债券定价和风险管理概述.ppt
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1、第八章 债券定价和风险管理n CAPM,APT:treat securities at a high level of abstraction,assuming implicitly that a prior,detailed analysis of each security already had been performed,and that its risk and return features had been assessed.n Specific analyses of particular security markets:valuation principles,deter
2、minants of risk and return,portfolio strategies commonly used within and across the various marketsn 固定收益证券n Promise either a fixed stream of income or a stream of income that is determined according to a specified formula.n Have the advantage of being relative easy to understand because the level o
3、f payments is fixed in advance.n Risk consideration are minimal as long as the issuer of the security is sufficiently creditworthy.n Bond analysis n Bond attributesn Bond pricingn Appropriate yield to maturityn Intrinsic valuen The relationship between the yield and pricen Bond risk managementn When
4、 the maturity and the payment time is not consistentn Interest riskn Reinvestment riskn The approach of risk managementn Durationn Convexity1.Bond analysisn 债券是最基本的固定收益证券。n 债券的定价n 债券的特性1.1 Capitalization of Income Method of Valuen Promised yield-to-maturityn 如果,则定价过低(underpriced)。n 如果,则定价过高(overpric
5、ed)。n 的确定依赖于债券的特征以及现时的市场条件。n 例子:一个债券,现价为900 元,面值为1000 元,三年到期,息率为6%。得到n 如果通过分析,得到n 问题:定价如何?如何确定?n Intrinsic valuen 例子:n 两种程序所得结果的一致性,即价格与回报率之间的关系。n 为了利用Capitalization of Income Method of Value,必须决定,的值。n 和 容易确定n 的确定依赖于投资者对债券的特征的主观看法,以及现实的市场条件。从而债券分析中,最关键的部分是确定1.2 Bond attributesn 在债券定价过程中,债券的六个重要的属性:n
6、 length of time until maturityn coupon raten call provisionsn tax statusn marketability n likelihood of defaultn 在任何时间,这些性质不同的债券的市场价格结构,以到期收益来描述。整个结构也称为收益结构(yield structure)。n 期限结构(different maturities):不同到期日n 风险结构(different default risk):不同违约风险n yield spread:两种债券之间的收益差。n 被考虑债券和具有相同的到期日和息率的无违约风险债券n
7、定价是一个相对的概念n Coupon rate and length of time until maturityn 这两个性质决定了发行者承诺支付给持有者的现金流的时间和规模。n 由这两个属性可以决定债券的到期收益率,再与基准的收益率作比较。通常以国库券的到期收益作为基准。n 例子:前面例子里的债券与下面的国库券比较:面值1000 元,息率5%,价格910.61 元。到期收益为8.5%,yield spread 为152 个基点。n Call and put provisionsn call pricen call premiumn 当收益率剧烈下降后,债券的发行者回购已经发行的债券具有财务
8、上的优势,因为发行者能够用收益更低的债券来代替。n 例子:考虑10 年期债券以面值(1000 元)发行,息率为12%,上市5 年以后,可以以回购价格1050 元进行回购。5 年后,类似的5 年期的债券的收益为8%。n 为什么会回购n 10 年的到期收益(实际回报)为10.96%。n Yield to calln 例子:面值为1000 元,息率8%,30 年到期的无回购协议的债券和面值为1000 元,息率8%,30年到期,回购价格为1100 元的债券n pricen 1200n 1000n 0 5%10%15%20%interest raten At high interest rates,th
9、e risk of call is negligible,and the values of the straight and callable bonds converge.At lower rates,however,the values of bonds begin to diverge,with the difference reflecting the value of the firms option to reclaim the callable bond at the call price.n 两者之差反映了公司以1100 元进行回购这样一个权利的价值。n 当有回购风险时,更加
10、关注回购收益而不是到期收益n 回购收益的计算n 例子:假设息率为8%,30 年到期的债券价格为1150 元,10 年后以1100 元回购n 回购收益为6.64%,到期收益为6.82%n The higher the coupon rate of a callable bond,the greater is the likely divergence between actual and promised yields.n 一般来说,息率超过5%的债券都会回购n 回购可能性越大,到期收益应该越高,即,息率越高,或者回购酬金越低,到期收益应该越高n 当别的性质相同时,息率越高或者回购酬金越低的可回
11、购债券,其内在价值(intrinsic value)应该越低。n Put provisionsn putable bondsn 当利率上涨时,投资者采用该策略n Tax statusn 因为税收的延迟性,低息债券比高息债券有更高的内在价值。n Marketabilityn 度量债券流动性的一个方式是Bid-Ask spreadn 交易活跃的债券比交易不活跃的债券具有更低的bid-ask spread.n 交易活跃的债券比交易不活跃的债券具有更低的到期收益和更高的内在价值。n Likelihood of defaultn investment graden speculative graden
12、对公司债券而言,好的级别一般与下列条件有关:n 低的财务杠杆n 大的和稳定的利润n 大的公司规模n 大的现金流n 从属债务少n 级别评估公司以发行公司的财务比的水平和未来趋势为基础,通过建立模型对公司债券级别进行评估:n Coverage ratios-ratio of company earnings to fixed costsn Leverage ratio-debt to equity ration Liquidity ratios-current assets to current liability ration Profitability ratios-return on ass
13、ets or equityn Cash flow-to-debt ratio-total cash flow to outstanding debtn 债券有违约风险,计算期望到期收益率(expected yield-to-maturity)n 只要有违约或者推迟支付的可能,期望收益就会小于承诺收益(promised yield)n 一般来说,违约的风险越大,违约时损失的数量越大,在收益上的差别越大。n Promised yield to maturity and expected yield to maturity.n 例子:在1993 年8 月,Wang Laboratories,Inc.
14、即将破产,它的到期日为2009 年的债券发行时以面值的35%折价发行,使得Promised yield to maturity 超过26%。投资者并不真正期望获得26%的回报率,他们预期不可能得到所有承诺支付,以期望现金流为基础的收益远远小于以承诺现金流为基础的收益。n 例子:某公司20 年前发行的债券还有10 年到期,息率为9%,现在公司有财务困难,投资者预期利息将不受影响,但在到期日,公司将破产,投资者只能得到面值的70%,债券现在的价格为750 元。具体情况见下表n 承诺到期收益为13.7%.n 期望到期收益为11.6%n Default premium:the difference b
15、etween the promised yield on a corporate bond and the expected yield.n 违约的概率越大,违约酬金越高。n 一个关于违约酬金大小的模型:n 如果每期违约的概率为,违约时支付的数量为前一年市价的,则当债券公平定价时承诺的到期收益 为n 承诺到期收益和期望到期收益 之间的差为债券的违约酬金。n 例子:n One particular manner in which yield spreads seem to very over time is related to the business cycle.Yield spreads
16、tend to be wider when the economy is in a recession.Apparently,investors perceive a higher probability of bankruptcy when the economy is faltering,even holding bond ratings constant.They require a commensurately higher default premium.n Risk premiumn 对风险债券而言,它的期望到期收益和具有同样到期日、息率的无风险债券到期收益之间的差称为风险酬金。n
17、 每种具有违约风险的债券都有违约酬金。但风险酬金是另一种酬金。n 例子:考虑一组公司,都有破产的可能性,但破产的原因各不相同,由这些公司的债券组成的证券组合的实际回报率近似等于其期望回报率,系统风险为0。每种债券的风险酬金为0,但违约酬金显然大于0。n 一种债券,它的持有期收益率可能和别的债券以及股票的收益率相关。最重要的,在某种程度上,它 的持有期收益率可能和风险分散化的市场证券组合的收益率相关。这部分风险称为债券的系统风险,使得债券具有风险酬金,以它的期望收益率与无违约风险利率的差表示。n 例子:n Default premiumn yieldn spread Risk premiumDe
18、fault-free yield-to-Maturity12%promised yield-to-maturity9%expected yield-to-maturity8%yield-to-maturity on a default-freebond of similar and coupon rate0%n 债券的违约性越大,它对市场潜在的敏感度越大。n 实证结果表明,债券的级别越低,平均回报率越高,标准差越大。n 实证结果表明,与股票市场比较,级别越低的债券,对股票市场的波动敏感性越大。预测违约的财务比(financial ratio)n 对一个公司而言,当下面情况发生时,违约的概率变大
19、:n the existing cash balance is smallern the expected net cash flow is smallern the net cash flow is more variablen 单变量方法n 多变量方法单变量方法n the ratio of net cash flow(income before depreciation,depletion,and amortization charges)to total debt 多变量方法n Z-scoren=(current assets-current liabilities)/total ass
20、etsn=retained earnings/total assetsn=earnings before interest and taxes/total assetsn=market value of equity/book value of total debtn=sales/total assetsn Z-score 小于1.8 公司作为违约对象,并且Z-score 越小,违约的可能性越大。1.3.Yield spread 的确定n 评估 yield spread 的四种测度:n The extent to which the firms net income had varied ov
21、er the preceding nine years(measured by the coefficient of variation of earnings-that is,the ratio of standard deviation of earnings to average earnings)n The length of time that the firm had operated without forcing any of its creditors to take a loss.n The ratio of the market value of the firms eq
22、uity to the par value of its debt.n The market value of the firms outstanding debt.n Yield spread=1.987n+0.307(earnings variability)n-0.253(time without default)n-0.537(equity/debt ratio)n-0.275(market value of debt)n This form of the relationship accounted for roughly 75%of the variation in the bon
23、ds yield spread1.4.债券定价n 给定合理的利率,给债券公平定价n 何为合理利率?n 合理的利率(或者折现率)是由市场唯一确定的,包括:n 实利率n 通货膨胀率n yield spreadn 一级市场:以面值发行息率近似为市场收益率n 二级市场:债券价格受市场的影响,市场利率波动是固定收入证券市场的主要风险根源。n The inverse relationship between price and yield is a central feature of fixed-income securities.Interest rate fluctuations represent
24、 the main source of risk in the fixed-income market,and one key factor that determines that sensitivity is the maturity of the bond.A general rule in evaluating bond price risk is that,keeping all other factors the same,the longer the maturity of the bond,the greater the sensitivity of price to fluc
25、tuations in the interest rate.This is why short-term Treasury securities such as T-bills are considered to be the safest.They are free not only of default risk,but also largely free of price risk attributable to interest rate volatility.n 当息率等于市场利率时,价格等于面值n In these circumstances,the investor receiv
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