一般為年） 。 ? ? ? ? ? ?tTrTTrtTr ????? ? ***%111 1%102% ??????r? ? ? ? tTTTtT rrr ???? ???????? ?? ** *111累計(jì)利息（ Accrued Interest） （ 1）凈價(jià)格（ clean prices） 在交易所中交易的債券市場價(jià)格是不計(jì)算累計(jì)利息的凈價(jià)格； （ 2）累計(jì)利息 是指從上一次計(jì)息日起到現(xiàn)在累計(jì)的利息總額； Accrued Interest = Interest Due In Full Period Number of Days Since Last Coupon Date Number of Days Between Coupons （ 3）實(shí)際應(yīng)計(jì)金額（ dirty price ） 實(shí)際應(yīng)計(jì)金額 =凈價(jià)格（ clean price） +累計(jì)利息 （三） 回購 協(xié)議 含義： 回購協(xié)議 （ Repurchase Agreement） ， 是指在出售證券的同時(shí) ，和證券的購買商簽定協(xié)議 ， 約定在一定期限后按原定價(jià)格或約定價(jià)格購回所賣證券 ， 從而獲取即時(shí)可用資金的一種交易行為 。 在回購協(xié)議中， 抵押 債券一般是政府債券和政府代理機(jī)構(gòu)債券，這些債券信用高，沒有違約風(fēng)險(xiǎn)。 與正回購協(xié)議類似，買入證券的一方，在出售所買入的證券時(shí)，價(jià)格要高于買入證券時(shí)的價(jià)格，高出的部分為資金的利息（相當(dāng)于買賣證券，一般要求買入價(jià)低于賣出價(jià)）。（ 2）社會經(jīng)濟(jì)運(yùn)行狀況。利率敏感性產(chǎn)品主要是債務(wù)類產(chǎn)品。 一般來說，當(dāng)市場利率上升時(shí)，債券的價(jià)格下跌，當(dāng)市場利率下降時(shí)，債券的價(jià)格上升。 （ 4）信用風(fēng)險(xiǎn) 指由于發(fā)行者的信用等級的下降給證券投資者帶來損失的風(fēng)險(xiǎn)。但當(dāng) 實(shí)際收益率曲線與人們假設(shè)的收益率曲線發(fā)生偏差時(shí)，投資者將
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