第八章债券定价和风险管理(证券投资学北大,杨云红).pptx
- 文单招、专升本试卷定制企业认证 |
- 2021-08-01 发布|
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- 112页
第八章 债券定价和风险管理;;;;1. Bond analysis;1.1 Capitalization of Income Method of Value;;;;;1.2 Bond attributes;;;;;;;;;;;;;;;;;;;;;;;;;;;;;预测违约的财务比(financial ratio);单变量方法;多变量方法;;;1.3. Yield spread 的确定;;1.4. 债券定价;;;;;;;;;2. Fixed-income portfolio management;2.1 利率风险;;;;;;;例子;;2.2 Duration;例子：息率8%的债券;;;;Duration;8%;Duration;;Duration 和股票价格变化之间的关系;例子;What determines duration?;;;2.3 Convexity;Yield;;;Correction for Convexity;;Why do investors like convexity?;;2.4 Passive bond management;Passive methods;;Bond-index funds
Create a portfolio that mirrors the composition of an index that measures the broad market.
债券市场指标
Lehman Brothers, Merrill Lynch, Salomon Brothers
Number of issues
maturity of included bonds
excluded issues
weighting
reinvestment
Daily availability
;;;;Immunization;;;;;;;;;value
10000