第16章 债券资产组合的管理 Managing Bond Portfolios 16-1
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债券资产组合的管理 Managing Bond portfolios 161利率风险 16.2凸性 16.3消极的债券管理 16.4积极的债券管理 16.5利率互换 16.6金融工程与衍生利率
16-2 16.1 利率风险 16.2 凸性 16.3 消极的债券管理 16.4 积极的债券管理 16.5 利率互换 16.6 金融工程与衍生利率
Managing Fixed Income Securities: Basic Strategies ■积极策略 Active strategy 根据利率预测来交易 Trade on interest rate predictions 根据市场价格失衡信息来交易 Trade on market inefficiencies ■消极策略 Passive strategy 控制风险 Control risk 平衡风险和收益 Balance risk and return 16-3
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债券价格关系 Bond Pricing Relationships ■价格和收益是反向关系 Inverse relationship between price and yield ■债券到期收益率的增长会导致价格下降的幅度低于与 收益的等规模减少相联系的价格上升的幅度 An increase in a bond's yield to maturity results in a smaller price decline than the gain associated with a decrease in yield ■长期债券比短期债券更具价格敏感性 Long- term bonds tend to be more price sensitive than short-term bonds 16-4
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债券价格关系 Bond Pricing Relationships(cont'd 到期收益率增长时,价格对收益变化的敏感性以 降的比率增加, As maturity increases, price sensitivity increases at a decreasing rate ■价格对收益变化的敏感性与债券的息票率有一反向关 系 Price sensitivity is inversely related to a bonds coupon rate. ■债券价格对收益变化的敏感性与该债券销售的到期收 益率承负相关关系 Price sensitivity is inversely related to the yield to maturity at which the bond is selling 16-5
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