固定收益证券文献大全
厦门大学金融工程团队
目录
● Fit curve：Static and Dynamic model (2)
? 静态利率期限结构拟合方法 (2)
? 动态利率期限结构 (4)
? 加入宏观经济分析的利率期限机构的相关研究 (7)
● Forecasting (8)
? DTSM model(affine +risk price) (8)
? DTSM model (Macro economical factors) (9)
? DTSM(Latent Factor) (10)
● Information (13)
? Premium (13)
? Term premium and the mistake of Expectation Hypothesis (15)
? Forward interest rate and their expectation (18)
? Market volatile result from alternative of monetary policy (18)
? Information spill over among bond market and stock market (20)
? Relation between Interest rate and exchange rate (22)
● Pricing (24)
? Treasury Bond: (24)
? Defaultable bond(Corporate bond): (25)
? Other Derivatives: (26)
● Practical (27)
●Fit curve：Static and Dynamic model
?静态利率期限结构拟合方法
最主要的工作是估计贴现函数的形式，再通过贴现率与即期利率的关系，就可以很好地拟合利率期限结构。估计贴现函数形式方法有三种：
1.1 分段估计spline‐样条
（1）多项式样条法
Kalman J. Cohen, Robert L. Kramer and W. Howard Waugh. Regression Yield Curves for U.S. Government Securities.Management Science, Vol. 13, No. 4, Series B, Managerial (Dec., 1966), pp. B168‐B175
McCulloch,J.H.,1971.Measuring the Term Structure of Interest Rates.Journal of Business,19‐31.
McCulloch,J.H.(1975),“The Tax Adjusted Yield Curve,”Journal of Finance,30,811‐830.
Jordan,J.V.,1984,“Tax Effect in Term Structure Estimation”,Journal of Finance,Vol. XXXIX,No.2,393‐406.
Shea,G.S.,1984,“Pitfalls in Smoothing Interest Rate Term Structure Data:Equilibrium Model and Spline Estimations”,Journal of Financial and Quantitative Analysis,253‐69.
(2)指数样条法(Exponential Splines)
Vasicek,O.A.and Fong,H.G.(1982),“Term Structure Modeling Using Exponential Splines,” Journal ofFinance,37,339‐348.
TC Langetieg, JS Smoot.An appraisal of alternative spline methodologies for estimating the term structure of interest rates. 1981 ‐ Working Paper, University of Southern California
Shea,G.S.,1985,“Interest Rate Term Structure Estimation with Exponential Spline:A Note”,Journal of Finance,319‐25.
(3)B样条法(B‐ Splines)
Schaefer,S.M.,1973,On Measuring the Term Structure of Interest Rates,Discussion paper (London Business School).
Lin,B.H.,and D.A.Paxson,1995,“Term Structure Volatility and Bond Futures Embedded Options”,Journal of Business Finance and Accounting,22,1,101‐27.
Lin,B.H.,1999,“Fitting the Term Structure of Interest Rates for Taiwanese Government Bonds”,Journal of Multinational Financial Management,9,331‐52.
Deacon.M.,Derry,A.(1994)Estimating the Term Structure of Interest Rates,Working Paper，No.24,the Bank of England.
Michalis Ioamides,“Specification Analysis of Affine Term Structure Models,”Journal of Finance,55,1943‐1978.
1.2整条估计
（1）多项式法
Chambers,D.R.,W.T.Carleton,and D.R.Waldman,1984,“A New Approach to Estimation of the Term Structure of Interest Rates”,Journal of Financial and Quantitative Analysis,Vol.19,No.3,233‐52.
（2）简约模型
Nelson,C.R.and Siegel,A.F.(1987),“Parsimonious Modeling of Yield Curves,”Journal of Business,60,473‐489.
Svensson,L.E.O.,Estimating and Interpreting Forward Interest Rates:Sweden 1992‐1994[R] CEPR Discussion Paper Series No.4871.1994
Bliss,R.(1997a),“Movements in the Term Structure of Interest Rates,”Economic Review,FederalReserve Bank of Atlanta,82,16‐33.
Bliss,R.(1997b),“Testing Term Structure Estimation Methods,”Advances in Futures and OptionsResearch,9,97–231.
Soderlind,P.and Svensson,L.E.O.(1997),“New Techniques to Extract Market Expectations from Financial Instruments,”Journal of Monetary Economics,40,383‐430.
Bjok,T.and Christensen,B.(1999),“Interest Rate Dynamics and Consistent Forward Rate Curves,”Mathematical Finance,9,323‐348.
1.3最大平滑法
Adams和van Deventer(1994)[1.37]率先使用了平滑概念。
Adams,K.J.,and D.R.V.Deventer,1994,“Fitting Yield Curves andForward Curves withMaximum Smoothness”,The Journal of Fixed Income,52‐62.
Links:https://www.doczj.com/doc/4813659123.html,/Portals/0/doclibrary/KCP15.pdf
在运用平滑技术时，根据惩罚函数权重系数的不同，可以分为三类：
3.1 常数惩罚函数
M.Fisher,D.Nychka,and D.Zervos,Fitting the Term Structure of Interest Rates with Smoothing Splines[R],working paper,Finance and Economics Discussion Seriess,Federal ReservesBoard,1995
3.2分段惩罚函数
Waggoner,D.F.,Spline Methods for Extracting Interest Rate Curves from Coupon Bond Prices[R],Woring Paper 97‐10,Federal Reserve Bank of Atlanta,1997
3.3时变惩罚函数
Anderson,N.,and J.Sleath.New Estimates of the UK Real and Nominal Yield Curves [R],Working
Paper,Bank of England,2001
动态利率期限结构
2.1均衡模型
（1）单因素均衡模型
a. Merton模型
Merton R.C.An Intertemporal Capital Asset Pricing Model[J].Econometrica,Vol. 41, No. 5. (Sep., 1973), pp. 867‐887.
b. Vasicek模型
Vasicek O.An Equilibrium Characterization of the Term Structure[J].Journal of FinancialEconomics,1977,(5):177‐188.
c. CIR模型
Cox J.C.,J.E.Ingersoll and S.A.Ross.A Re‐Examination of Traditional Hypothesis about the Term Structure of Interest Rates[J].Journal of Finance,1981,(36):769‐799.
Cox J.C.,J.E.Ingersoll and S.A.Ross.A theory of the term structure of interest rates[J].Econometrica,1985b,53(2):385‐407.
与CIR模型相关的论文：
J.Huston Mcculloch. A Reexamination of Traditional Hypotheses about the Term Structure: A Comment[J]. The Journal of Finance, Vol. 48, No. 2 (Jun., 1993), pp. 779‐789
Chen, R. and L. Scott, 1992, " Pricing Interest Rate Options in a Two‐Factor Cox‐Ingersoll‐Ross Model of the Term Structure ", Review of Financial Studies 5, p.613‐636.
Gibbons, M. and K. Ramaswamy, 1993, " A Test of the Cox, Ingersoll, and Ross Model of the Term Structure ", Review of Financial and Quantitative Analysis, V12, p.541‐552.
Pearson and Sun, 1994, " Exploiting the Conditional Density in Estimating the Term Structure: An Application to the CIR Model ", Journal of Finance, 4, p.1279‐1304.
d. CKLS模型
Chan K.C.,G.A.Karolyi,F.A.Longstaff and A.B.Sanders.An Empirical Comparison of Alternative Models of the Term Structure of Interest Rates[J].Journal of Finance,1992,(47):1209‐1228.
与CKLS模型相关的论文：
K. B. Nowman .Gaussian Estimation of Single‐Factor Continuous Time Models of The Term Structure of Interest Rates[J].The Journal of Finance, Vol. 48, No. 2 (Jun., 1993), pp. 779‐789
Chan K.C.,G.A.Karolyi,F.A.Longstaff and A.B.Sanders.The Volatility of Short‐TermInterest Rates: An EmpiricalComparison of Alternative Models of the Term Structure of Interest Rates
Sundaresan, S.M. Constant Absolute Risk Aversion Preferences and Constant Equilibrium Interest Rates[J] .The Journal of Finance, Vol. 38, No. 1 (Mar., 1983), pp. 205‐212
（2）多因素均衡模型
a.Brennan‐Schwartz模型
Brennan M.J.and E.S.Schwartz.A Continuous Time Approach to the Pricing of Bonds[J]. Journal of Banking and Finance,1979,(3):133‐155.
b.Fong‐Vasicek模型
Fong G.H.and O.A.Vasicek.Interest Rate Volatility as a Stochastic Factor[Z].Ohio State University,1992.
c.Longstaff‐Schwartz模型
Longstaff F.A.and E.S.Schwartz.Interest Rate Volatility and Term Structure:A Two‐Factor General Equilibrium Model[J].Journal of Finance,1992,(47):1259‐1282.
Longstaff F.A.and E.S.Schwartz, " Implementation of the Longstaff‐Schwartz Interest Rate Model ", Journal of Fixed Income, 1993，p.7‐14.
其它：
Heath D.,R.Jarrow and A.Morton.Bond Pricing and the Term Structure of Interest Rates:A
New Methodology[J].Econometrica,1992,60(1):77‐105.
Ritchken, P. and L. Sankarasubramanian.Volatility Structures of Forward Rates and the Dynamics of the Term Structure ", Mathematical Finance , 1995a 5, p.55‐72.
2.2无套利模型
a. Ho‐Lee（1986）模型
Ho Thomas S.Y.and Sang‐Bin Lee.Term Structure Movements and the Pricing of Interest Rate Contingent Claims[J].Journal of Finance,1986,(41):1011‐1029.
b. Hull‐White模型
Hull John and Alan White.Pricing Interest Rate Derivative Securities.The Review of Financial Studies,1990,(3):573‐592.
Hull John and Alan White.Numerical Procedures for Implementing Term Structure Models I:Single‐Factor Models[J].The Journal of Derivatives,1994a,3(2):7‐16.
Hull John and Alan White.Numerical Procedures for Implementing Term Structure Models II:Two‐Factor Models[J].The Journal of Derivatives,1994b,4(2):37‐47.
c.Black‐Derman‐Toy（1990）和Black‐Karasinski（1991）模型
Black F.,E.Derman,and W.Toy.A One‐Factor Model of Interest Rates and Its Application to Treasury
Bond Options[J].Financial Analysts Journal,1990,46(1):33‐39.
Black F.and P.Karasinski.Bond and Option Pricing when Short Rates are Lognormal[J]. Financial Analysts Journal,1991,47(4):52‐59.
d. Heath‐Jarrow‐Morton模型
Heath D.,R.Jarrow and A.Morton.Bond Pricing and the Term Structure of Interest Rates:A Discrete Time Approximation[J].Journal of Financial Quantitative Analysis,1990,25(4):
419‐440.
与Heath‐Jarrow‐Morton模型相关论文：
Carverhill A., 1995, " A Simplified Exposition of the Heath, Jarrow and Morton Model " Stochastic and Stochastic Reports, Vol. 53, p. 227‐240.
Bhar, R. and C. Chiarella, 1995, " Transformation of Heath‐Jarrow‐Motorn Models to Markovian Systems ", Working Paper, University of Technology, Sydney
Baxter, Martin W, 1997, " General Interest‐Rate Models and the Universality of HJM ", In: Mathematics of Derivatives Securities, M.A.H.Dempster, S.R.Pliska, eds. Cambridge University Press, Cambridge, pp. 315‐335.
Links:https://www.doczj.com/doc/4813659123.html,/books?hl=zh‐CN&lr=&id=phg6oIkxsK4C&oi=fnd&pg=PA315&dq=G eneral+Interest+Rate+Models+and+the+Universality+of+HJM&ots=h_QCB4feFM&sig=omxbw5TS 8lMGcwZL06kjwtrrUBI
2.3其它模型
a. 考虑波动率GARCH效应的利率期限结构模型
Brenner R.J.,R.H.Harjes,and K.B.Kroner.Another Look at Models of the Short‐Term Interest Rate[J].Journal of Financial and Quantitative Analysis,1996,31(2):95‐107.
b.马尔科夫机制转换模型
Gray S.Modeling the Conditional Distribution of Interest Rates as Regime‐Switching Process[J].Journal of Financial Economics,1996,(42):27‐62.
Ball C.and W.Torous.Regime Shifts in Short‐Term Riskless Interest Rates[Z].University of California Los Angeles,1998.
Ang A.and G.Bekaert.Regime Switches in Interest Rates[J].Journal of Business and Economic Statistics,2002,(20):163‐182.
Links:https://www.doczj.com/doc/4813659123.html,/papers/w6508.pdf
c. 跳跃—扩散模型
Das S.R.The Surprise Element:Jumps in Interest Rates[J].Journal of Econometrics,2002, (106):27‐65.
Johannes M.The Statistical and Economic Role of Jumps in Interest Rates[J].Journal of Finance,2004,(59):227‐260.
Constantinides, G., 1992, " A Theory of the Nominal Term Structure of Interest Rates ", Review of Financial Studies, Vol. 5 . No. 4, p.53 1‐552.
加入宏观经济分析的利率期限机构的相关研究
3.1加入了Taylor rules 的研究
Carlo A. Favero.2005, Taylor rules and the term structure, Journal of Monetary Economics 53 (2006) 1377–1393.
Michael F. Gallmeyer，Burton Hollifield，Stanley E. Zin. November 2004, Taylor Rules, McCallum Rules and the Term Structure of Interest Rates
Efrem Castelnuovo. February 2003.Taylor Rules and Interest Rate Smoothing in the US and EMU.
John P. Judd and Glenn D. Rudebusch. Taylor’s Rule and the Fed: 1970–1997. FRBSF ECONOMIC REVIEW 1998, NUMBER 3.
Stefan Gerlach , Gert Schnabel . No. 73 – August 1999. The Taylor rule and interest rates in the EMU area.
Kozicki, S., 1999. How useful are Taylor rules for monetary policy? Economic Review, Federal Reserve Bank of Kansas City, 84, 5–33.
Nelson, E., 2000. UK monetary policy 1972–1997: a guide using Taylor rules. Bank of England Working Paper 120.
3.2其他宏观经济的模型
Peter Hordahl, Oreste Tristani, David Vestin. A joint econometric model of macroeconomic and term‐structure dynamics. Journal of Econometrics 131 (2006) 405–444.
Tao Wu, Glenn D. Rudebusch.A Macro‐Finance Model of the Term Structure,Monetary Policy, and the Economy.
Andrew Ang, Monika Piazzesi. July 2002.A no‐arbitrage vector autoregression of term structure dynamics with macroeconomic and latent variables. Journal of Monetary Economics 50 (2003) 745–787.
Monika Piazzesi. April 10, 2001.An economietric model of the yield curve with macroeconomic jump effects.
Qiang Dai, Thomas Philippon. November 2006. Fiscal Policy and the Term Structure of Interest Rates.
Andrea Carriero, Carlo A. Favero,Iryna Kaminska. Financial factors, macroeconomic information and the Expectations Theory of the term structure of interest rate. Journal of Econometrics 131 (2006) 339–358.
Tao Wu, August 23 2001, Macro Factors and the Affine Term Structure of Interest Rates.
Charles L.Evans,Divid A. Marshall. Monetary policy and the term structure of nominal interest rates evidence and theory.
Geert Bekaert , Seonghoon Cho , Antonio Moreno,New‐Keynesian Macroeconomics and the Term structure
Francis X. Diebold , Glenn D. Rudebusch , S. Boragan Aruoba .The macroeconomy and the yield curve: a dynamic latent factor approach. Journal of Econometrics 131 (2006) 309–338
Hans Dewachter , Marco Lyrio . April 4, 2003 .Macro factors and the Term Structure of Interest Rates
Gurkaynak, R.S., Sack, B., Swanson, E., 2003. The excess sensitivity of long‐term interest rates: evidence and implications for macroeconomic models. Manuscript, Federal Reserve Board.
Glenn D. Rudebusch .Term structure evidence on interest rate smoothing and monetary policy inertia. Journal of Monetary Economics 49 (2002) 1161–1187
以上系王为宁 韩露 搜集。
●Forecasting
?DTSM model(affine +risk price)
Starting with Vasicek (1977) and Cox, Ingersoll, and Ross (1985), an enormous literature has focused on building and estimating dynamic models of the term structure. By specifying particular functional forms for both the risk‐neutral dynamics of short term interest rates and the compensation investors require to bear interest rate risk, these models describe the evolution of yields at all maturities. Much of the literature focuses on the affine class characterized by Duffie and Kan (1996). This class allows multiple state variables to drive interest rates and has the computationally convenient feature that bond yields are linear functions of these variables.
(1)The first generation of affine models:
imposed two specializing assumptions: the state variables are independent and
the price of risk is a multiple of interest rate volatility
Vasicek, Oldrich A., 1977, An equilibrium characterization of the term structure, Journal of Financial Economics
Cox, John C., Jonathan E. Ingersoll, Jr., and Stephen A. Ross, 1985, A theory of the term structure of interest rates, Econometrica
(2)The second generation of affine models
relax some asumptions of first generations
Dai, Qiang, and Kenneth J. Singleton, 2000, Specification analysis of affine term structure models, Journal of Finance find strong evidence of nonzero correlations among the state variables，estimate affine models in which the state variables are allowed to be correlated, while retaining the assumption that the price of risk is proportional to volatility.
Duffee, Gregory R., 2002, Term premia and interest rate forecasts in affine models, Journal of Finance finds that the restriction on the price of risk implies unrealistic behavior for bonds’ excess returns. Moreover, there is evidence of nonlinearity in expected interest rate movements .
Ahn, Dong‐Hyun, Robert F. Dittmar, and A. Ronald Gallant, 2002, Quadratic term structure models: Theory and evidence, Review of Financial Studies & Leippold, Markus, and Liuren Wu, 2002, Asset pricing under the quadratic class, Journal of Financial and Quantitative Analysis construct models with fairly general specifications of the price of risk that produce nonlinear dynamics.
Duarte, Jefferson, 2004, Evaluating an Alternative Risk Preference in Affine Term Structure Models Review of Financial Studies This paper examines whether the empirical limitation can be solved by an alternative parametrization of the price of risk. The empirical evidence suggests that:the proposed parametrization for the price of risk helps affine models to match the time variability of the term premium, but the improvement is not sufficient to solve the mean/volatility tension.
DTSM model (Macro economical factors)
S Joslin,M Priebsch,KL Singleton ,2008,Risk Premium Accounting in Macro‐Dynamic Term Structure Models This paper reassesses the risk‐premium accounting the decomposition of variation in bond yields into expectations and term premium components within a dynamic term structure model that explicitly incorporates information about inflation and the growth in real output
NaiFu Chen ,Richard Roll,Stephen A. Ross 1986 Economic Forces and the Stock Market Journal of business This paper tests whether innovations macroeconomic variables are risks that are rewarded in the stock market
Peter Hordahl,Oreste Tritani and David Vestin 2006,Journal of Ecnometric A joint econometric model of macroeconomic and term structure dynamics The paper construct and estimate a joint model of macroeconomic and yield curve dynamics. A small‐scale rational expectations model describes the macroeconomy.Bond yields are affine functions of the state variables of the macromodel,and are derived assuming
absence of arbitrage opportunities and a flexible price of risk specification.
Francis X. Diebold, Monika Piazzesi, and Glenn D. Rudebusch,2005 Modeling Bond Yields in Finance and Macroeconomics American Economic Review This paper discuss some salient questions that arise in this research, and also present a new examination of the relationship between two prominent models in this literature: the Nelson‐Siegel and affine term structure models.
Francis X. Diebold, Glenn D. Rudebusch,S. Boragan Aruoba ,2006,The macroeconomy and the yield curve: a dynamic latent factor approach,Journal of Econometrics The paper estimate a model that summarizes the yield curve using latent factors (specifically, level,slope, and curvature) and also includes observable macroeconomic variables (specifically, real activity, inflation, and the monetary policy instrument). It find strong evidence of the effects of macro variables on future movements in the yield curve and evidence for a reverse influence as well.
Hans Dewachter and Marco Lyrio,2003 ,Macro factors and the Term Structure of Interest Rates This paper presents an essentially affine model of the term structure of interest rates making use of macroeconomic factors and their long‐run expectations. The paper also provides a macroeconomic interpretation for the factors found in a latent factor model of the term structure. More specifically, the paper find that the standard “level” factor is highly correlated to long‐run inflation expectations, the “slope” factor captures temporary business cycle conditions, while the “curvature” factor represents a clear independent monetary policy factor.
Tao Wu,2005 Macro Factors and the Affine Term Structure of Interest Rates
This paper formulates an affine term structure model of bond yields from a dynamic stochastic equilibrium model, with observable macro state variables as theterm structure factors.
DTSM(Latent Factor)
Gregory Mankiw and Jeffrey A. Miron ，The Changing Behavior of the Term Structure of Interest Rates
This paper reexamines the expectations theory of the term structure using data at the short end
of the maturity spectrum.
Charles Nelson and Andrew Siegel , Parsimonious Modeling of Yield Curves, 1987
This is a popular approach among central‐bank practitioners in constructing bond yield factors and factor loadings, this representation is effectively a dynamic three‐ factor model of level, slope, and curvature. However, the Nelson‐Siegel factors are unob‐ served, or latent, which allows for measurement error, and the associated loadings have plausible economic restriction
Andrew F.Seigel and Charles R.Nelson, Long‐Term Behavior of Yield Curves, Journal of Financial
and Quantitative Analysis, Vol.23, No.1, March 1988
This paper introduces the use of a “reciprocal maturity yield curve”, which significantly facilitates the interpretation of the behavior of long‐term yields by linearizing for display over a shorter interval.
Francis X. Diebold, Marc Nerlove, The Dynamics of Exchange Rate Volatility: A Multivaraite Latent Factor ARCH Model, Journal of Applied Econometrics, Vol. 4, 1‐21(1989)
This paper studies temporal volatility patterns in seven nominal dollar spot exchange rates.The key element of the multivariate approach is exploitation of factor structure, which facilitates tractable estimation via a substantial reduction in the number of parameters to be estimated.
FRANCIS X. DIEBOLD, MONIKA PIAZZESI, AND GLENN D. RUDEBUSC, Modeling Bond Yields in Finance and Macroeconomics
This paper is a kind of comparison of the models constructed.
Andrew Ang Monika Piazzesi, A no‐arbitrage vector autoregression of term structure dynamics with macroeconomic and latent variables, Journal of Monetary Economics 50 (2003) 745–787
This paper describes the joint dynamics of bond yields and macroeconomic variables in a Vector Autoregression, where identifying restrictions are based on the absence of arbitrage.
Darrell Duffie, Rui Kan, A Yield‐Factor Model of Interest Rates, Mathemciricd Finatiw, Vol. 6. No. 4 (October l996), 379406
This is an N‐factor affine term structure model (ATSM) introduced by Duffie and Kan. This paper presents a consistent and arbitrage‐free multifactor model of the term structure of interest rates in which yields at selected fixed maturities follow a parametric multivariate Markov diffusion process with “stochastic volatility.”
Term Premia and Interest Rate Forecasts in Affine Models(未下到，此篇是上篇的实证)
Mardi Dungey, Vance L Martin, Adrian R Pagan, A Multivariate Latent Factor Decomposition of International Bond Yield Spreads, Jounrnal of Applied Econometrics J.Appl.Econ.
15:697‐715(2000)
A factor analysis of long‐term bond spreads is performed by decomposing internantional interest rate spreads into national and global factors. The factors are latent, and are assumed to have GARCH‐type specifications as well as exhibiting serial dependence.
Dong‐Hyun Ahn, Bin Gao, A parametric Nonlinear Model of Term Structure Dynamics, The Review of Financial Studies; 1999; 12, 4; ABI/INFORM Global
This paper introduces an alternative model for the existing affine models, and this model delivers closed‐formed solutions for bond prices and a concave relationship between the interest rate and the yields.
Michael W. Brandt, David A. Chapman, Comparing Multifactor Models of the
Term Structure, December 01, 2002
Glenn Rudebusch, Tao Wu, Th e Recent Shift in Term Structure Behavior from a
No‐arbitrage Macro‐finance Perspective, Working Paper 2004‐25
This paper examines a recent shift in the dynamics of the term structure and interest rate risk. The authors estimate dynamic, affine ,no‐arbitrage models, which exhibit a significant difference in behavior that can be largely attributed to changes over time in the pricing of risk associated with a ”level” factor.
Dong‐Hyun Ahn; Robert F. Dittmar; A. Ronald Gallant , Quadratic Term Structure Models: Theory and Evidence, The Review of Financial Studies; Mar 2002; 15, 1; ABI/INFORM Global pg. 243
This article theoretically explores the characteristics underpinning quadratic term structure models(QTSMs).
Qiang Dai, Kenneth J. Singleton, Wei Yang, Regime Shifts in a Dynamic Term Structure Model of U.S. Treasury Bond Yields,
This article develops and empirically implements an arbitrage‐free, dynamic term structure model with ‘‘priced’’ factor and regime‐shift risks.This model gives closed‐form solutions for zero‐coupon bond prices, an analytic representation of the likelihood function for bond yields, and a natural decomposition of expected excess returns to components corresponding to regime‐shift and factor risks.
Qiang Dai, Kenneth J. Singleton, Expectation puzzles, time‐varying risk premia, and affine models of the term structure, Journal of Financial Economics 63 (2002) 415–441
This paper matches all the key empirical findings reported by Fama and Bliss ((1987) American Economic Review 77 (4), 680–692) and Campbell and Shiller ((1991) Review of Economic Studies 58, 495–514), among others, within large subclasses of affine and quadratic‐Gaussian term structure models. Additionally, we show that certain ‘‘risk‐premium adjusted’’ projections of changes in yields on the slope of the yield curve recover the coefficients of unity predicted by the models.
Qiang Dai; Kenneth Singleton , Term Structure Dynamics in Theory and Reality, The Review of Financial Studies; Autumn 2003; 16, 3; ABI/INFORM Global
pg. 631
This article is a critical survey of models designed for pricing fixed‐income securities and their associated term structures of market yields.
Michael F.Gallmeyer , Burton Hollifield, Stanley E.Zin, Taylor rules, McCallum rules and the term structure of interest rates
Francis X. Diebolda,b, Canlin Li, Forecasting the term structure of government bond yields
This paper uses neither the no‐arbitrage approach nor the equilibrium approach. Instead, it uses variations on the Nelson–Siegel exponential components framework to model the entire yield curve, period‐by‐period, as a three‐dimensional parameter evolving dynamically. It shows that the three time‐varying parameters may be interpreted as factors corresponding to level, slope and curvature, and that they may be estimated with high efficiency.
以上系吴江宏 赵博 搜集
●Information
?Premium
（一）credit premium
信用差价的影响因素研究
1.FA Longstaff,and ES Schwartz,1995,”A simple approach to valuing risky fixed and floating rate debt”, Journal of Finance,3,789-891.
2.P.Collin-Dufresne, RS Goldstein, JS Martin , 2001”The Determinants of Credit Spread Changes”, Journal of Finance,2177-2280
3.R Cantor, F Packer, 1996 ,”Determinants and Impact of Sovereign Credit Ratings”, Economic Policy Review,37-53
4. L Fisher,1959,”Determinants of Risk Premiums on Corporate Bonds”, The Journal of Political Economy,217-237
5.D Madan and H Unal,2000,“A Two-Factor Hazard-Rate Model for Pricing Risky Debt and the Term Structure of Credit Spreads”，Journal of Financial and Quantitative Analysis
6.E Jones, S Mason, E Rosenfeld ,1984”Contingent claims analysis of corporate capital structures: an empirical analysis”, Journal of Finance
信用利差的模型分析
1.RC Merton ,1974,” On the Pricing of Corporate Debt: The Risk Structure of Interest Rates”
Journal of finance, 1974.
2.Chunsheng Zhou，1997，“A Jump‐Diffusion Approach to modeling credit risk and valuing defaultable securities”working paper, Federal Reserve Board.
3.D Duffie, KJ Singleton,1999,” Modeling Term Structures of Defaultable Bonds” The Review of Financial Studies,687‐782
4.R.Litterman and T.Iben 1991“Corporate bond valuation and the term structure of credit spreads” Journal of Portfolio Management
5.RA Jarrow, SM Turnbull ,1995,”Pricing Derivatives on Financial Securities Subject to Credit Risk”, The Journal of Finance,53‐85
6. MJ Brennan, ES Schwartz,1980”Conditional Predictions of Bond Prices and Returns”, The Journal of Finance
7. Huang, J., and M. Huang, 2003, “How much of the Corporate‐Treasury yield spread is due to credit risk”, Working paper, Stanford University.
信用利差的期限结构
1.Duffie, D.and Lando, D., 2001, “Term structures of Credit Spreads Within Incomplete Accounting Information”,Econometrica
2.RA Jarrow,and D Lando, SM Turnbull.1997 “A Markov model for the term structure of credit risk spreads” Review of financial studies,421‐523
3.Chunsheng Zhou ,2001,”The term structure of credit spreads with jump risk” Journal of Banking and Finance,2015‐2040
4. Leland, Hayne and Klaus Toft, 1996, “Optimal Capital Structure, Endogenous Bankruptcy, and the Term Structure of Credit Spreads," Journal of Finance, 51, 987-1019.
5. Nielsen, L., J. Sao-Requejo, and P. Santa-Clara, 1993, “Default Risk and Interest Rate Risk: The Term Structure of Default Spreads," working paper, INSEAD
6. R Litterman, T Iben,1991,”Corporate bond valuation and the term structure of credit spreads” Journal of Portfolio Management,
7. JS Fons ,1994”Using Default Rates to Model the Term Structure of Credit Risk”, Financial Analysts Journal,25-32
（二）liquidity premium
1..FA Longstaff ,2004,”The flight-to-liquidity premium in U.S. treasury bond prices”, The Journal of Business ,511-526
2. Y Amihud, H Mendelson ，1991“Liquidity, Maturity, and the Yields on US Treasury Securities” Journal of Finance，1411-1425
3. JH McCulloch,1975, “An Estimate of the Liquidity Premium” ,The Journal of Political Economy,95-120
4. Campbell, J.Y., 1986,”A Defense of Traditional Hypotheses about the Term Structure of Interest Rates”, Journal of Finance, vol.41, 183-193.
5. Cargill, T.F., 1975, “The Term Structure of Interest Rates: A Test of the Expectations Hypothesis”, Journal of Finance, vol.30, 761-771.
6. Oslen, R.A., 1974, “The Effect of Interest Rates Risk on Liquidity Premium: An Empirical Investigation”, Journal of Financial and Quantitative Analysis, vol.9, 901-910.
7. Nelson, C.R.,1972, “Estimation of Term Premiums from Average Yield Differentials in the
Term Structure of Interest Rates”, Econometrica, vol. 40, 277-287.
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10. L Chen, DA Lesmond, JZ Wei, OB Drive,2007” Corporate Yield Spreads and Bond Liquidity”, The Journal of Finance,119-149
（三）tax premium
JH McCulloch,1975,”The Tax-Adjusted Yield Curve”, Journal of Finance,811-830
SM Schaefer.1981,” Measuring a tax-specific term structure of interest rates in the market for British government securities”.The Economic Journal, 91(362):415-438.
EI Ronn,1987” A new linear programming approach to bond portfolio management”, The Journal of Financial and Quantitative Analysis, 439-466.
JV Jordan,1984.” Tax effects in term structure estimation”.The Journal of Finance, 393-406.
RH Litzenberger, J Rolfo,1984” An international study of tax effects on government bonds”.The Journal of Finance, 1-22.
（四）几种溢价
1.Duffie.D,and KJ.Singleton,1997,”an econometric model of the term structure of interest-rate swap yields”, Journal of finance,1287-1321
2.FA Longstaff, S Mithal, E Neis ,2005,”Corporate yield spreads: default risk or liquidity? New evidence from the credit default swap market”, Journal of Finance,
3.EJ Elton, MJ Gruber, D Agrawal and C Mann ,2001,”Explaining the rate spread on corporate bonds”, Journal of Finance
4.G Delianedis, R Geske,2001,” The components of corporate credit spreads: Default, recovery, tax, jumps, liquidity, and market factors” UCLA Finance Paper,22
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6.A Kamara ,1994”Liquidity, Taxes, and Short-Term Treasury Yields” Journal of Financial and Quantitative Analysis,403‐417
7.EJ Elton, TC Green ,1998,”Tax and Liquidity Effects in Pricing Government Bonds” The Journal of Finance
Term premium and the mistake of Expectation Hypothesis 利率期限结构是由不同期限的利率所构成的一条曲线。为了解释不同形状的利率期限结构，学者就提出了几种不同的理论假设，包括：纯预期假设（expectation hypothesis），市场分割假设（market segmentation hypothesis）和流动性偏好假设（liquidity preference hypothesis）。
其中纯预期理论的观点为：在市场均衡条件下，远期利率代表了对市场未来时期的即期利率的预期。
利率期限结构有以下特征：1、向上倾斜的收益率曲线意味着市场预期未来的短期利率
会上升；2、向下倾斜的收益率曲线是市场预期未来的短期利率将会下降；3、水平型收益率曲线是市场预期未来的短期利率将保持稳定；4、峰型的收益率曲线则是市场预期较近的一段时期短期利率会上升，而在较远的将来，市场预期的短期利率将会下降。
对纯预期理论的分析大致分为两种：
1、对市场预期假设自身矛盾的分析
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以上系 林拓 李蕾 搜集
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Information spill over among bond market and stock market
关于申办金融工程专业（本科）的论证报告为使高校教育适应国家经济发展、对外开放和西部大开发的需要，贯彻中央关于西部大开发战略部署和教育部、国家民委关于拓宽、改造专业的一系列指示，为了振兴民族经济，培养民族地区经济建设的急需人才，特申报2005年新开办“金融工程（本科）”。 一、专业情况 金融工程是以经济学、金融学、管理学理论为基础，综合运用工程与计算技术、方法研究固定收益证券和开发金融衍生产品及风险管理技术，创造性地解决复杂金融问题的一门新兴金融学科。本专业旨在培养具有现代金融理论、经济、管理、法律、信息技术及数理工程方面知识；能够开发、设计、综合运用新的金融工具和手段，创造性地解决金融实务问题；开展金融风险管理、投资与现金管理、公司理财以及金融产品的定价研究；能够在跨国公司、金融机构和高等院校从事金融、财务管理以及教学、科研的高素质复合人才。要求学生不仅具有扎实的金融、数学、计算机知识和较高的外语水平，同时要求学生具有较强的创新意识、开拓精神和解决实际问题的能力。 二、专业发展前景分析 金融工程在二十世纪80年代诞生于美国，随即在发达国家（包括我国的港澳台地区）得到了广泛的传播与应用，发挥了很大作用。我国实行改革开放政策以来，从计划经济过渡到市场经济，开创了金融工程应用的新局面，近十年在国内特别在制造业中得到了迅速应用，并成为了整个施工过程中最关键的环节。目前国内很多大型企业和外资企业设有专门的工程管理部门及工程管理工程师。随着经济的全球化和中国加入WTO，各行各业对工程管理人才的需求正在迅猛增加，工程管理工程师正日益成为深受欢迎的职业。 三、需求分析 金融工程是现代金融的前沿，金融工程专业培养的高层次、国际化和运用型的现代金融人才在金融经济全球化与我国加入WTO的形势下，将有着广泛的需求和广阔的发展前景。一方面，在经济金融全球化背景下，企业的投融资部门迫切1
《固定收益证券分析》作业一 1．三年后收到的1000元，现在的价值是多少？假设利率是20%，但各自情形如下： a.年复利 b.半年复利 c.月复利 d.连续复利 解：a. 现值=1000/ (1+20%)3 =578.7037 b. 现值=1000/ (1+20%/2)6 =564.4739 c. 现值=1000/ (1+20%/12)36 =551.5323 d. 现值=1000/e 20%×3=548.8116 问题： （1）连续复利，1000/(1+20%/365)3*365，是日复利 2．考虑下列问题： a.有一只1年期国债，零息贴现发现，发行日为3月15日，到期日为第二年的3月15日， 当前日期为第二年3月10日，价格为99.97，问：到期收益率为多少呢？ b.另有一只2年期付息券，息票率为4.3%，每年付息一次，发行日为07年10月20日，09 年10月20日到期，当前日期为08年3月10日，价格为101.05，问：到期收益率为多少？ 解：假设到期收益率为y A． 99.97=100/(1+y)5/365，求得：y=2.21% B.按全价算： 101.05= 4.3/(1+y)224/365+104.3/(1+y)1+224/365 求得：y=4.68% 问题： （1）全价求法，答案却为3.6％；公式用错了 3．有某公司本打算发行固定利率9% 的债券，面值5000万元。但由于市场的变化，投资者改成发行浮动利率和逆浮动利率两种债券，其中浮动利率债券的面值3000万元，逆浮动利率债券的面值2000万元，浮动利率债券的利率按照下面公式确定： 1-month LIBOR+3% 假定债券都是按照面值发行，请根据以上信息确定逆浮动利率债券的利率确定方法。
固定收益证券课程教学大纲 《固定收益证券》课程教学大纲 一、课程名称:固定收益证券 Fixed Income Securities 二、课程编 码:0200791 三、学时与学分:32/2 四、先修课程:财务管理 五、课程教学目标 1、帮助学生掌握固定收益证券基本内容，包括:固定收益证券的计价习惯，零息债券， 附息债券，债券持续期、凸性和时间效应，利率期限结构模型，债券定价等; 2、引导学生理解并掌握固定收益证券行业中的重要术语;掌握分析利率变化和评估固 定收益证券及其衍生品价值的工具;学会管理固定收益证券的利率风险; 3、使学生了解固定收益证券的现状和发展，深入研究固定收益证券分析，以深刻的掌 握固定收益证券定价方法及使用。 六、适用学科专业 金融工程 七、基本教学内容与学时安排 第一部分金钱的时间价值(2学时) 第二章未来价值 第三章现时价值 第四章收益率(内部收益率)
第二部分无期权债的定价和收益率测度(6学时) 第五章债券的价格 第六章债券的传统收益率侧度 第七章收益曲线、即期利率曲线和远期利率 第三部分投资收益分析(4学时) 第八章潜在的美元收益来源 第九章总收益率 第十章测量历史业绩 第四部分无期债券的价格波动率(8学时) 第十一章无期债券的价格波动率特性 第十二章价格波动率测度:PVBP和价格变化的YV 第十三章价格波动率测度:久期 第十四章价格波动率测度:凸性 第十五章久期与收益曲线 第五部分分析含内嵌期权的债券(6学时) 第十六章买权:投资特征和价格特征 第十七章含内嵌期权的债券的定价和价格波动率第六部分(略) 第七部分统计和优化技术(4学时) 概率理论第二十一章 第二十二章模拟 第二十三章回归分析 第二十四章优化模型 八、教材及参考书
金融分析师(CFA)是证券投资与管理界的一种职业资格称号，在投资金融界被誉为“金领阶层”，在西方一直被视做进军华尔街的“入场券”。美国、加拿大、英国等国家的许多投资管理机构甚至已经把CFA资格作为对其雇员入职的基本要求。 职位简介 金融分析师是证券投资与管理界的一种职业资格称号，CFA是“注册金融分析师”(CharteredFinancialAna-lyst)的简称的缩写，它是证券投资与管理界的一种职业资格称号，他们分布在证券公司、商业银行、保险公司以及投资机构。由美国“注册金融分析师学院”(ICFA)发起成立。该学院最初是在1959年6月由美国“金融分析师联合会”(FAF)同意在弗吉尔亚的夏洛茨维尔市与弗尔市与弗吉尼亚大学联合设立。 在我国金融分析师目前只有人力资源和社会保障部中国就业培训技术指导中心2013年开展的CETTIC金融分析师培训证书项目，主要是针对国内的金融行业从业人员的一种职业培训证书。 工作内容 金融分析师是证券投资与管理界的一种职业资格称号，CFA是“注册金融分析师”(CharteredFinancialAna-lyst)的简称的缩写，它是证券投资与管理界的一种职业资格称号，他们分布在证券公司、商业银行、保险公司以及投资机构。由美国“注册金融分析师学院”(ICFA)发起成立。该学院最初是在1959年6月由美国“金融分析师联合会”(FAF)同意在弗吉尔亚的夏洛茨维尔市与弗尔市与弗吉 尼亚大学联合设立。2申报条件 （具备下列条件之一） 一、助理金融分析师 1、本科以上或同等学历学生； 2、大专以上或同等学力应届毕业生并有相关实践经验者； 二、金融分析师 1、已通过助理金融分析师资格认证者； 2、研究生以上或同等学历应届毕业生； 3、本科以上或同等学力并从事相关工作一年以上者； 4、大专以上或同等学力并从事相关工作两年以上者。
《固定收益证券》综合测试题（一） 一、单项选择题 1．固定收益产品所面临的最大风险是（B ）。 A.信用风险 B.利率风险 C.收益曲线风险 D.流动性风险 2．世界上最早买卖股票的市场出现在（ A ） A.荷兰 B.英国 C.印度 D.日本 3．下列哪种情况，零波动利差为零？( A ) A.如果收益率曲线为平 B.对零息债券来说 C.对正在流通的财政债券来说 D.对任何债券来说 4．5年期，10%的票面利率，半年支付。债券的价格是1000元，每次付息是（ B ）。 A.25元 B.50元 C.100元 D.150元 5．现值，又称（ B ），是指货币资金现值的价值。 A.利息 B.本金 C.本利和 D.现金 6．投资人不能迅速或以合理价格出售公司债券，所面临的风险为（ B ）。 A.购买力风险 B.流动性风险
— C.违约风险 D.期限性风险 7．下列投资中，风险最小的是（A ）。 A.购买政府债券 B.购买企业债券 C.购买股票 D.投资开发项目 8．固定收益债券的名义收益率等于（A ）加上通货膨胀率。 A.实际收益率 B.到期收益率 C.当期收益率 D.票面收益率 9．零息票的结构没有（B ），而且对通胀风险提供了最好的保护。 A.流动性风险 B.再投资风险 C.信用风险 D.价格波动风险 10．下列哪一项不是房地产抵押市场上的主要参与者（D ） A.最终投资者 B.抵押贷款发起人 C.抵押贷款服务商 D.抵押贷款交易商 11．如果采用指数化策略，以下哪一项不是限制投资经理复制债券基准指数的能力的因素？( B) A.某种债券发行渠道的限制 B.无法及时追踪基准指数数据 C.成分指数中的某些债券缺乏流动性 D.投资经理与指数提供商对债券价格的分歧 12．利率期货合约最早出现于20世纪70年代初的（A ） A.美国
《固定收益证券》教学大纲 “Fixed Income Securities” Syllabus 课程编号：150092B 课程类型：专业选修课 总学时：32 讲课学时：32 实验（上机）学时：0 学分：2 适用对象：金融学（金融经济） 先修课程：无 Course code: 150092B Course Type: Optional field course Credit hours: 32 Lectures: 32 Practice: 0 Credits: 2 Major: Finance（Finance and Economics Experimental Class） Prerequisite: None 一、课程的教学目标（Learning objective） 固定收益证券是金融类专业本科生的专业课。其在行业内的重要性体现在以下三点：第一，目前是全球交易的金融资产中固定收益证券比重最大。其次，机构投资者，比如银行、养老基金或是共同基金所设计的投资组合中固定收益证券和利率的衍生工具占比最大。最后，理解利率的变化并对其建模是实行好的风险管理的重要前提。该课程的教学对培养与训练学生金融学思维方式，提高其综合素质和能力有非常重要的意义。本课程教学的主要目标是培养学生掌握固定收益类证券的基本理论知识，使学生能够将所学知识应用到将来所从事的金融证券行业的工作中去，或为本科以后阶段的学习打下坚实的理论基础。 Fixed income securities is a field course in Finance major. The course is an important course for three reasons. First, fixed income securities constitute by far the largest portion of globally traded assets. Institutional investors, such as banks, pension funds or mutual funds, have most of its trading portfolio composed of fixed income securities (treasury bills and bonds) and interest rate derivatives. Second, in developed financial markets, a significant part of capital for business is raised through issuing of corporate bonds. Last, but not least, proper understanding of changes in the interest rates and the ability to model them is a prerequisite for a good risk management. The instruction of fixed income securities plays very important role in building up students’ thinking as a practitioner in finance industry for the learners, and improving their comprehensive abilities to work and study. The aim of this course is to help student understand the basic theories and knowledge of fixed income securities, and apply the knowledge in this course to their future work in finance industry; or be well prepared for their future study in this field. 二、教学基本要求（Teaching requirements） （一）教学内容(teaching materials) 这门课主要覆盖了以下十部分内容：(1)固定收益证券的概念、债券的种类。(2)债券发行市场、流通市场、债券交易、债券评级。(3)货币的时间价值、债券价值、复杂情况下债券价值等的计算。(4)债券收益率。(5)凸性和久期的概念，票面利率大小、到期时间、初始收益率与债券价格波动的关系。(6)名义利率决定理论、利率期限结构理论。(7)利率期货、利率期权、利率掉期。(8)利率衍生工具的定价。(9)可转换债券定价与收益分析。(10)债券投资组合管理策略。 The course covers (1) the concept of fixed-income securities, types of bond. (2) bond issue market, secondary market, bond trading, bond rating. (3) the time value of money, bonds’ value,
证券基础知识考试题库 1.证券市场的结构 发行人以筹资为目的，按照一定的法律规定，向投资者出售新证券形成的市场称为()。(单项选择题) 1. A：一级市场 2. B：二级市场 3. C：二板市场 4. D：三板市场 2.证券市场的结构 证券市场按照证券进入市场的顺序，可以分为()。(单项选择题) 1. A：发行市场与交易市场[1] 2. B：场外市场与交易所市场[1] 3. C：主板市场与二板市场[1] 4. D：二板市场与三板市场[1] 3.有价证券的分类 广义的有价证券包括()、货币证券和资本证券。(单项选择题) 1. A：商品证券[1] 2. B：凭证证券[1] 3. C：权益证券[1] 4. D：债务证券[1]vn 4.有价证券的分类 商业汇票和商业本票属于()。(单项选择题) 1. A：货币证券[1] 2. B：权益证券[1] 3. C：资本证券[1] 4. D：凭证证券[1] 5.有价证券的分类 按证券的经济性质分类，有价证券可分为()。(单项选择题) 1. A：政府证券、金融证券、公司证券[1] 2. B：上市证券、非上市证券[1] 3. C：公募证券和私募证券[1] 4. D：股票、债券和其他证券[1] 6.有价证券的分类 证券按照它的()，可分为股票、债务和其他证券三大类。(单项选择题) 1. A：募集方式[1] 2. B：收益是否固定[1] 3. C：经济性质[1] 4. D：发行主体[1] 7.有价证券的分类 向少数特定的投资者发行、审查条件相1较松、不采用公示制度的证券是()。(单项选择题) 1. A：国际证券[1] 2. B：特定证券[1] 3. C：私募证券[1] 4. D：固定收益证券[1] 8.诚信建设的有效措施 1于主承销商首次公开发行股票及进行重大重组的上市公司增发或配股的，证券公司应按有关规定履行其1发行人的发行()。(单项选择题) 1. A：尽职调查[1] 2. B：上市辅导[1] 3. C：发行审核[1] 4. D：盈利预测[1] 9.交易所登记结算公司诚信建设的主要内容 ()是交易所及登记结算机构必须妥善保管的资料。(单项选择题) 1. A：交易记录[1] 2. B：原始凭证[1] 3. C：结算凭证[1] 4. D：证券登记帐户[1] 10.交易所登记结算公司诚信建设的主要内容 交易所应加强1()行为的监控，要能及时发现股价异常波动情况，并及时全面的监管部门报告。(单项选择题) 1. A：信息披露[1] 2. B：市场操纵[1] 3. C：内幕交易[1] 4. D：市场欺诈[1] 11.交易所登记结算公司诚信建设的主要内容 交易组应按照()的要求，认真负责的组织好日常交易(单项选择题) 1. A：《交易所章程》[1] 2. B：《证券法》[1] 3. C：《股票发行与交易管理暂行条件》[1] 4. D：《三公原则》[1] 12.政府债券的性质和特征 公司债券比相同期限政府债券的利率高，这是1()的补偿。(单项选择题)
第六章股票融资 一、名词解释 股票累积优先股 二、单项选择 1投票权属于普通股股东权利中的（） A分享盈余权 B 优先认股权C公司管理权D剩余财产要求权 2资金成本高而财务风险一般的筹资方式是（） A发行债券B发行股票C长期借款D融资租赁 3下列筹资方式中不属于筹集长期资金的是（） A吸收投资 B 商业信用 C 融资租赁D发行股票 4相对于股票筹资而言，银行借款的缺点是（） A财务风险大B筹资成本高C筹资限制少D筹资速度慢 5对于股份有限公司有利的优先股种类是（） A累积优先股B可赎回优先股C参与优先股D可转换优先股 6.下面四种投资中最安全的是（） A商业票据B金融债券C短期国库券D长期国库券 7为了降低通货膨胀带来的购买力下降的风险，更适合作为避险工具的是（） A国库券B金融债券C普通股D优先股 8.石油公司预期来年的每股收益为元，如果石油行业的平均市盈率为20，则该石油公司股票的内在价值为（）元。 A8 22.78 C D50 9.普通股股东收益的大小与风险呈（）关系 A正向B反向C函数D没有 10.属于无偿配股发行的是（） A公开招股B配股C股票分红D公募发行 11我国公司法规定，股票发行不允许采用（）的方式 A平价发行 B 溢价发行C折价发行D私募发行 12普通股的账面价值是指按账面计算的每一普通股股份的（） A资产总值B资产净值C现金流量D净利润 13普通股的内在价值是指普通股的预期（）的现值 A未来现金流入B利润C营业收入D资产 14优先股股东比普通股股东享有一些优先权，其优先权主要表现在优先分配股利和优先（） A投票权B参与管理C索取内部信息D分配剩余财产 15.普通股股东投资收益的形式是股利或者红利，公司债券持有者投资收益的形式是债券利息，以下说法正确的是（） A利息支付时间和数额是不固定的B利息支付时间和数额是固定的 C股利支付时间固定，数额不固定D股利支付时间不固定，数额固定 16.（）具有节税作用。 A普通股现金股利B普通股股票股利C优先股股利D公司债券利息17.当市场利率高于债券名义利率，投资者以（）购买才能获得债券
固定收益证券文献大全 厦门大学金融工程团队 目录 ● Fit curve：Static and Dynamic model (2) ? 静态利率期限结构拟合方法 (2) ? 动态利率期限结构 (4) ? 加入宏观经济分析的利率期限机构的相关研究 (7) ● Forecasting (8) ? DTSM model(affine +risk price) (8) ? DTSM model (Macro economical factors) (9) ? DTSM(Latent Factor) (10) ● Information (13) ? Premium (13) ? Term premium and the mistake of Expectation Hypothesis (15) ? Forward interest rate and their expectation (18) ? Market volatile result from alternative of monetary policy (18) ? Information spill over among bond market and stock market (20) ? Relation between Interest rate and exchange rate (22) ● Pricing (24) ? Treasury Bond: (24) ? Defaultable bond(Corporate bond): (25) ? Other Derivatives: (26) ● Practical (27)
浅谈保险资管金融产品创新 ——读《固定收益证券手册》有感 本书主要固定收益产品领域的经典杰作，所涵盖的内容广泛而深刻，既是很好的固定收益类产品的入门书籍，更是一本固定收益产品领域的百科全书。本书提供了固定收益证券的全面知，包括：一级和二级债券市场、投资收益计算、远期利率分析、欧洲债券市场、新兴市场债券、稳定价值投资、抵押贷款与抵押贷款市场、信用风险模型、收益率曲线交易的分析框架、市场收益率曲线和拟合利率期限结构、对冲利率期限结构风险因素的模型、对基准投资组合的量化等等从这本书中，我深深的感到固定收益类金融产品以及衍生品的丰富，当前，中国固定收益类产品丰富程度以及金融创新深度还处在较为初级的阶段。尤其是保险资管产品，和成熟金融市场差距巨大。这一方面表明中国保险资管金融产品还有这巨大的发展潜力，无论是规模和还是种类，也表明，做好金融产品创新，开发受广大客户欢迎的产品，是保险资管公司赢得未来市场竞争，占据市场高地的核心。对于保险资管公司如何创新，从大到小，我有三点新的感悟。 一是创新的目标应是服务金融业健康发展、服务各类客户的细分需求。金融创新不是为了单纯某个项目创新，不是为了公司短期利润而创新，更不能为了创新而标新利益，而且要服务广大客户的需求，服务金融业健康发展的长期需求。目前，中国固定收益类市场，尤其是保险资管类固定收益产品，种类缺乏，流动性差，对于广大客户风险对冲、期限互换、收益锁定、增强流动性等多种功能需求不能实现，这对于中国金融市场也是潜在的风险。从这些需求出发，“量身定做”创新设计金融产品，既能超前的满足广大客户的需求，抢得市场先机，也能够获得监管机构的认可。 二是要加大与“大资管”同业的交流与学习，要深入研究大资管市场金融产品设计的最新的创新点，举一反三，积极推进在保险另类投资领域的应用，开发
金融学院 课程论文 成绩题目中国证券市场产品创新发展研究班级金融1103 学生学号1103010325 学生姓名李欢 2014 年 4 月15 日
摘要：随着信息技术的发展与全球化趋势的推进，金融创新层出不穷，各国都把金融产品创新作为提升竞争力的重要途径之一，尽管近几年我国经济遭受金融危机的冲击，但我国的证券市场仍处在高速发展的时期，在发展和规范我国证券市场的过程中，推进金融产品创新势在必行。 关键词：证券市场产品创新金融衍生工具 一、我国证券市场产品结构的现状与比较 （一）股票市场 中国股票市场始于九十年代初，1990年12月19日和1991年7月4日上海证券交易所和深圳证券交易所相继成立。自此中国的证券市场从无到有、从小到大，已迅速发展了二十多年。截至2008年末，我国境内上市公司总数达到1,625家，沪、深两市股票市场总市值已达12.14万亿元，已进入二级市场流通的市值4.52万亿元，投资者开设的有效证券账户总数达到10,449.69万户。2008 年全年境内证券市筹资达3,534.95亿元，沪、深股市股票基金成交总额达360,655.55亿元。截至2009年11月底，境内上市公司总数达到1,693家，沪、深两市股票市场总市值已达23.95亿元，已进入二级市场流通的市值14.35万亿元，投资者开设的股票有效账户数达到11,882.78万户。2009 年1-11月境内证券市场筹资累计3,809.15亿元，沪、深股市股票基金成交总额达483,871.72亿元。与此同时，市场中介机构和机构投资者不断增加，证券投资基金成为市场投资主力。但是在发展的同时也
有如下的几点缺陷： 首先，相比经济规模我国证券市场规模小筹资功能弱。根据世界清算银行统计，2006 年深圳证券交易所和上海证券交易所市场规模排名分别为25和14位，在50 家统计的交易所当中已经位居中上游水平。但是，单单纽交所的规模就是深交所的67 倍，上交所的17倍，说明我国证券市场还比较落后。同时，目前我国证券市发展筹资功能还较弱。以2003-2005年的筹资额为例，两市股票筹资额由2003 年的703 亿元，降到2004年的654亿元，至2005年的607亿元。全球仅有18个市场的市值占比超过1%，因此中国股票市场仍是世界上重要的市场之一。中国证券市场产品创新研究13亿元。2006 年因为多只大蓝筹股票上市，筹资额才上升至5594亿元。 其次，资本品种类不足，衍生工具缺位。这既无法满足不同风险偏好的投资者需求，也无法满足国内企业多层次发展的大量融资需求。目前国际市场上的金融衍生工具中80 % 以上已被其采用；在股票市场上，不仅出现了期指、期权、认股权证等投资品种，而且这类衍生工具的交易大有超过现货市场之势。相比之下，我国内地的资本市场除股票外，5 年以上的交易工具几乎没有，而1～5 年的交易工具又受到种种限制，这不利于资源的有效配置。 再次，市场分割，整体性差。首先，一级市场的发行仍然按地区分配额度，限制企业进入资本市场。至于二级市场分割则更为明显，把股票市场划分为A股、B 股和H股，构成中国股票市场发展中的一个非常显著的特征。在股票市场中呈现出A股与B股、H股分割；
证券基础知识考试题库3000题 1.证券市场的结构 发行人以筹资为目的，按照一定的法律规定，向投资者出售新证券形成的市场称为()。(单项选择题) 1. A：一级市场[对] 2. B：二级市场[错] 3. C：二板市场[错] 4. D：三板市场[错] 2.证券市场的结构 证券市场按照证券进入市场的顺序，可以分为()。(单项选择题) 1. A：发行市场与流通市场[对] 2. B：场外市场与交易所市场[错] 3. C：主板市场与二板市场[错] 4. D：二板市场与三板市场[错] 3.有价证券的分类 广义的有价证券包括()、货币证券和资本证券。(单项选择题) 1. A：商品证券[对] 2. B：凭证证券[错] 3. C：权益证券[错] 4. D：债务证券[错] 4.有价证券的分类 商业汇票和商业本票属于()。(单项选择题)
1. A：货币证券[对] 2. B：权益证券[错] 3. C：资本证券[错] 4. D：凭证证券[错] 5.有价证券的分类 按证券的经济性质分类，有价证券可分为()。(单项选择题) 1. A：政府证券、金融证券、公司证券[错] 2. B：上市证券、非上市证券[错] 3. C：公募证券和私募证券[错] 4. D：股票、债券和其他证券[对] 6.有价证券的分类 证券按照它的()，可分为股票、债务和其他证券三大类。(单项选择题) 1. A：募集方式[错] 2. B：收益是否固定[错] 3. C：经济性质[对] 4. D：发行主体[错] 7.有价证券的分类 向少数特定的投资者发行、审查条件相对较松、不采用公示制度的证券是()。(单项选择题) 1. A：国际证券[错] 2. B：特定证券[错] 3. C：私募证券[对]
固定收益证券（论文） 题目基于NSS模型的国债利率的期限结构 学院金融学院 班级 14金工2班学号 20123994 姓名郑耀祖 基于NSS模型的国债利率的期限结构 一、引言 从1981年我国开始恢复了国债发行，在二十多年里国债市场有了长足的发展，不仅国债
发行规模逐渐扩大，国债品种越来越多样化，而且国债发行和流通机制也逐步优化。同时国债的发行方式日益市场化，经历了从传统的行政动员和行政分配，到1991年的承购包销，进而到现在的“基数认购、区间投标、差额招标、余额分销”，以及“自由投标、变动价位、二次加权、全额招标”的招标方式的演变。我国债券市场经历了实物券柜台市场、上海证券交易所为代表的场内债券市场和银行间债券市场为代表的场外债券市场三个主要阶段的发展过程。1997年6月以后商业银行退出交易所债券市场，将其所持有的国债、融资券和政策性金融债统一托管于中央国债登记结算公司，并可进行债券回购和现券买卖，银行间债券市场就此启动。截至2004年底，银行间债券市场开户的投资者总数达5354家，涵盖商业银行、非银行金融机构、信用社、证券公司、保险公司及其它非金融机构类投资者，其组织成员已经基本覆盖了我国金融体系，一个开放的、具有较大规模的合格机构投资者市场已经形成。2004年财政部通过银行间债券市场发行了14期共4413.9亿元记账式国债，其中跨市场国债有8期共3398.7亿元，占整个发行量的76.69%。我国的金融市场，可以通过观察二级市场上国债的交易价格及变动来和基准利率的期限结构来预测国债收益。因此，本文以国债为例，构造有效的我国国债利率期限结曲线。 利率期限结构是指某个时点不同期限的即期利率与到期期限的关系及变化规律。由于债券的到期收益率等于相同期限的市场即期利率，从对应关系上来说，任何时刻的利率期限结构是利率水平和期限相联系的函数。因此，利率的期限结构，即债券的到期收益率与期限的关系可以用一条曲线来表示，如水平线、向上倾斜和向下倾斜的曲线。甚至还可能出现更复杂的收益率曲线，即债券收益率曲线是上述部分或全部收益率曲线的组合。 二、理论基础 1、Nelson-Siegel（NS模型）模型 Nelson-Siegel模型是Charles Nelson和Andrew Siegel在1987年提出的一个参数拟合模型，这个模型可以克服样条拟合方法的曲线尾部震荡的缺点。改模型通过建立元气瞬时利率的函数，从而退出即期利率的函数形式。该模型最大的优点是参数少，而且这些参数都有重要的经济学含义，使得模型本身容易理解。模型如下： 不变时，可以通过调整和来形成不同的组合，从而产生远期利率的各种形状。 2、Nelson-Siegel- Svennson（NSS模型）模型 为了克服NS模型拟合灵活性不足的问题，Svennson对上式进行了扩展，得到NSS模型，模型如下
发展信用衍生品市场，对于完善信用风险价格形成机制、优化信用风险分散分担模式、提升金融体系服务实体经济的能力具有重要意义。文章对中国信用衍生品市场的发展历程、市场现状、相关案例进行分析，并探讨了CDS 指数、基于资产证券化的信用衍生品等创新业务对进一步提升信用衍生品服务实体经济能力的意义。 The development of the credit derivatives market is of great significance for strengthening the credit risk pricing, optimizing the credit risk dispersal and sharing models, and improving the ability of the financial system to serve the real economy. The article analyzes the development history and status quo of China's credit derivatives market, and investigates some related cases. It discusses the significance of innovative businesses such as the CDS index and credit derivatives based on asset securitization to the enhancement of the ability of credit derivatives to serve the real economy. 一、什么是信用衍生品信用衍生品是指挂钩实体或债务信用的金融衍生品。其中，信用违约互换（Credit Default Swap，CDS）是最具代表性的信用衍生品。在一笔信 用违约互换交易中，信用保护买方向信用保护卖方支 付保护费用（Premium Leg），以换取针对参考实体 （Reference Entity）的信用保护。当参考实体发生双 方约定的信用事件时，卖方向买方支付一定金额的补 偿（Protection Leg）。故信用违约互换可以被视为针 对参考实体的信用保险。在风险承担上，信用违约互 换卖方是信用风险交易市场的多头，信用违约互换买方是信用风险交易市场的空头。信用违约互换的交易 双方无需持有参考实体的债务。 信用违约互换合约的信用事件通常包括破产、支付违约和重组，与巴塞尔协议和《资本办法》的要求基本相符。其中，重组事件是不同信用违约互换的主要区别。依据ISDA对重组的划分，重组包括重组（Old Restructuring，Old R）、修订重组（Modified Restructuring，Mod R）和再修订重组（Modified Modified Restructuring，Mod Mod R）。其中，重组主要应用在日本和其他新兴国家的信用违约互换合约 中；修订重组主要应用在2009年4月之前北美的信用违45浅谈信用衍生品等创新业务对于实体经济的意义 国泰君安证券固定收益证券部 结构金融组＊ Brief Discussions on the Significance of Credit Derivatives to the Real Economy *金融组成员：王焕舟、张洁、李磊斌、王珏、洪漭、董悠盈、颜欢、高龚翔。
固定收益证券估值与分析 Fixed Income Valuation and Analysis by Swiss Financial Analysts Association 第1章基础知识 1.1 基本属性 1.1.1 什么是债券 ● 1.1.1.1 历史背景 当前大多数债券采取的结构是，在债券到期时的偿付日或者到期日附近的若干偿付日偿付本金，但按照一定的规则，在整个债券存续期内都支付利息。 这种本金偿付与利息支付分离的现象是历史演化的结果，实际上，这种分离结构并非一直如此明显。直到今天，大量抵押债务的本金偿付和利息支付是同时进行的，结构相对模糊。各种形式的年金和贴现票据（通常是持续期较短的）也在资本市场上长期扮演了重要的角色。通常，我们认识到的有固定期限、平均支付利息并在到期时偿付本金的金融债务工具，是一个相对较新的发明。 但是，所有这些不同形式的固定收益结构的共同特征是：都包括确定了支付时间和支付数量的现金流。 ● 1.1.1.2 金融结构 从金融的观点来看，简单地说，债券就是一系列的现金流。一次性偿还纯债券（即在到期日
一次性支付本金且不可赎回的债券）的现金流是平均支付的数量相同的现金，且最后在到期日支付大笔现金。有规律平均支付的数量相同的现金代表息票支付，在到期日支付的大笔现金代表最后一次息票支付和本金偿还。 我们还可以对此进一步抽象，把每一次现金支付当成一个分开的零息票债券。既然每一个零息票支付可能有与其他支付不一样的收益率，并且得到不同的贴现值，那么，把债券当成一系列的零息票支付，就会让人明白为什么人们希望用收益率曲线（或更确切地说是期限结构）对这些零息票的支付进行合理定价。 ● 1.1.1.3 法律结构 债券的法律结构包含了其名义价值（即债券到期日支付的本金）及其息票（即利息的支付而不是本金的偿付）的法律地位不一样的事实。后文将要谈到，这个事实可能导致套利，并在过去促进了某些重要金融工具的发展。 1.1.2 息票与本金 ● 1.1.2.1法律处理不同 正如前文提到的，债券息票支付和本金偿付的法律处理是不一样的。特别是在那些区分资本所得税和收入税的国家，法律处理的不同经常导致财政后果。尤其是当资本所得税率和收入所得税率不一样时，这种法律处理的不同会影响债券的税后价值，有同样税前期望回报的债券可能有不同的税后期望回报。这种法律上和财政上的差别会导致实际的不同（如作为息票的未来现金支付和同样数量的本金偿付会有不同）。这种不同就会导致套利。 80年代早期原始发行折价债券（OID）的发展就是一个经典的例子。OID债券以大幅折价发行，但是息票支付低于当时市场息票利率，所以债券的收益率接近正确的市场收益率。既然OID的回报较于类似的平价债券的回报，有更大比例是“资本”（也就是原始发行价格的折扣替代了一部分息票的支付），则当资本所得税比收入税低时，OID的税后回报相对较高。这种结构能够在两种税率下有效地进行套利。 税务当局采取了行动防止这种套利，但这是在OID结构（和高利率）刺激零息票债券市场的建立之后了。零息票债券市场本身导致了本息分离债券（STRIPS）的产生（首先在美国，然后在很多其他国家）。 ● 1.1.2.2金融等价 若暂时对息票（或利息）和本金（或资本）不加以人为区分，把它们都当成一种现金流，则容易发现任何债券的基本潜在结构是确定时间内支付单笔现金（在这之前没有其他支付）的众多承诺的合成。 也就是说，债券的基本结构是一系列零息票债券的合成。这个观点是是复杂债券分析的基础，也是后文将提到的本息分离债券的源头，本息分离债券能够通过将每个息票支付以及最后的本金支付当成分开的零息票债券，从而从普通的政府债券获得。 该观点的一个关键的分析结果是：要正确估计债券价格，就不能假设所有收到的现金流以单一的收益率进行再投资。为了对债券正确定价，人们不得不观察每个现金流的期限结构以及
?固定收益证券 ?固定收益证券(fixed-income securities)是一个笼统、宽泛而又不太严格的定义。一般而言，固定收益证券代表拥有对未来发生的一系列具有确定数额收 入流的要求权，是一种要求借款人按预先规定的时间和方式向投资者支付利 息和偿还本金的债务合同，与债券等同使用 ?债券 ?债券是发行人依照法定程序发行，并约定在一定期限还本付息的有价证券。 它反映的是债权债务关系，是广义的债务工具中可以流通或可以交易的部 分。 ?债券的基本要素 ?票面价值：票面金额、计价币种 ?票面利率：计息依据 ?付息方式：计息依据 ?到期期限 ?发行价格 ?债券的特征 ?偿还性 ?收益性 ?安全性 ?流动性 ?债券的风险 ?利率风险 ?价格风险 ?再投资风险 ?违约风险 ?提前偿还风险 ?通货膨胀风险 ?流动性风险 ?汇率风险 ?债券的种类 ?按发行主体分为：政府债券、金融债券、公司债券、国际债券。 ?按偿还期限分为：短期债券、中期债券、长期债券、永久债券。 ?按计息的方式分为：附息债券、贴现债券、单利债券、浮动利率债券、累进利率债券等 ?按是否记名分为：记名债券和不记名债券。 按有无抵押担保分为：信用债券和担保债券。 按债券形态分为：实物债券、凭证式债券和记账式债券。 ?央行票据 ?央行票据即中央银行票据，是中央银行为调节商业银行超额准备金而向商业银行发行的短期债务凭证，其实质是中央银行债券。 ?商业票据 ?是商业信用工具，它是提供商业信用的债权人为保证自己对债务的索取权而掌握的一种书面债权凭证。商业票据可以作为购买手段和支付手段流通转 让。
?当票据的持有者在票据未到偿还期而又需要资金时，票据持有人就可以背书，然后把它以一定的价格转让给金融机构，获得现款，这种活动称作票据 贴现。 ?短期融资券 ?短期融资券简称融资券，是指企业依照有关规定在银行间债券市场发行和交易并约定在一定期限内还本付息的有价证券。 ?发行市场化 ?备案制 ?债券回购 ?债券回购是指债券持有人（卖方）在将债券卖给债券购买人（买方）时，买卖双方约定在将来某一日期以约定的价格，由卖方向买方买回相等数量的同 品种债券的交易行为。债券回购分为质押式回购交易和买断式回购交易。 ? ?国债的定义 ?国债的特点：收益性、安全性、流动性和有期性。 ?国债的种类：附息国债、一次还本付息国债和贴现国债。 ?通胀保值债券：与物价指数挂钩的国债。 ?可转换公司债券 ?自发行之日六个月后方可转换为公司股票 ?期限最短为1年，最长为6年 ?按面值发行，每张面值100元，最低交易单位1000元 ?要求提供担保 ?转股价格、转股具体方式与程序、利率及其调整、各种条款的设置等必须事先约定。 外国债券：是发行人在外国发行的，以当地货币标价发行的债券，有特定的称谓 欧洲债券：是发行人在某货币发行国以外，以该国货币标价发行的债券，如欧洲美元债券、亚洲美元债券等。 资产证券化指的是工商企业或金融机构将其能在未来产生可预测现金流的资产进行组合，销售给特殊目的机构（SPV），由SPV以该资产为信用基础发行证券，然后销售给投资者的过程 资产证券化中重要的制度安排 ?“破产隔离”制度：发起人与SPV之间是真实出售关系，基础资产与原始权益人脱离法律关系，不受其经营状况影响。 ?信托财产制度：SPV与服务机构、资金保管机构之间是委托关系，信托财产独立于相关机构。 ?信息披露制度：相关机构必须及时、准确、完整地披露相关信息。 ?信用增强制度：提高资产支持证券的信用级别。 ?资产证券化的微观经济效应 ?对发起人而言：以银行为例 ?提升资产负债管理能力 ?资金来源多样化 ?达到资产负债表外化的目的 ?降低资金成本 ?获取稳定的服务费收入
中国建设银行 重庆博奥实业有限公司技术改造项目固定资产贷款项目评估报告 （评估报告完成日期：2007年6月10日） 分（支）行（部）：分行风险管理部 经办行：建行巴南支行 评估认定行公章 2007年6月10日
项目评估成员名单 评估组长 姓名：所在单位：市分行风险管理部职称：经济师 评估组员 姓名：苗建春所在单位：市分行风险管理部职称：经济师姓名：所在单位：渝北支行职称：经济师姓名：所在单位：渝北支行职称：经济师 评估报告审核人 姓名：所在单位：市分行风险管理部职称: 经济师
评估报告批准人 姓名: 李毅所在单位：风险管理部职务:副总经理职称:经济师 (该页姓名打印) 声明与保证 我们在此声明与保证：此报告是按照《中国建设银行房地产贷款项目评估暂行办法》和有关规定，根据贷款申请人提供的和该人收集的资料，经我们审慎调查、核实、分析和整理后完成的。报告全面反映了客户及项目最主要、最基本的信息，我们对报告内容的真实性、准确性、完整性及所作判断的合理性负责。 评估组长签字： 年月日 评估小组其他成员签字：
年月日 评估报告审核人签字： 年月日 评估报告批准人签字： 年月日 目录 第一章前言 (1) 第二章借款人评价 (2) 第三章项目概况 (3) 第四章产品及市场分析 (4)
第五章投资估算与融资方案评估 (5) 第六章财务效益评估 (6) 第七章不确定性分析 (7) 第八章银行相关效益与风险评估 (8) 第九章总评价 (9) 评估表１固定资产投资估算表 (10) 评估表２固定资产投资资产分类表 (11) 评估表３投资计划与资金筹措表 (12) 评估表４总成本费用估算表 (13) 评估表５损益和利润分配表 (14) 评估表６贷款偿还期计算表 (15) 评估表７项目现金流量表 (16) 附件目录 1、建设用地批准书 2、国有土地使用证 3、建设工程规划许可证