金融市场5risk and term structure of interest rate

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1、PartIIPrinciplesofFinancialMarketsUNDERSTANDINGINTERESTRATESChapter3BEHAVIOROFINTERESTRATESChapter4THERISKANDTERMSTRUCTUREOFINTERESTRATESChapter5THETHEORYOFEFFICIENTCAPITALMARKETSChapter6Slide5-1SchoolofManagementinHUSTPartIIPrinciplesofFinancialMarketsCh

2、apterFiveTHERISKANDTERMSTRUCTUREOFINTERESTRATESSlide5-2SchoolofManagementinHUSTChapterOutlineRiskStructureofInterestRateTermStructureofInterestRateSlide5-3SchoolofManagementinHUSTRiskStructureofInterestRateriskstructureofinterestrates利率的风险结构:Therelationsh

3、ipamongthevariousinterestratesonbondswiththesametermtomaturity.Slide5-4SchoolofManagementinHUSTRiskStructureofLongBondsintheUnitedStatesLong-termBondYields,1919-1998Slide5-5SchoolofManagementinHUSTDefaultRisk违约风险Thisisthepossibilitythattheborrowerwillnotm

4、akepromisedpayments-eitherontimeorinfull.Abondwithdefaultriskwillalwayshaveapositiveriskpremium,andanincreaseinitsdefaultriskwillraisetheriskpremium(风险溢价).Slide5-6SchoolofManagementinHUSTBondslikeU.S.Treasurybondswithnodefaultriskarecalleddefault-freebond

5、s无违约风险债券.Thespreadbetweentheinterestratesonbondswithdefaultriskanddefault-freebonds,calledtheriskpremium风险溢价Slide5-7SchoolofManagementinHUSTIncreaseinDefaultRiskonCorporateBondsSlide5-8SchoolofManagementinHUSTDefaultRisk:Analysts'assessmentsExample:LowQua

6、lity,speculative,Investment-Qualityand/or“Junk”HighMediumLowVeryLowGradeS&P’sAAAAAABBBBBBCCCCCCDMoody’sAaaAaABaaBaBCaaCaCCHowdoes“theratingsgame”work?Slide5-9SchoolofManagementinHUSTBondswithrelativelylowriskofdefaultarecalledinvestment-gradesecurities投资级

7、债券andhavearatingofBaa(orBBB)andabove.BondswithratingsbelowBaa(orBBB)havehigherdefaultriskandhavebeenaptlydubbedspeculative-gradeorjunkbonds垃圾债券.Becausethesebondsalwayshavehigherinterestratesthaninvestment-gradesecurities,theyarealsoreferredtoashigh-yieldb

8、onds高收益债券.Slide5-10SchoolofManagementinHUSTSlide5-11SchoolofManagementinHUST5-,10-,15-,and20-yearcumulativedefaultrates(1970-1995)Slide5-12SchoolofManagementinHUSTLiquidityRisk流动性Investorsmustbeconcernedwithpossibil