債券定價(jià)和風(fēng)險(xiǎn)管理-資料下載頁(yè)
2025-03-09 15:27本頁(yè)面
【正文】 占的比例 – 按這一比例構(gòu)造債券組合 ?Immunization –兩種不同的看待利率風(fēng)險(xiǎn)的方式 ? 銀行，使得資產(chǎn)凈現(xiàn)值不受利率波動(dòng)的影響 ? 養(yǎng)老金，使得資產(chǎn)將來(lái)的值不受風(fēng)險(xiǎn)的影響 –通過(guò)適當(dāng)調(diào)整證券組合的到期日結(jié)構(gòu)，規(guī)避利率風(fēng)險(xiǎn) – Net worth immunization ? 先計(jì)算承諾的現(xiàn)金流的 duration，再投資在一個(gè)具有相同 duration的證券組合。 –例子：承諾在兩年后支付 1000000元，有兩種債券可供選擇： –債券 1年 2年 3年 yield – 1 80 80 1080 10% – 2 1070 10% – 121 ?? ww 21 ???? w? 例子：保險(xiǎn)公司以價(jià)格 10000元發(fā)行一種guaranteed investment contract(GIC)， 5年到期，保證利率為 8%。假設(shè)公司選擇購(gòu)買息率 8%， 6年到期的以價(jià)格 10000元發(fā)行的帶息債券為債務(wù)提供基金。 – 價(jià)格風(fēng)險(xiǎn) – 重投資風(fēng)險(xiǎn) ? Terminal value of a bond portfolio after 5 years (all proceeds reinvested) ? A. rates remain at 8% 1 4 800 ? ?4? =10 8 2 3 800 ? ?3? 100 3 2 800 ? ?2? 933. 1 24 1 800 ? ?1? 8645 0 800 800Sal e of b o nd 0 108 00 / 100 00146 8? Terminal value of a bond portfolio after 5 years (all proceeds reinvested) ? B. rates fall to 7% 1 4 800 ? ?4?2 3 800 ? ?3?3 2 800 ? ?2?4 1 800 ? ?1?5 0 800Sal e of b o nd 0 108 00 / 146 5? Terminal value of a bond portfolio after 5 years (all proceeds reinvested) ? C. rates increase to 9% 1 4 800 ? ?4?2 3 800 ? ?3?3 2 800 ? ?2?4 1 800 ? ?1?5 0 800Sal e of b o nd 0 108 00 / 146 2? Accumulated value of invested funds ? funds ? 0 t* D t ? value ? 10000 ? 6000 ? 8% interest rate Coupon bond Single payment obligation ? 在 8%，資產(chǎn)和債務(wù)的現(xiàn)值相等；當(dāng)利率變化幅度不大時(shí)，資產(chǎn)和債務(wù)的值的變化量相等；當(dāng)利率變化幅度很大時(shí)，資產(chǎn)和債務(wù)值的變化量不再相等。 ? 當(dāng)資產(chǎn)的收益變化時(shí)，其久期也發(fā)生了變化，這時(shí)，資產(chǎn)和債務(wù)的久期不再相匹配。 ? 即使利率不變，當(dāng)時(shí)間變化時(shí)，久期也會(huì)發(fā)生變化 ? Rebalancing immunized portfolio ? Even if an obligation is immunized at the outset, as time passes the durations of the asset and liability will fall at different rates. Without portfolio rebalancing, durations will bee unmatched and the goals of immunization will not be realized. ? Immunization is a passive strategy only in the sense that it does not involve attempts to identify undervalued securities. Immunization mangers still actively update and monitor their positions. ?例子：假設(shè)證券組合經(jīng)理在 7年后有一筆19487元的債務(wù)，以現(xiàn)在 10%的市場(chǎng)利率計(jì)算現(xiàn)值為 10000元。經(jīng)理希望通過(guò) 3年的零息債券和永久性現(xiàn)金流來(lái) immunize這筆債務(wù)。 –對(duì)永久性現(xiàn)金流，在利率 10%之下的久期是11年。設(shè) 為零息債券的權(quán) ? 711)1(3 ????? ???–第 2年，即使利率不變，經(jīng)理也需要調(diào)整策略 – An appropriate promise must be established between the desire for perfect immunization and the need to control trading costs. 611)1(2 ????? ??– Immunization 在實(shí)際中 的問(wèn)題 ? multiple nonparallel shifts in a nonhorizontal yield curve ? 通貨膨脹 – On this note, it is worth pointing out that immunization is a goal that may well be inappropriate for many investors who would find a zerorisk portfolio strategy unduly conservative. Full immunization is a fairly extreme position for a portfolio manager to pursue. Active bond management ?Interest rate forecasting ?identification of relative mispricing 謝 謝 :01:2100:0100::01 00:0100:01::01:21 2023年 3月 28日星期二 12時(shí) 1分 21秒 演講完畢，謝謝觀看！
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