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1、Chapter14:BondPricesandYieldsChapterOpenerp.439PART IVINTHEPREVIOUSchaptersonriskandreturnrelationships,wetreatedsecuritiesatahighlevelofabstraction.Weassumedimplicitlythataprior,detailedanalysisofeachsecurityalreadyhadbeenperformed,andthatitsriskandreturnfeatureshadbe
2、enassessed. Weturnnowtospecificanalysesofparticularsecuritymarkets.Weexaminevaluationprinciples,determinantsofriskandreturn,andportfoliostrategiescommonlyusedwithinandacrossthevariousmarkets. WebeginbyanalyzingdebtsecuritiesBonds;alsocalledfixed-incomesecurities..Ad
3、ebtsecurityisaclaimonaspecifiedperiodicstreamofincome.Debtsecuritiesareoftencalledfixed-incomesecuritiesbecausetheypromiseeitherafixedstreamofincomeorastreamofincomethatisdeterminedaccordingtoaspecifiedformula.Thesesecuritieshavetheadvantageofbeingrelativelyeasytounders
4、tandbecausethepaymentformulasarespecifiedinadvance.Riskconsiderationsareminimalaslongastheissuerofthesecurityissufficientlycreditworthy.Thatmakesthesesecuritiesaconvenientstartingpointforouranalysisoftheuniverseofpotentialinvestmentvehicles. Thebondisthebasicdebtsecur
5、ity,andthischapterstartswithanoverviewoftheuniverseofbondmarkets,includingTreasury,corporate,andinternationalbonds.Weturnnexttobondpricing,showinghowbondpricesaresetinaccordancewithmarketinterestratesandwhybondpriceschangewiththoserates.Giventhisbackground,wecancomparet
6、hemyriadmeasuresofbondreturnssuchasyieldtomaturity,yieldtocall,holding-periodreturn,orrealizedcompoundrateofreturn.Weshowhowbondpricesevolveovertime,discusscertaintaxrulesthatapplytodebtsecurities,andshowhowtocalculateafter-taxreturns.Finally,weconsidertheimpactofdefaul
7、torcreditriskonbondpricingandlookatthedeterminantsofcreditriskandthedefaultpremiumbuiltintobondyields.Creditriskiscentraltobothcollateralizeddebtobligationsandcreditdefaultswaps,soweexaminetheserelativelynewinstrumentsaswell.Chapter14:BondPricesandYields14.1BondCharacte
8、risticsp.440AbondAsecurityissuedbyaborrowerthatobligatestheissuertomakespecifiedpaymentstotheholderoveraspecif