CFA II Fixed Income 笔记
2023-03-31 08:57:40 0 举报AI智能生成
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CFA二级固定收益笔记，适用于考前查漏补缺，形成思维体系
作者其他创作
大纲/内容
理解一: 零息债券的YTM，也叫Zero rate
理解二：站在T0时刻的N期利率，也叫即期利率
Spot Curve
计算实例
upward-sloping spot curve —upward-sloping forward curve
图示
结论
Forward pricing model
分支主题
推导
公式
含义：一份一年期零息债券和一份三年期零息债券，可以合成一份两年前远期合约
Forward rate model
Forward Rate 是Implied Rate，也是Breakeven Rate，因此可以和Future Spot Rate套利
Forward contract value increase.
因为现在的债券价格是用f定价的
Current bond price is undervalued.
If future spot rate will be lower than forward rate
Yield curve movement
推导过程
purchase bonds with maturities longer than his investment horizon
Riding the yield curve(upward-sloping and stable curve)
Active bond portfolio management
Forward Cure
YTM = PAR rate = coupon rate
价格等于面值的债券的折现率
定义
Bootstrapping
Par curve
YTM是以现金流为权重的Spot Rate的平均数
计算方法
持有至到期
不考虑违约风险
不含权
中间的Coupon以YTM再投资
假设
YTM
IRS中支付固定利率一方支付的固定利率
事实上，Swap rate 就是Par rate
含义
包含信用风险，与市场利率相关性更强
reflect the credit risk of banks
美国市场上，批发银行用SwapRate多，零售银行用国债利率多；欧洲市场SwapRate市场更发达
SwapRate 相比于政府债券利率的优点
SwapRate Curve
Benchmark Yield Curve
Swap rate-treasury yield
Note
计算
Default risk
有些期限swap可能 liquidity I更好
反映风险
Swap spread
same maturity
I-spread
1、Credit risk 2 、Liquidity risk 3 、Option risk 4 对含权债券和不含权债券的比较不合适
Z-spread
Default risk in the banking system
TED spread
high:concerns about creditworthiness Low:high liquidity indicator of the risk and liquidity of money market securities
LIBOR-OIS spread
Spread
画Yield Curve
Pure Unbiased Expectations Theory
Local Expectation Theory
Liquidity preference theory
Segmented Market Theory
Preferred habitat theory
传统理论
特点
Cox-ingersoll-ross Model(CIR)
Vasicek model
典型模型
Equilibrium Models
现代理论
解释Yield Curve形状
Yield curve
Yield curve factor
Effective duration: parallel shift
Key rate duration: non-parallel shift (shaping risk)
期限角度观察
求D(KeyRate Duration)
Factor 角度观察
Manage Yield curve risk
Important for securities with embedded options
Short-term interest rates are generally more volatile than are long-term rates.
Yield curve volativity
Yield curve factor model
yield curve risk
整体框架
注意两个概念的区别
基本概念
trial-and-error 试错法计算
Simple Case: 折现率用统一的Rf
calculate CVA and fair value of bond
calculate the credit spread
Using the binomial tree to value a risky bond
Impact of A Change in The Interest Rate Volatility
Valuing A Risky Floating-rate Note
Complex Case: 折现率用二叉树确定
Modeling Credit Risk
公司债收益率的归因
一个结论: 违约率影响比回收率大
Interpreting Changes in Credit Spreads
经典计算框架
The FICO score
1. Credit Scores
一些结论
Transition Matrixes
2. Credit Ratings
先设定模型，再用数据调参
Option Analogy 用Option模型解释公司债券违约现象
思想方法
优点
缺点
优缺点
3. Structure model
用数据自己说话建立模型
4. Reduced-form Model
四大模型
Credit quality
Financial conditions
Market supply and demand
From a microeconomic perspective
The change in market expectations of default
Key Drivers of The Term Structure of Credit Spreads
Two Further Considerations
Term Structure of Credit Spreads
Credit Analysis
Covered Bonds
Securitized Debt
计量信用风险
Definitions
Important Features of CDS
Trade at 30% par就是赔付70%
Index CDS:multiple issuers
Tranche CDS:only up to pre-specified levels of losses
Types of CDS
Phvsical settlement
Cash settlement
分类
因为cash settlement要遵循cheapest-.to-deliver obligation
Settlement Preference
Settlement
Basic Definitions and Concepts
CDS Pricing
Valuation Changes in CDS
The credit spreads for a range of maturities
The Credit Curve
Probability of defaultLoss given default
影响CDS定价因素
Valuation and Pricing
Basic application:
Naked CDS:a party with no exposure to the reference entity （speculaton）
Long/short trade
Manage Credit Exposures
leveraged buyout:purchase both the stock and CDS protection
Basis trade★★★：exploit the difference in credit spreads between bond markets and the CDS market.
Valuation Differences and Basis Trading
CDO
Applications of CDS
信用风险管理工具CDS
Credit Risk
Risk
原理
Stripping 买付息债券剥离成零息债券卖出
Reconstitution 买零息债券合成付息债券卖出
Value additivity
Dominance
基础班例题
举例
Arbitrage opportunity
不适合含权债券
Arbitrage free valuation (spot curve）
consistent with the volatility assumption
the interest rate model(lognormal model)
与observed market value of the benchmark bond一致
需要符合的条件
historical interest rate volatility
implied volatility
估计sigma的方法
从后往前推
从前往后推
Binomial interest rate tree
解决path dependency：MCS
检验目标：The model will produce benchmark bond values equal to the market prices
Monte Carlo simulation
债券定价Framework
Callable bond
Putable bond
Convertible bond
contingent put option
Simple options
Estate put
Sinking fund bonds( sinkers)
Complex options
常见含权债券
含权债券Value
Option Value
Volatility 对 valuel的影响
Value
Binomial tree (试错法)
OAS
Level
upward-sloping yield curve becomes flatter.
Shape
Effect of yield curve changes
性质
Effective Duration
Effective Convexity
Callable: lower one-sided down-duration than one-sided up-duration
Putable: larger one-sided down-duration than one-sided up-auration
One side Duration
exercise date和 maturity date 匹配时Duation的影响最大
Low Coupon时最可能持有至到期
Key rate Duration
计量含权债券 duration
Yield curve risk
callable and putable bonds
注意：折现率还是用原来的利率
extreme protection;cap rate current coupon rate
Ratchet bonds
Capped floored floater
和股票比的溢价
和债券比的溢价
Straight value is the value of the bond if it were not convertible
Conversion value = market price of stock X conversion ratio
可转债价值
分析
Reduce the benefit of conversion
stock splits
receive dividend payments
A put option that can be exercised during a specified period following the change-of-control event and that provides full redemption of the nominal value of the bond;
An adjusted conversion price that is lower than the initial conversion price.This downward adjustment gives the convertible bondholders the opportunity.
投资人可以有两种选择
Change-of-control events
Influence of Corporate Actions
Hard puts:the issuer must redeem the convertible bond for cash
Putable convertible bond
if interest rates are falling or if its credit rating is revised upward.
Forced conversion:the issuer might still proceed with calling the bond when the underlying share price exceeds the conversion price.
Callable convertible bond
复合可转债
Valuation
含权债券定价
Fixed Income
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