Fixed Income Valuation and Analysis 固定收益證券估值與分析

Broad Learning Objectives

總體學習目標

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.

要了解簡單和復雜的固定收益證券各自的特點、固定收益證券市場中相關利率和風險的衡量，以及它們在實際環境中的應用。本模塊中詳細介紹了信用風險和資產支持證券的重要問題，目的是加深對這些現象的理解。要理解固定收益投資組合經理可用的各種策略，并且熟知它們在實際環境中的應用。

1 General Principles

1 基本屬性

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 債務工具概念

1.1.1 發行債券的經濟作用

1.1.2 債券發行者

1.1.3 債券屬性

1.1.4 優先股

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 貨幣時間價值

1.2.1 單利和復利

1.2.2 現值與終值

1.2.3 年金

1.2.4 連續貼現與連續復利

1.2.5 債券估值

1.2.6 價格與收益率的關系

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 債券收益率指標

1.3.1 當期收益率

1.3.2 到期收益率

1.3.3 持有至贖回日收益率

1.3.4 其他收益率

1.3.5 其他基本概念

1.3.6 收益曲線

1.3.7 利差分析

2 Interest Rates-Term Structures and Applications

2 利率期限結構及應用

2.1 Term structure of interest rates

2.1.1 Yield curves and shapes

2.1.2 Theories of term structures

2.1 利率期限結構

2.1.1 收益曲線及其形態

2.1.2 利率期限結構理論

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 風險度量

2.2.1 風險度量工具

2.2.2 久期與修正久期

2.2.3 凸性

2.2.4 在兩個付息日之間的久期和凸性

2.2.5 付息和時間流逝對久期的影響

2.2.6 關鍵利率久期

2.2.7 組合的久期、凸性和關鍵利率久期

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 應用

2.3.1 債券收益率曲線

2.3.2 債券曲線在市場中的應用

2.3.3 曲線形狀和遠期利率

2.3.4 收益率曲線、經濟活動和貨幣政策

2.3.5 組合估值和以不可觀察價格盯市

2.3.6 金融工程

2.3.7 風險管理

3 Hybrid Forms

3 混合證券

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 附認股權證的債券

3.1.1 投資屬性

3.1.2 認股權證的價值

3.1.3 實證研究和市場

3.1.4 奇異權證

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 可轉換債券

3.2.1 投資屬性

3.2.2 可轉換債券的特征

3.2.3 可轉換債券的價值

3.2.4 投資策略

3.2.5 可轉換債券的風險管理

3.2.6 實證研究

3.2.7 或有可轉換債券

3.3 Callable bonds

3.3.1 Investment characteristics

3.3.2 Valuation and duration

3.3 可贖回債券

3.3.1 投資屬性

3.3.2 估值與久期

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 浮動利率票據

3.4.1 投資屬性及其分類

3.4.2 浮動利率票據的收益度量

3.4.3 風險度量-利率與信用期限

3.4.4 復雜的浮動利率票據

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 通脹掛鉤債券

3.5.1 實際利率和盈虧平衡利率

3.5.2 投資屬性

3.5.3 市場環境

4 Credit Risk and Mortgage Securitisation

4 信用風險和按揭貸款證券化

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 信用風險

4.1.1 公司債券市場的相關性

4.1.2 基本信用分析

4.1.3 信用評級和評級機構

4.1.4 收益曲線與信用

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 按揭支持證券

4.2.1 按揭支持債券市場

4.2.2 按揭貸款分類

4.2.3 按揭貸款證券化

5 Asset-Backed Securities

5 資產抵押債券

5.1 Structures

5.1 結構

5.2 Types of underlying assets

5.2.1 Instalment contracts

5.2.2 Revolving lines of credit

5.2 基礎資產的類型

5.2.1 分期付款合同

5.2.2 循環信用額度

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 信用增級

5.3.1 超額利差

5.3.2 次級

5.3.3 擔保

5.3.4 準備金

5.3.5 追索權

5.3.6 超額抵押

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 資產抵押債券的主要風險

5.4.1 利率風險

5.4.2 提前還款風險

5.4.3 信用風險

5.4.4 流動性風險

5.4.5 交易對手風險

5.5 Valuation methodologies

5.5 估值方法

6 Fixed Income Portfolio Management Strategies

6 固定收益證券組合管理策略

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 消極管理

6.1.1 買入并持有策略

6.1.2 指數化

6.1.3 利率免疫策略

6.1.4 資產負債管理

6.2 Active management

6.2.1 Forecasting and portfolio construction

6.2.2 Active management in practice

6.2 積極管理

6.2.1 預測收益率和投資組合構造

6.2.2 積極管理策略實踐

6.3 Portfolio construction based on a factor model

6.3.1 Model specification

6.3.2 Interest rate anticipation strategies

6.3 基于因素模型構造的投資組合

6.3.1 模型定義

6.3.2 基于利率預測的投資策略

6.4 Computing the hedge ratio: the modified duration method

6.4.1 Hedging strategies using longer bond futures

6.4 計算套期比率：修正久期法

6.4.1 采用較長期債券期貨的套期保值策略