【正文】 ? 債券有違約風(fēng)險，計算期望到期收益率(expected yieldtomaturity) ? 只要有違約或者推遲支付的可能，期望收益就會小于承諾收益 (promised yield) ? 一般來說，違約的風(fēng)險越大，違約時損失的數(shù)量越大，在收益上的差別越大。 ? Yield to call ? 例子：面值為 1000元，息率 8%， 30年到期的無回購協(xié)議的債券和面值為 1000元，息率 8%， 30年到期，回購價格為 1100元的債券 ? price ? 1200 ? 1000 ? 0 5% 10% 15% 20% interest rate ? At high interest rates, the risk of call is negligible, and the values of the straight and callable bonds converge. At lower rates, however, the values of bonds begin to diverge, with the difference reflecting the value of the firm?s option to reclaim the callable bond at the call price. ? 兩者之差反映了公司以 1100元進行回購這樣一個權(quán)利的價值。 ? Call and put provisions ? call price ? call premium ? 當(dāng)收益率劇烈下降后，債券的發(fā)行者回購已經(jīng)發(fā)行的債券具有財務(wù)上的優(yōu)勢，因為發(fā)行者能夠用收益更低的債券來代替。 ? 由這兩個屬性可以決定債券的到期收益率，再與基準(zhǔn)的收益率作比較。從而債券分析中，最關(guān)鍵的部分是確定 P *ytC*ytCP*y Bond attributes ? 在債券定價過程中，債券的六個重要的屬性： ? length of time until maturity ? coupon rate ? call provisions ? tax status ? marketability ? likelihood of default ? 在任何時間，這些性質(zhì)不同的債券的市場價格結(jié)構(gòu)，以到期收益來描述。 ? ??? ??ntttyCP1 1*yy?*yy?*y? 例子：一個債券，現(xiàn)價為 900元，面值為1000元，三年到期，息率為 6%。第八章 債券定價和風(fēng)險管理 ? 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 monly used within and across the various markets ? 固定收益證券 ? Promise either a fixed stream of ine or a stream of ine 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 1. Bond analysis ? 債券是最基本的固定收益證券。 ? 的確定依賴于債券的特征以及現(xiàn)時的市場條件。 ? 和 容易確定 ? 的確定依賴于投資者對債券的特征的主觀看法，以及現(xiàn)實的市場條件。 ? 被考慮債券和具有相同的到期日和息率的無違約風(fēng)險債券 ? 定價是一個相對的概念 ? Coupon rate and length of time until maturity ? 這兩個性質(zhì)決定了發(fā)行者承諾支付給持有者的現(xiàn)金流的時間和規(guī)模。到期收益為 %， yield spread 為 152個基點。 ? 為什么會回購 ? 10年的到期收益（實際回報）為 %。 ? Marketability ? 度量債券流動性的一個方式是 BidAsk spread ? 交易活躍的債券比交易不活躍的債券具有更低的 bidask spread. ? 交易活躍的債券比交易不活躍的債券具有更低的到期收益和更高的內(nèi)在價值。 ? 例子：某公司 20年前發(fā)行的債券還有 10年到期，息率為 9%，現(xiàn)在公司有財務(wù)困難，投資者預(yù)期利息將不受影響，但在到期日，公司將破產(chǎn)，投資者只能得到面值的 70%，債券現(xiàn)在的價格為 750元。 ? 每種具有違約風(fēng)險的債券都有違約酬金。 ? 一種債券，它的持有期收益率可能和別的債券以及股票的收益率相關(guān)。 ? 實證結(jié)果表明，債券的級別越低，平均回報率越高，標(biāo)準(zhǔn)差越大。 ? The inverse relationship between price and yield is a central feature of fixedine securities. Interest rate fluctuations represent the main source of risk in the fixedine 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 price to fluctuations in the interest rate. This is why shortterm Treasury securities such as Tbills are considered to be the safest. They are free not only of default risk, but also largely free of price risk attributable to interest rate volatility. ? 當(dāng)息率等于市場利率時，價格等于面值 ? In these circumstances, the investor receives fair pensation for the time value of money in the form of the recurring interest payments. No further capital gain is necessary to provide fair pensation. ? 當(dāng)息率小于市場利率時，價格小于面值 ? The coupon payments alone will not provide investors as high a return as they could earn elsewhere in the market. To receive a fair return on such an investment, investors also need to earn price appreciation on their bonds. The bond would have to sell below par value to provide a “builtin” capital gain on the investment. ? 例子：面值 1000元，息率 7%，公平利率 8%，三年到期 ? 現(xiàn)在公平價格 =70（） +1000（） = ? 一年后公平價格為 =70（） +1000（） = ? 過去的一年的回報率為 70+ ? 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 belowmarket c