市场风险管理

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1、金程教育FRM上海强化班讲义市场风险讲师：甘润日期：2009年10月地点：■上海□北京□深圳1Thelogicof“fixed”incomesecuritiesConvexityPriceDuration:MD/MD/EDncashflowtP=∑tt1=()1discountrate+DiscountCashflowRate(types)Base:SpreadBond:IssuerTermNominalOptionfreestructureZero-volatilitywithoptionMBSOAS专业来

2、自百分百的投入Copyright2009ByGFEDU2PricinglogicP=∑(CFt×discountfactort)CFtP=∑t()1+discountratetSpotrateForwardrateCFCFCFCF12P=1+2+...P=++...2(1+f)(1+f)(1+f)(1+z1)(1+z2)101110专业来自百分百的投入Copyright2009ByGFEDU3Pricinglogic¾Forwardratesareinterestratesthatspanfutureperi

3、ods.¾2007-Q10¾Thepriceofathree-yearzerocoupongovernmentbondis85.16.Thepriceofasimilarfour-yearbondis79.81.Whatistheone-yearimpliedforwardrateformyear3toyear4?A.5.4%B.5.5%C.5.8%D.6.7%专业来自百分百的投入Copyright2009ByGFEDU4PricinglogicExampleSupposea1000parvalueUScor

4、poratebondpaysasemi-annual10percentcoupononJanuary1andJuly1.AssumethatitisnowApril1,2005,andthebondmaturesonJuly1,2015.Computetheinvoice(full)priceofthisbondiftherequiredannualyieldis8percent.Computetheflat(clean)priceoftheabovebond（对于buyer而言，将要收到的金额中有一部份实际

5、是属于seller的利息。支付的总价略高是由于seller把收取下笔利息的权利给了buyer）专业来自百分百的投入Copyright2009ByGFEDU5TermstructureShort-term(spot)rate(7%)ForwardrateLong-term(spot)rate(8%)z+f111Pureexpectation→z=22z+f111Liquiditypreference→z=+liq.premium22专业来自百分百的投入Copyright2009ByGFEDU6Example¾W

6、heninvestorsanticipatestablefutureinflationrate,thepureexpectationtheoryandtheliquiditypreferencetheory,respectively,suggestthatshortterminterestratenowwillbe:PureexpectationtheoryLiquiditypreferencetheoryAEqualtolongtermrateEqualtolongtermrateBEqualtolongt

7、ermrateLowerthanlongtermrateCLowerthanlongtermrateEqualtolongtermrateDLowerthanlongtermrateEqualtolongtermrate专业来自百分百的投入Copyright2009ByGFEDU7TermstructureMarketsegmentationtheory¾Thistheorysaysthatdifferentmaturitysectorsrepresentdistinctmarketswiththeirown

8、demandsandsupplyforces.Market1SupplyandInterestdemand1rate1DifferentSupplyandInterestMarket2maturitydemand2rate2@@@¾This,therefore,impliesthattheshapeandleveloftheyieldcurve,aswellasbeingdeterminedbyli