08-2010本科-债券久期凸性与免疫策略

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1、教学要点社会保险基金管理：投资运用债券相关基础久期含义、种类与特点久期与资产负债管理、利率风险管理债券久期-凸性与资产负债管理、免疫策略久期的适用性凸性含义与特点E-mail:chenzhitom@163.net凸性与资产负债管理、利率风险管理12一、债券相关基础一、债券相关基础Onthehand,abondholderhasagreaterclaimonanissuer's1、债券含义incomethanashareholderinthecaseoffinancialdistress(thi

2、sistrueforallcreditors).BondsareoftendividedintodifferentAdebtinstrumentissuedforaperiodofmorethanoneyearwithcategoriesbasedontaxstatus,creditquality,issuertype,maturitythepurposeofraisingcapitalbyborrowing.TheFederalandsecured/unsecured(andtherearesevera

3、lotherwaystoclassifygovernment,states,cities,corporations,andmanyothertypesofbondsaswell).institutionssellbonds.Theyieldfromabondismadeupofthreecomponents:couponinterest,capitalgainsandinterestoninterest(ifabondpaysnoGenerally,abondisapromisetorepaythepr

4、incipalalongwithcouponinterest,theonlyyieldwillbecapitalgains).interest(coupons)onaspecifieddate(maturity).SomebondsdonotAbondmightbesoldataboveorbelowpar(theamountpaidoutpayinterest,butallbondsrequirearepaymentofprincipal.atmaturity),butthemarketpricewil

5、lapproachparvalueasthebondapproachesmaturity.AriskierbondhastoprovideahigherWhenaninvestorbuysabond,he/shebecomesacreditorofthepayouttocompensateforthatadditionalrisk.issuer.However,thebuyerdoesnotgainanykindofownershipSomebondsaretax-exempt,andthesearet

6、ypicallyissuedbyrightstotheissuer,unlikeinthecaseofequities.municipalorstategovernments,whoseinterestpaymentsarenot34subjecttofederalincometax,andsometimesalsostateorlocal一、债券相关基础一、债券相关基础债券的含义及特征息票债券（couponbond)与零息债券（zero-couponbond）Couponbond:Anunregiste

7、red,negotiablebondonwhichinterestand1、债券含义：筹资者依法发行，并且承诺按一定利率、约定principalarepayabletotheholder,regardlessofwhomitwasoriginallyissuedto.期限支付利息、到期偿还本金的债权债务凭证。Thecouponsareattachedtothebond,andeachcouponrepresentsasingleinterestpayment.Theholdersubmitsacoupon,

8、usuallysemi-annually,tothe2、特点issuerorpayingagenttoreceivepayment.（1）依法发行。zero-couponbond:Abondwhichpaysnocoupons,issoldatadeepdiscounttoitsfacevalue,andmaturesatitsfacevalue.Azero-couponbondhasthe（2）性质：债权债务