Risks Associated with Investing in Bonds参考.ppt

Risks Associated with Investing in Bondsby Frank J. Fabozzi;Chapter 2 - Risks Associated with Investing in Bonds;Key Learning Outcomes;Key Learning Outcomes;Key Learning Outcomes;Interest Rate Risk;Bond Prices and Interest Rates;Interest Rate Risk;Interest Rate Risk;Features Impacting Interest Rate Risk;Maturity Impacts Interest Rate Risk;Bond Price Volatility: Coupon Rate and Maturity;Volatility of Bonds with Different Maturities;Consider the following two bonds: Both have a maturity of 5 years, both have yield of 8% First has 6% coupon, other has 10% coupon, compounded annually. What are the price sensitivities of these bonds to a 1% increase (decrease) in bond yields?;Embedded Options Impact Interest Rate Risk;Example of the Impact of a Call Option on Interest Rate Risk;Example of the Impact of a Call Option on Interest Rate Risk;Impact of the Yield Level;Interest Rate Risk for Floating Rate Securities;Interest Rate Risk for Floating Rate Securities (continued);Interest Rate Risk for Floating Rate Securities (continued);Interest Rate Risk for Floating Rate Securities (continued);Measuring Interest Rate Risk;Duration – Used to Measure Interest Rate Risk;Measuring Interest Rate Risk: Approximate Percentage Price Change;Measuring Interest Rate Risk: Approximate Percentage Price Change;Measuring Interest Rate Risk: Approximate Percentage Price Change;Measuring Interest Rate Risk: Approximate Dollar Price Change;Yield Curve Risk;Measuring Price Sensitivity to Interest Rate Changes ;Example of Measuring Price Sensitivity to Yield Change;Yield Curve Risk;Yield Curve Risk;Yield Curve Risk – Parallel Shift;Yield Curve Risk – Nonparallel Shift;Call and Reinvestment Risk;Prepayment Risk for Mortgage-and Asset-Backed Bonds;Credit Risk;Credit Risk: Default Risk;Credit Risk: Credit Spread Risk;Credit Risk: Credit Spread Risk (continued);Credit Risk: Downgrade Risk;Credit Risk: Downgrade Risk;Credit Risk: Downgrade Risk;Credit Risk: Downgrade Risk;Credit Risk: Bond Rating