文档介绍：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 monly used within and across the various markets
固定收益证券
is a claim on a specified period stream of e.
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.
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
Capitalization of e Method of Value
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。
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?
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。
为了利用Capitalization of e 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。
Bond attributes
在债券定价过程中,债券的六个重要的属性:
length of time until maturity
coupon rate
call provisions
tax status
marketability
likelihood of default