LectureNotes_2_2011金融风险管理.pdf

《LectureNotes_2_2011金融风险管理.pdf》由会员上传分享，免费在线阅读，更多相关内容在应用文档-天天文库。

1、Chapter5:OptimalPortfoliowithFixed-IncomeAssetsThetermstructureofinterestratesChapter5OptimalPortfolioswithFixed-IncomeAssetsMaintopicsThetermstructureofinterestratesMeasuringinterestrateriskAsset/Liabilitymanagement–Portfoliodedication–PortfolioimmunizationcYongga

2、nZhao,SchoolofBusinessAdministration,DalhousieUniversity91Chapter5:OptimalPortfoliowithFixed-IncomeAssetsThetermstructureofinterestrates5.1Thetermstructureofinterestrates5.1.1YieldcurveLetPbethepriceofabondwithtimetomaturityT,thequantityysuchthatC1CT1CT+FP=+


++1+y(

3、1+y)T1(1+y)Tiscalledtheyieldtomaturity,whereC1;


;CTarethecoupons,Fisthefacevalue,andTismeasuredinyears.Theyieldtomaturityofabondisstronglytiedtogeneralconditionsinthefixed-incomesecuritiesmarket.Allyieldstendtomovetogether,butwithdif-ferentmagnitudes.Thevariationiny

4、ieldsacrossbondsisexplainedinpartbythebondqualities.Anotherfactoristhetimetomaturityofabond.Longtermbondsusuallyhavealargeryieldthanshorttermbonds.cYongganZhao,SchoolofBusinessAdministration,DalhousieUniversity92Chapter5:OptimalPortfoliowithFixed-IncomeAssetsThetermst

5、ructureofinterestratesThetreasuryyieldcurvedisplaystheyieldofaTreasurysecurityasafunc-tionofthecorrespondingtimetomaturity(Figure1).InvestorscanplaceaFigure1:Treasuryyieldcurvecorporatebondonthematurity-yieldspacetoseeageneralindicationofhowitispricedrelativetotreasur

6、ies.Ifitisfarfromthecurve,thereisprobablycYongganZhao,SchoolofBusinessAdministration,DalhousieUniversity93Chapter5:OptimalPortfoliowithFixed-IncomeAssetsThetermstructureofinterestratesareason,relatedtoaspecialfeaturesuchasacallprovisionornewsaffectingthequalityofthebo

7、nd.5.2ThetermstructureUnlikeyieldcurve,termstructurefocusesonpureinterestsarisingfromin-vestments.Supposeyouinitiallyinvest$M0andreceived$Mtattimet.Howdowemeasuretheinvestmentreturn?SpotratesSpotratesarethebasicinterestratesdefiningthetermstructure.Thespotratestisthera

8、teofinterest,expressedinyearlyterm,suchthat1=tM=M(1+s)t)s=Mt1t0ttM0wheretismeasuredinyears-yearlycompounding.Undertheconv