Wednesday, July 15, 2009

股市,债券,金融衍生品,金融风险管理手册

Financial Risk Management Handbook
金融风险管理手册

1. 债券

债券对应未来的现金流,每期收入为一定利息,面值 * 票息(face value * coupon rate),到期时收入为面值加上当期的利息。未来的现金流可以通过贴现率(discount rate, yield)换算成现值。

国内的债券一般一年一付,贴现率即收益率,有税前和税后之分。

现值-贴现率 曲线是凸的,即贴现率越大,现值越低。为了衡量对贴现率的敏感程度,采用两个参数——久期(duration)和凸性(convexity)。 

重要公式


其中
y: yield
C_t : t 期的现金流,对于债券,每期现金流为 face value * coupon rate, 最后一期现金流为face value * coupon rate + face value
P: present value
Conventional duration 又称为 Macaulay duration

Risk management 的主要研究一个量的变动对于另一个量变动的影响,主要工具是 Talyor 展开。对于债券,对 P=f(y) 进行二阶泰勒展开。
一阶对应久期,二阶对应凸性。
Dollar duration measures the (negative) slope of the tangent to the price-yield curve at the starting point.
Convexity is always positive for regular coupon-paying bonds. Greater convexity is beneficial both for falling and rising yields.
(Macaulay) duration represents an average of the time to wait for all cash flows.

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