固定收益证券估值与分析
Broad Learning Objectives
总体学习目标
The characteristics and features of fixed income securities, both plain vanilla and more complex, together with the associated interest rate and risk related measures that are used in fixed income markets should be known and how they are applied in practical settings understood. The important topics of credit risk and asset backed securities are covered in some detail within the module with the objective of providing a strong understanding of these phenomena. The various strategies that are available to the fixed income portfolio manager should also be understood and their application in practical settings known.
要了解简单和复杂的固定收益证券各自的特点、固定收益证券市场中相关利率和风险的衡量，以及它们在实际环境中的应用。本模块中详细介绍了信用风险和资产支持证券的重要问题，目的是加深对这些现象的理解。要理解固定收益投资组合经理可用的各种策略，并且熟知它们在实际环境中的应用。
1 General Principles
1 基本属性
1.1 The debt instrument concept
1.1.1 Economic role of bond issues
1.1.2 Bond issuers
1.1.3 Bond characteristics
1.1.4 Preferred stocks
1.1 债务工具概念
1.1.1 发行债券的经济作用
1.1.2 债券发行者
1.1.3 债券属性
1.1.4 优先股
1.2 Time value of money
1.2.1 Simple versus compound interest
1.2.2 Present and future value
1.2.3 Annuities
1.2.4 Continuous discounting and compounding
1.2.5 Bond valuation
1.2.6 Price/yield relationship
1.2 货币时间价值
1.2.1 单利和复利
1.2.2 现值与终值
1.2.3 年金
1.2.4 连续贴现与连续复利
1.2.5 债券估值
1.2.6 价格与收益率的关系
1.3 Bond yield measures
1.3.1 Current yield
1.3.2 Yield to maturity
1.3.3 Yield to call
1.3.4 Other yields
1.3.5 Other basic concepts
1.3.6 Yield curves
1.3.7 Yield spread analysis
1.3 债券收益率指标
1.3.1 当期收益率
1.3.2 到期收益率
1.3.3 持有至赎回日收益率
1.3.4 其他收益率
1.3.5 其他基本概念
1.3.6 收益曲线
1.3.7 利差分析
2 Interest Rates-Term Structures and Applications
2 利率期限结构及应用
2.1 Term structure of interest rates
2.1.1 Yield curves and shapes
2.1.2 Theories of term structures
2.1 利率期限结构
2.1.1 收益曲线及其形态
2.1.2 利率期限结构理论
2.2 Risk measurement
2.2.1 Risk measurement tools
2.2.2 Duration and modified duration
2.2.3 Convexity
2.2.4 Duration and convexity between coupon payment dates
2.2.5 Impact of coupon payments and time lapse on duration
2.2.6 Key rate duration
2.2.7 Portfolio duration, convexity and key rate duration
2.2 风险度量
2.2.1 风险度量工具
2.2.2 久期与修正久期
2.2.3 凸性
2.2.4 在两个付息日之间的久期和凸性
2.2.5 付息和时间流逝对久期的影响
2.2.6 关键利率久期
2.2.7 组合的久期、凸性和关键利率久期
2.3 Usage
2.3.1 Bond yield curves
2.3.2 Bond curves in market usage
2.3.3 Curve shapes and forward rates
2.3.4 Curves, economic activity and monetary policy
2.3.5 Portfolio valuation and mark-to-market with unobserved prices
2.3.6 Financial engineering
2.3.7 Risk management
2.3 应用
2.3.1 债券收益率曲线
2.3.2 债券曲线在市场中的应用
2.3.3 曲线形状和远期利率
2.3.4 收益率曲线、经济活动和货币政策
2.3.5 组合估值和以不可观察价格盯市
2.3.6 金融工程
2.3.7 风险管理
3 Hybrid Forms
3 混合证券
3.1 Bonds with warrants
3.1.1 Investment characteristics
3.1.2 Valuation of warrants
3.1.3 Empirical studies and market
3.1.4 Exotic types of warrants
3.1 附认股权证的债券
3.1.1 投资属性
3.1.2 认股权证的价值
3.1.3 实证研究和市场
3.1.4 奇异权证
3.2 Convertible bonds
3.2.1 Investment characteristics
3.2.2 Convertible bond features
3.2.3 Valuation of convertible bonds
3.2.4 Investment strategies
3.2.5 Risk management of convertible bonds
3.2.6 Empirical studies
3.2.7 Contingent convertibles
3.2 可转换债券
3.2.1 投资属性
3.2.2 可转换债券的特征
3.2.3 可转换债券的价值
3.2.4 投资策略
3.2.5 可转换债券的风险管理
3.2.6 实证研究
3.2.7 或有可转换债券
3.3 Callable bonds
3.3.1 Investment characteristics
3.3.2 Valuation and duration
3.3 可赎回债券
3.3.1 投资属性
3.3.2 估值与久期
3.4 Floating rate notes
3.4.1 Investment characteristics and types
3.4.2 Yield measures for floating rate notes
3.4.3 Risk measures – interest rate versus credit duration
3.4.4 Complex FRN’s
3.4 浮动利率票据
3.4.1 投资属性及其分类
3.4.2 浮动利率票据的收益度量
3.4.3 风险度量-利率与信用期限
3.4.4 复杂的浮动利率票据
3.5 Inflation-linked bonds
3.5.1 Real and break-even rates
3.5.2 Investment characteristics
3.5.3 Market situation
3.5 通胀挂钩债券
3.5.1 实际利率和盈亏平衡利率
3.5.2 投资属性
3.5.3 市场环境
4 Credit Risk and Mortgage Securitisation
4 信用风险和按揭贷款证券化
4.1 Credit risk
4.1.1 Relevance of the corporate bond market
4.1.2 Fundamental credit analysis
4.1.3 Credit rating and rating agencies
4.1.4 Curves and credit
4.1 信用风险
4.1.1 公司债券市场的相关性
4.1.2 基本信用分析
4.1.3 信用评级和评级机构
4.1.4 收益曲线与信用
4.2 Mortgage-backed securities
4.2.1 Mortgage-backed bond market
4.2.2 Types of mortgages
4.2.3 Mortgage securitisation
4.2 按揭支持证券
4.2.1 按揭支持债券市场
4.2.2 按揭贷款分类
4.2.3 按揭贷款证券化
5 Asset-Backed Securities
5 资产抵押债券
5.1 Structures
5.1 结构
5.2 Types of underlying assets
5.2.1 Instalment contracts
5.2.2 Revolving lines of credit
5.2 基础资产的类型
5.2.1 分期付款合同
5.2.2 循环信用额度
5.3 Credit enhancement
5.3.1 Excess spread
5.3.2 Subordination
5.3.3 Guaranty
5.3.4 Reserve fund
5.3.5 Recourse
5.3.6 Over-collateralisation
5.3 信用增级
5.3.1 超额利差
5.3.2 次级
5.3.3 担保
5.3.4 准备金
5.3.5 追索权
5.3.6 超额抵押
5.4 Major risks of ABS
5.4.1 Interest rate risks
5.4.2 Prepayment risks
5.4.3 Credit risk
5.4.4 Liquidity risk
5.4.5 Counterparty risks
5.4 资产抵押债券的主要风险
5.4.1 利率风险
5.4.2 提前还款风险
5.4.3 信用风险
5.4.4 流动性风险
5.4.5 交易对手风险
5.5 Valuation methodologies
5.5 估值方法
6 Fixed Income Portfolio Management Strategies
6 固定收益证券组合管理策略
6.1 Passive management
6.1.1 Buy and hold
6.1.2 Indexation
6.1.3 Interest rate immunisation
6.1.4 Asset-liability management
6.1 消极管理
6.1.1 买入并持有策略
6.1.2 指数化
6.1.3 利率免疫策略
6.1.4 资产负债管理
6.2 Active management
6.2.1 Forecasting and portfolio construction
6.2.2 Active management in practice
6.2 积极管理
6.2.1 预测收益率和投资组合构造
6.2.2 积极管理策略实践
6.3 Portfolio construction based on a factor model
6.3.1 Model specification
6.3.2 Interest rate anticipation strategies
6.3 基于因素模型构造的投资组合
6.3.1 模型定义
6.3.2 基于利率预测的投资策略
6.4 Computing the hedge ratio: the modified duration method
6.4.1 Hedging strategies using longer bond futures
6.4 计算套期比率：修正久期法
6.4.1 采用较长期债券期货的套期保值策略
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