金融市场与金融机构第五章

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1、UNDERSTANDINGINTERESTRATESChapter3BEHAVIOROFINTERESTRATESChapter4THERISKANDTERMSTRUCTUREOFINTERESTRATESChapter5THETHEORYOFEFFICIENTCAPITALMARKETSChapter6PartIIPrinciplesofFinancialMarketsChapterFiveTHERISKANDTERMSTRUCTUREOFINTERESTRATESPartIIPrinciplesofFinancialMarketsChapterOutlineRiskStructure

2、ofInterestRateTermStructureofInterestRateriskstructureofinterestrates利率的风险结构:Therelationshipamongthevariousinterestratesonbondswiththesametermtomaturity.RiskStructureofInterestRateRiskStructureofLongBondsintheUnitedStatesLong-termBondYields,1919-1998DefaultRisk违约风险Thisisthepossibilitythattheborro

3、werwillnotmakepromisedpayments-eitherontimeorinfull.Abondwithdefaultriskwillalwayshaveapositiveriskpremium,andanincreaseinitsdefaultriskwillraisetheriskpremium.Thespreadbetweentheinterestratesonbondswithdefaultriskanddefault-freebonds,calledtheriskpremium风险溢价BondslikeU.S.Treasurybondswithnodefaul

4、triskarecalleddefault-freebonds无违约风险债券.IncreaseinDefaultRiskonCorporateBondsDefaultRisk:Analysts'assessmentsExample:LowQuality,speculative,Investment-Qualityand/or“Junk”HighMediumLowVeryLowGradeS&P’sAAAAAABBBBBBCCCCCCDMoody’sAaaAaABaaBaBCaaCaCCHowdoes“theratingsgame”work?Bondswithrelativelylowris

5、kofdefaultarecalledinvestment-gradesecurities投资级债券andhavearatingofBaa(orBBB)andabove.BondswithratingsbelowBaa(orBBB)havehigherdefaultriskandhavebeenaptlydubbedspeculative-gradeorjunkbonds垃圾债券.Becausethesebondsalwayshavehigherinterestratesthaninvestment-gradesecurities,theyarealsoreferredtoashigh-

6、yieldbonds高收益债券.5-,10-,15-,and20-yearcumulativedefaultrates(1970-1995)LiquidityRisk流动性Investorsmustbeconcernedwithpossibilityofbeingunabletoquicklyconverttheirsecuritiesholdingstocash.LiquidityPremiumsHighlyliquidassetscarrythelowestrates,lowliquiditysecuritiestypicallypayaliquiditypremium.Decrea

7、seinLiquidityofCorporateBondsIncometaxeffectsSupposeyoupurchaseda$10,000three-yearcorporatebondthatpays$850ininteresteachyear.Yourmarginaltaxrateis28%.Ifyouboughtthebondatpar,yourafter-taxinterestincomeequals$612annual