版权说明:本文档由用户提供并上传,收益归属内容提供方,若内容存在侵权,请进行举报或认领
文档简介
PAGE1专业·创新·FixedWinterasksMadisonaboutherpreferencesconcerningtermstructuremodels.Madison“Ipreferarbitrage-models.Eventhoughequilibriummodelsrequirefewerparameterstobeestimatedrelativetoarbitrage-models,arbitrage-modelsallowfortime-varyingparameters.Ingeneral,thisallowanceleadstoarbitrage-modelsbeingabletomodelthemarketyieldcurvemorepreciselythanequilibriummodels.”IsMadisoncorrectindescribingkeydifferencesinequilibriumandarbitrage-modelsastheyrelatetothenumberofparametersandmodelaccuracy?No,sheisincorrectaboutwhichtypeofmodelrequiresfewerparameterNo,sheisincorrectaboutwhichtypeofmodelismorepreciseatmodelingmarketyieldSolution:ConsistentwithMadison’sstatement,equilibriumtermstructuremodelsrequirefewerparameterstobeestimatedrelativetoarbitrage-models,andarbitrage-modelsallowfortime-varyingparameters.Consequently,arbitrage-modelscanmodelthemarketyieldcurvemorepreciselythanequilibriummodels.Exhibit1.SelectedExhibit1.SelectedBondCouponBondAyrault,lnc.CaIlableatparinoneyearandtwoyearsBlum,lnc.EnterprisesPutableatparinoneyearfromNote:Eachbondhasaremainingmaturityofthreeyears,annualcouponpayments,andaratingofToassesstheinterestrateriskofthethreebonds,Bianchiconstructstwobinomialinterestratetreesbasedona10%interestratevolatilityassumptionandacurrentone-yearrateof1%.PanelAofExhibit2providesaninterestratetreeassumingthebenarkyieldcurveshiftsdownby30bps,andPanelBprovidesaninterestratetreeassumingthebenarkyieldcurveshiftsupby30bps.BianchideterminesthattheAIbondiscurrentlytradingatanPAGE2option-adjustedspread(OAS)of13.95bpsrelativetothebenarkyieldExhibit2.BinomialInterestRateTreesPanelAInterestRatesShiftDownby30YearYearYearYearYearPanelBInterestRatesShiftUpby30YearYearYearYearYearBasedonExhibits1and2,theeffectivedurationfortheAIbondisclosestSolution:TheAIbond'svalueifinterestratesshiftdownby30bps(PV-)isYear YearYearYearYearYearCalledatCalledatCalledatCalledatYearYearYearYearYear Effectiveduration=(100.870−99.487)/(2∗0.003∗100.200)Tyothensuggeststhatthefirmwasabletoaddreturnbyridingtheyieldcurve.Thefundnstocontinuetousethisstrategybutonlyinmarketswithanattractiveyieldcurveforthisstrategy.Shemovesontopresenthermarketviewsontherespectiveyieldcurvesforfive-yearinvestmentPAGE4专业·创新·"Toimproveliquidity,CountryC'scentralbankisexpectedtointervene,leadingtoareversalintheslopeoftheexistingyieldcurve.Weassumethatfuturespotrateswillbelowerthantoday'sforwardratesforallmaturities.”Tyo'sassistantasks,“Assuminginvestorsrequireliquiditypremiums,howcanayieldcurveslopedownward?Whatdoesthisimplyaboutforwardrates?"Tyoanswers,“Evenifinvestorsrequirecompensationforholdinglonger-termbonds,yieldcurvecanslopedownwardforexample,ifthereisanexpectationofseveredeflation.Regardingforwardrates,itcanbehelpfultounderstandyieldcurvedynamicsbycalculatingimpliedforwardrates.ToseewhatImean,wecanuseExhibit1tocalculatetheforwardrateforatwo-yearCountryCloanbeginninginthreeyears.”Exhibit1ernmentSpotCOI.mtll'yCountll'yCountryOneTwoThreeFourFiveTyo'sassistantshouldcalculateaforwardrateclosestSolution:Fromtheforwardratemodel,f(3,2),isfoundasUsingthethree-yearandfive-yearspotrates,we(10.107)5(10.118)3[1f(3,2)]2, WilliamRogers,afixed-incomeportfoliomanager,needstoeliminatealargecashpositioninhisportfolio.Hewouldliketopurchasesomecorporatebonds.TwobondsthatheisevaluatingareshowninExhibit1.Thesetwobondsarefromthesameissuer,andthecurrentcallpriceforthecallablebondis100.AssumethattheissuerwillcallifthebondPAGE5priceexceedsthecallDuringthediscussions,RogersmakesthefollowingStatement1:Ifthevolatilityofinterestratesdecreases,thevalueofthecallablebondwillStatement2:Thenoncallablebondwillnotbeaffectedbyachangeinthevolatilityorlevelofinterestrates.Statement3:Wheninterestratesdecrease,thevalueofthenoncallablebondincreasesbymorethanthecallablebond.EvaluateRogers’sstatements1andOnlyStatement1isOnlyStatement3isBothstatementsareSolution:Statement1iscorrect.Ifthevolatilityofinterestratesdecreases,thecalloptionislessvaluable,whichincreasesthevalueofthecallablebond.RecallthatVcalllable=Vnoncallable—Vcall.Statement3isalsocorrect.Thevalueofthenoncallablebondincreasesbymorethanthecallablebondbecauseasyieldfalls,thevalueofthecallgoesup.Asthecallvalueincreases,thecallablevalue(noncallvalue-calloptionvalue)goesupbylessthanthenoncallvalue.DanielaIbarraisaseniorystinthe edepartmentofalargewealthmanagementfirm.MartenKoningisajuniorystinthesamedepartment,andDavidLokisamemberofthecreditresearchteam.Thefirminvestsinavarietyofbonds.Ibarraispresentlyyzingasetofbondswithsomesimilarcharacteristics,suchasfouryearsuntilmaturityandaparvalueof€1,000.Exhibit1includesdetailsofthesebonds. Azero-coupon,four-yearcorporatebondwithaparvalueof€1,000.Thewealthmanagementfirm’sresearchteamhasestimatedthattherisk-neutralprobabilityofdefault(thehazardrate)foreachdateforthebondis1.50%,andtherecoveryrateisIbarraasksKoningtoassistherwithyzingthebonds.Shewantshimtoperformtheysiswiththeassumptionsthatthereisnointerestratevolatilityandthattheernmentbondyieldcurveisflatat3%.ThemarketpriceofbondB1is€875.ThebondfairlySolution:Thefollowingtableshowsthatthecreditvaluationadjustment(CVA)forthebondis€36.49,thesumofthepresentvaluesofexpectedloss.Thestepstakentocompletethetableareasfollows.Step1:ExposureatDateTis€1,000/(1+r)4−T,whereris3%.Thatis,exposureiscomputedbydiscountingthefacevalueofthebondusingtherisk-rateandthenumberofyearsuntilStep2:Recovery=Exposure×RecoveryStep3:Lossgivendefault(LGD)=Exposure–Step4:Probabilityofdefault(POD)onDate1is1.50%,theassumedhazardrate.Theprobabilityofsurvival(POS)onDate1is98.50%.Forsubsequentdates,PODiscalculatedasthehazardratemultipliedbythepreviousdate’sPOS.Forexample,todeterminetheDate2POD(1.4775%),thehazardrateof(1.50%)ismultipliedbytheDate1POS(98.50%).Step5:POSinDates2–4=POSinthepreviousyear–POD(Thatis,POSinYearT=POSinyear[T–1]–PODinYearT.)POScanalsobedeterminedbysubtractingthehazardratefrom100%andraisingittothepowerofthenumberofyears:(100%–1.5000%)1=(100%–1.5000%)2=(100%–1.5000%)3=(100%–1.5000%)4=Step6:Expectedloss=LGD×Step7:Discountfactor(DF)forDateTis1/(1+r)T,wherer 0e12金程教金程教专业·创新·增PAGE734CVAValueofthebondifthebondweredefaultwouldbe1,000×DFforDate4=€888.49.FairvalueofthebondconsideringCVA=€888.49–CVA=€888.49–€36.49=€852.00.Becausethemarketpriceofthebond(€875)isgreaterthanthefairvalueof€852,BisAisincorrectbecausethemarketpriceofthebonddiffersfromitsfairvalue.Cisincorrectbecausealthoughthebond’svalueifthebondweredefaultisgreaterthanthemarketprice,thebondhasariskofdefault,andCVAlowersitsfairvaluetobelowthemarketprice.On1January20X2,DeemAdvisorspurchaseda$10millionsix-yearseniorunsecuredbondissuedbyUNABCorporation.Sixmonthslater(1July20X2),concernedabouttheportfolio’screditexposuretoUNAB,DorisMorrison,thechiefinvestmentofficeratDeemAdvisors,purchasesa$10millionCDSwithastandardizedcouponrateof5%.ThereferenceobligationoftheCDSistheUNABbondownedbyDeemAdvisors.On1January20X3,MorrisonasksBillWatt,aderivativesyst,toassessthecurrentcreditqualityofUNABbondsandthevalueofDeemAdvisor’sCDSonUNABdebt.WattgathersthefollowinginformationontheUNAB’sdebtissuescurrentlytradinginthemarket:Bond1:Atwo-yearseniorunsecuredbondtradingat40%ofparBond2:Asix-yearseniorunsecuredbondtradingat50%ofparBond3:Asix-yearsubordinatedunsecuredbondtradingat20%ofWithrespecttothecreditqualityofUNAB,Wattmakesthefollowing‘’Thereisseverenear-termstressinthefinancialmarketsandUNAB’screditcurveclearlyreflectsthedifficultenvironment.”On1July20X3,UNABfailstomakeascheduledinterestpaymentontheoutstandingsubordinatedunsecuredobligationafteragraceperiod;however,thedoesnotfileforbankruptcy.MorrisonasksWatttodetermineifUNABexperiencedacrediteventand,ifso,torecommendasettlementpreference.IfUNABexperiencedacrediteventon1July,Wa
温馨提示
- 1. 本站所有资源如无特殊说明,都需要本地电脑安装OFFICE2007和PDF阅读器。图纸软件为CAD,CAXA,PROE,UG,SolidWorks等.压缩文件请下载最新的WinRAR软件解压。
- 2. 本站的文档不包含任何第三方提供的附件图纸等,如果需要附件,请联系上传者。文件的所有权益归上传用户所有。
- 3. 本站RAR压缩包中若带图纸,网页内容里面会有图纸预览,若没有图纸预览就没有图纸。
- 4. 未经权益所有人同意不得将文件中的内容挪作商业或盈利用途。
- 5. 人人文库网仅提供信息存储空间,仅对用户上传内容的表现方式做保护处理,对用户上传分享的文档内容本身不做任何修改或编辑,并不能对任何下载内容负责。
- 6. 下载文件中如有侵权或不适当内容,请与我们联系,我们立即纠正。
- 7. 本站不保证下载资源的准确性、安全性和完整性, 同时也不承担用户因使用这些下载资源对自己和他人造成任何形式的伤害或损失。
最新文档
- 【正版授权】 IEC 60745-2-4:2002+AMD1:2008 CSV EN-FR Hand-held motor-operated electric tools - Safety - Part 2-4: Particular requirements for sanders and polishers other than disk type
- 【正版授权】 IEC 60740-1:2005 EN-D Laminations for transformers and inductors - Part 1: Mechanical and electrical characteristics
- 【正版授权】 IEC 60706-3:2006 EN-FR Maintainability of equipment - Part 3: Verification and collection,analysis and presentation of data
- 【正版授权】 IEC 60704-2-4:2011 EN-FR Household and similar electrical appliances - Test code for the determination of airborne acoustical noise - Part 2-4: Particular requirements for washing mac
- 【正版授权】 IEC 60685-2-1:1980 EN-FR Connecting devices (junction and/or tapping) for household and similar fixed electrical installations - Part 2: Particular requirements - Screwless terminals
- 【正版授权】 IEC 60684-3-282:2010 EN-FR Flexible insulating sleeving - Part 3: Specifications for individual types of sleeving - Sheet 282: Heat-shrinkable,polyolefin sleeving - Stress control
- 【正版授权】 IEC 60682:1980/AMD2:1997 EN-FR Amendment 2 - Standard method of measuring the pinch temperature of quartz-tungsten-halogen lamps
- 【正版授权】 IEC 60603-2:1995 EN-FR Connectors for frequencies below 3 MHz for use with printed boards - Part 2: Detail specification for two-part connectors with assessed quality,for printed boa
- 【正版授权】 IEC 60601-2-4:2010 EN-FR Medical electrical equipment - Part 2-4: Particular requirements for the basic safety and essential performance of cardiac defibrillators
- 【正版授权】 IEC 60601-2-22:2019 EN-FR Medical electrical equipment - Part 2-22: Particular requirements for basic safety and essential performance of surgical,cosmetic,therapeutic and diagnosti
- 2024年02月广东广州番禺区市场监督管理局下属事业单位招考聘用8人笔试历年(2016-2023年)真题荟萃带答案解析
- 联想融资计划书
- 日常湖泊保洁具体实施方案
- 双相情感障碍护理课件
- 黔西南中药材教学大纲
- 品牌建设宣传工作方案
- 公共营养师职业技能等级三级技能考核试题
- 福建省2022年6月普通高中学业水平合格性考试数学试卷(含解析)
- 塑料制品的热屈服温度与热稳定性测试
- 压路机安全培训课件
- 2024届北京市北京四中物理高二下期末质量检测模拟试题含解析
评论
0/150
提交评论