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chap2利率风险管理.pptx

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Chap 2. 利率风险管理王海艳 博士 副教授wanghaiyan@tongji.edu.cn课程内容利率的期限结构利率敏感性利率风险的传统度量方法影响利率的因素中央银行的货币政策中央银行货币政策的目标:钉住某一利率/钉住银行准备金金融市场全球一体化加速了利率的变动和各国利率波动之间的传递中央银行货币政策的影响1. Term Structure of interest RateThe structure of interest rates for discounting cash flows of different maturities. (不同证券的市场收益率或利率)Yield curve(收益率曲线): 收益与到期期限的关系flat, upward-sloping, downward-sloping, humped-shapedBond stripping / bond reconstitution1. 利率期限结构三个主要理论: 无偏预期理论 流动性溢价理论 市场分割理论1. 利率期限结构 无偏预期理论某一特定时间下的收益曲线反映了当时市场对未来短期利率的预期。长期利率是现行的短期利率与预期的短期利率的几何平均值。缺陷:远期利率并非能对未来利率进行最佳预测(未来利率以及货币政策的不确定性,导致持有长期证券是有风险的)。1. 利率期限结构 流动性溢价理论考虑了未来的不确定性;长期利率等于现行利率与预期短期利率加上流动性溢价的几何平均数。流动性溢价随着期限增加而上涨。1. 利率期限结构 市场分割理论投资者有着各自特有的期限偏好,因此不同到期期限的证券之间不是完全的替代品,投资者意愿的持有期是由其拥有的资产和负债的性质决定的。比较:银行,寿险公司利率是由某个期限等级或某个分割市场内的供求条件决定的。Term Structure of interest RateYield Curve under CertaintyConsider 2-year bond strategies:1. buying the 2-year zero offering a 2-year yield to maturity of 6%, and holding it until maturity2. Invest the same price in a 1-year zero-coupon bond with a yield to maturity of 5%. Then reinvest in another 1-year bond.ExampleWe compare two 3-year strategies. One is to buy a 3-year zero, with a yield to maturity of 7%, and hold it until maturity. The other is to buy a 2-year zero yielding 6%, and roll the proceeds into a 1-year bond in year 3, at the short rate r3. Forward RatesTotal growth factor of an investment in an (n-1)-year zeroInterest Rate Uncertainty Forward RatesIn a certain world:Two consecutive 1-year investments in zeros would need to offer the same total return as an equal-sized investment in a 2-year zero.Interest Rate Uncertainty Forward RatesExample(Certainty): Suppose that today’s rate is r1=5%, and that the expected short rate for the following year is E(r2)=6%. If investors cared only about the expected value of the interest rate, what would be the price of a 2-year zero?Interest Rate Uncertainty Forward RatesExample(Certainty): Now consider a short term investor who wishes to invest only for 1 year.
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