北京大学：《证券投资学》课程PPT教学课件（MBA）第八章 债券定价和风险管理

第八章债券定价和风险管理

第八章 债券定价和风险管理

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 commonly used within and across the various markets

◼ 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 commonly used within and across the various markets

■固定收益证券 Promise either a fixed stream of income or a stream of income 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

◼ 固定收益证券 ◼ Promise either a fixed stream of income or a stream of income 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

◼ 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 ■债券是最基本的固定收益证券。 ■债券的定价 债券的特性

1. Bond analysis ◼ 债券是最基本的固定收益证券。 ◼ 债券的定价 ◼ 债券的特性

1. 1 Capitalization of Income method of value

1.1 Capitalization of Income Method of Value

Promised yield-to-maturity P=∑ t=1 1+y ■如果y>y,则定价过低( underpriced)。 如果y<y,则定价过高( overpriced) ■y’的确定依赖于债券的特征以及现时的市 场条件

◼ Promised yield-to-maturity ◼ 如果 ，则定价过低(underpriced)。 ◼ 如果 ，则定价过高(overpriced)。 ◼ 的确定依赖于债券的特征以及现时的市 场条件。 ( ) = + = n t t t y C P 1 1 * y  y * y  y * y

例子:一个债券,现价为900元,面值为 1000元,三年到期,息率为6%。得到 y=10.02% ■如果通过分析,得到 y=9.009 问题:定价如何?如何确定y?

◼ 例子：一个债券，现价为900元，面值为 1000元，三年到期，息率为6%。得到 ◼ 如果通过分析，得到 ◼ 问题：定价如何？如何确定 ？ y =10.02% y* = 9.00% * y

a Intrinsic value ∑ 11+ 例子:T=924.06 两种程序所得结果的一致性,即价格与 回报率之间的关系

◼ Intrinsic value ◼ 例子： ◼ 两种程序所得结果的一致性，即价格与 回报率之间的关系。 ( ) = + = n t t t y C V 1 * 1 V = 924.06

为了利用 Capitalization of Income Method of value,必须决定C,,P,y 的值 C,和P容易确定 的确定依赖于投资者对债券的特征的 主观看法,以及现实的市场条件。从而 债券分析中,最关键的部分是确定y

◼ 为了利用Capitalization of Income Method of Value，必须决定 ， ， 的值。 ◼ 和 容易确定 ◼ 的确定依赖于投资者对债券的特征的 主观看法，以及现实的市场条件。从而 债券分析中，最关键的部分是确定 P * y Ct * y Ct P * y