CFA涓绾у哄剁璇搁硅璇瀹瑰

Fixed Income, 哄剁绫昏革涓昏哄革ㄨ璇涓12%锛㈠板绠娉锛240棰灏28哄剁崇棰虹杩风ワ棰ぇFixed Income, Financial Statement Analysis 涓Economics涔绾у涓剧ㄥ锛涔璇蹇涓锛2016骞寸璇涓fixed income 杩ㄥ绾插浜杈澶у锛ョヨ规锛浣澶тユ繁搴浠ワ涓ㄥ瀹规惧瑕

璁稿CFA涓绾х哄剁璇(Fixed Income Analysis)硅澶杈ｏ句互澶涔跺锛哄剁璇哥瀹瑰ぇ村浠ュ涓轰澶чㄥ

哄剁璇哥瀹

1

哄哥℃

1烘℃锛哄哥maturity锛par value锛coupon rate杩涓″冲浜哄告ョ娴锛涔灏辨哄稿浠锋ā瀛

2烘℃琛锛maturity涓浜хbill锛notes锛bondcoupon rate涓浜хZero-coupon bond锛Floating-rate bond绛

3宓ユ℃锛哄稿琛浜虹(callable锛prepayment绛)哄告浜虹(puttable锛 convertible绛)

4宓ユ℃琛锛callable bond (MBS)锛puttable bond

5哄哥琛浜猴规琛浜虹涓锛涓哄藉恒烘哄搞甯垮哄搞浼涓哄哥

2

哄哥椋

1Interest rate risk锛yield curve骞宠绉诲ㄤ负interest rate risk锛骞宠绉诲ㄤ负Yield curve risk

2Yield curve risk锛yield curve骞宠绉诲ㄤ负yield curve risk

3Call risk (Prepayment risk)锛callable bond╃涓call risk

4Reinvestment risk锛reinvestment risk涓interest rate risk稿炽

5Credit risk锛Default risk锛Credit spread risk锛Downgrade risk澶ㄤ俊ㄥ寮虹涓涓规锛绗规淇惰淇＄ㄨ哄镐┿

6Volatility risk锛宓ユ℃哄(callable锛puttable)volatility risk

3

哄哥瀹浠

1哄稿浠峰娴

2姣釜剁圭涓锛╃缁甯虫╃杩╃

3哄哥剁锛版剁(YTM)

4哄哥╁樊锛Nominal Spread锛Zero-Volatility Spread锛Option-adjusted spread (OAS)

5哄稿╃椋╃搴durationconvexity

Fixed Income 杩ㄥ瀹癸寸哄剁绫昏稿浠枫哄剁璇哥椋╁剁杩涓稿灞寮涓绾т腑瑕姹浼瀵规椋╃哄剁绫昏革涓藉革瀹浠枫哄镐环煎氨ョ娴ㄥ版剁杩琛硷浠ユ浠椤昏ラ瀹娴缁浠ュㄧ

涓娴缁

涓哄哥卞琛浜哄琛锛绁ㄩ浼娉ㄥ版ワ绁ㄩ环硷エ锛浠浠ュ浜ゆ璐у浠ワ哄哥浠峰间绉绱瀵稿筹浣宠姝ｇ‘涓哄哄稿浠凤浜瑙ｅ哄歌〃俊杩涓澶棣锛瑕ラ哄哥娴锛浠椤荤ラ姝ゅ哄告绉绫诲锛option free 杩option embedded (宓)

濡option embedded, ｄ锛宓娑ㄦ锛璺杩杞锛瀹浠涔锛濡option free, ｄ瀹エ缁凤舵哄歌哄革エ诞ㄨ哄锛版褰杩杩ㄦエ褰涓杩浜芥瑕瑙ｅ苟ョ瀹广

ㄨ褰涓缓璁浠ュ缈荤锛浠缁寰澶哄哥稿充俊渚濡锛哄稿锛稿虫寰娉瑙锛绾崇℃锛浠ュ琛涓讳骞朵锛涓浜充ㄧ哄稿虹烘瀹逛瑕浜瑙ｏ濡锛哄告风琛哄讹浠涔绾у猴浠涔绾у猴浼涓烘涔锛璐℃涔锛惰╃╃ㄦ诞ㄥ╃哄镐腑风搴杩浜藉浠ュ府╄瀵瑰哄剁绫昏告涓寸璁よ

浜ㄦ

ラ浜哄哥娴缁锛濡浣╁杩琛浼板硷甯哥ㄧ版剁锛yield to maturity锛 杩褰涓瀛搴褰瀵瑰哄镐环硷エ锛coupon rate锛锛 版堕达maturity锛甯烘锛版剁锛寸崇郴娓扮璁よ浣甯烘骞朵涓锛浠ワ浠椤绘浠涔虫╃锛spot rate锛浠涔╃锛forward rate锛骞朵锛濡浣杩琛涓よ涔寸璁＄杩娑扮╃缁璁哄剁茬嚎璇广

ゆ涔澶锛涔ㄥ虫╃杩琛褰澶锛瀵逛氦涓棰绻涓杩琛浜ゆ哄革濡浣ㄧ╅靛浠锋ā锛matrix pricing锛杩琛版剁浼扮涔瑕浜瑙ｃ澶╁樊锛yield spread锛涔瑕浜瑙ｇ瀹癸杩ㄤ绾ц璇涓村娑

涓哄剁绫昏哥剁涓

灏卞朵璇镐凤椋╁剁镐骞跺CFA涔瀵瑰哄告剁复椋╁浜璇浠缁瀵逛涓哄エ哄革剁涓╃椋╁稿筹浠ワ浠ヤ涔锛duration锛姒蹇垫ヨ　╃椋┿涔涓洪害ヤ锛璋翠涔锛浠浠浣璁＄瑕㈢㈡浠ュ缇涔(money duration)姒蹇典浼琚般骞朵瑕借В锛涓轰涔涔ㄦヨ　宓哄哥╃椋╋

哄哥版堕达エ锛宓剁姘村钩浣褰卞瀹╃椋╃锛ㄥ充╃椋╃杩ㄥ瀹逛腑锛杩涓涓瑕姒蹇碉稿害锛convexity锛浠ュ杩浼煎稿害锛approximate convexity锛稿害(effective convexity)哄绯讳瀹癸浠瑕藉瑙ｉ╃缁濡浣褰卞哄哥╃椋╋浠ュ哄哥剁锛涔锛璧涔寸崇郴

哄哥椋╄寰瑕涓涓ㄥ俊ㄩ┿灏ゅ舵涓哄革淇＄ㄩ╁瀹褰卞灏や负瑕浠ユ浠ラ锛涓涓淇＄ㄩ╋瀹搴褰风娴绋娓挎琛哄搞浠ュ浼涓虹璇绾ф哄躲瀵瑰琛哄哥浼涓杩琛淇＄ㄥ甯歌瀵规惰鸿藉锛淇╋哄稿锛浠ュ浼涓跺佃琛

浼涓跺垮鸿藉琛￠涓昏杩璐㈠℃ヨ〃瀹澶锛ㄧ瀹琛涓璐㈠℃版典锛瀵瑰轰汉淇＄ㄥ瀵规轰汉琛哄哥淇＄ㄥㄥ楂剁哄革涓绘哄革甯垮哄歌琛跺杩寰澶规绱锛杩涔瑕瀛浠涓扮璁よ

瑕寮鸿哄剁CFA涓绾х澶涔涓惧害浠娆′储″锛ㄤ涓ㄨ瑕姹澶у杩琛澶ч璁板锛哄镐骇浠缁锛杩姒蹇电娣卞害瑙ｏ绉浜у规э杩灏辨 ╃椋╋锛浠ュ璁＄锛涔告эZ-spread,OAS锛哄镐及硷杩灏辨╃锛锛浠ヤ绾у哄哥被浜у澶涔跺缓璁ぇ瀹跺变规堕磋琛璇汇

璁板瑰ㄤ哄镐骇ц川姣濡涓哄稿浠ユ涓鸿ュ共N-1舵哄革杩灏辨inverseratebond涓╃崇郴锛垮哄哥绫昏ц川锛杩灏辨TIPS涔╃崇郴绛绛拌绠锛瑕娉ㄦ瑙ｏ涔涓瑕姣濡Zspread跺瀵澶у灏辨╃茬嚎骞宠绉诲ｄ璇澶у跺瑕璁＄灏辨姣藉涓涓涓X锛璁＄X灏卞浠ヤ锛杩风瑙ｅ浠ョ寰澶璁板楹荤

杩灏辨绠杩╃浜锛杩瑙ｅ跺灏辨浣骞冲扮姒蹇碉辨惧ㄩ惰瀹涓骞村涓婊ㄥ跺风锛杩峰ㄨ绠跺锛浠氨藉ㄥご瀵瑰涓ぇ姒拌薄锛涓瑕瀵瑰烘绱及煎琛姝昏纭