債券定價(jià)和風(fēng)險(xiǎn)管理(1)(編輯修改稿)
2025-03-27 15:39 本頁面
【文章內(nèi)容簡(jiǎn)介】 pletion, and amortization charges) to total debt 多變量方法 ?Zscore – =(current assetscurrent liabilities)/total assets – =retained earnings/total assets – =earnings before interest and taxes/total assets – =market value of equity/book value of total debt – =sales/total assets ?Zscore小于 ，并且Zscore越小，違約的可能性越大。 54321 XXXXXZ ?????1X234X5 . 債券定價(jià) ?給定合理的利率，給債券公平定價(jià) –何為合理利息率？ ?合理的利率（或者折現(xiàn)率）是由市場(chǎng)唯一確定的，包括： –實(shí)利率 –通貨膨脹率 – yield spread ?一級(jí)市場(chǎng)：以面值發(fā)行息率近似為市場(chǎng)收益率 ?二級(jí)市場(chǎng)：債券價(jià)格受市場(chǎng)的影響，市場(chǎng)利率波動(dòng)是固定收入證券市場(chǎng)的主要風(fēng)險(xiǎn)根源。 ?當(dāng)息率等于利率時(shí)，價(jià)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)息率小于利率時(shí)，價(jià)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(jià)格 =70（） +1000（） = ? 一年后公平價(jià)格為 =70（） +1000（） = ? 過去的一年的回報(bào)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 coupon rate just sufficiently to provide a fair total rate of return. ?If the coupon rate exceeds the market interest rate, the interest ine 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. ?Each bond offers investors the fair total rate of return. Although the capital gain versus ine ponents differ, the price of each bond is set to provide petitive rates, as we should expect in wellfunctioning capital markets. ?Security returns all should be parable on an aftertax riskadjusted basis. If they are not, investors will try to sell lowreturn securities, thereby deriving down the prices until the total return at the now lower price is petitive with other securities. Prices should continue to adjust until all securities are fairly priced in that expected returns are appropriate(given necessary risk and tax adjustments) 2. Fixedine portfolio management ?利率風(fēng)險(xiǎn) – As interest rates rise and fall, bondholders experience capital losses and gains. These gains or losses make fixedine investments risky, even if the coupon and principal payments are guaranteed, as in the case of Treasury obligations. – Why do bond prices respond to interest rate fluctuations? ? In a petitive market all securities must offer investors fair expected rates of return. ?價(jià)格對(duì)市場(chǎng)利率變化的敏感度 ?債券定價(jià)定理：說明市場(chǎng)收益變化和價(jià)格變動(dòng)之間的關(guān)系。 ?假設(shè)每年支付一次利息，以到期收益為研究對(duì)象： –如果債券的市場(chǎng)價(jià)格上升，則收益下降；反過來，如果債券價(jià)格下降，則收益上升。 –如果債券的收益在到期日之前不變，則它的折價(jià)或者酬金的規(guī)模將隨著到期日的接近而下降。 Today Maturity Date Par Value Price of a premium bond Price of a discount bond premium discount –如果債券的收益在到期日之前不變，則它的折價(jià)或者酬金的規(guī)模隨著到期日的靠
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