债券价值及其估价的定量分析与风险管理研究

中南民族大学硕士学位论文债券价值及其估价的定量分析与风险管理研究姓名：李晗申请学位级别：硕士专业：企业管理指导教师：杨全照2006052520AbstractThebondhasthehistoryformorethan20yearsinourcountry,theresearchconcerningbondisn'tverymuch,andtheresearchoftheoriesisafterthedemandofages.Thisthesisintroducesthebasiccharacteristicofbondsystematically,studiesthecharacteristicofthevalueofbond,inquiriesintoestimationofbondandriskmanagementetc,forthepurposeofmoredeepunderstandingbond.Theperfectcapitalmarketistomanagefinanceenvironment,onwhichthebehaviordoesexplicitly,anditalsoisimportantfoundationofthefinancefundamentalresearch.Thisthesistakesperfectcapitalmarketasbackgroundtostudythecharacteristicofthevalueofbond.Thefactorswhichinfluencesbondvalueincludecouponvalue,couponrate,discountrate,expirationtime,thepapermainlyinquiriesintothecharacteristicofbondvaluefromthreelevels.First,strictprovingtherelationbetweenthevalueofbondandsometherelatedfactorsonconditionthattheotherfactorsareinvariable;Second,analyzingandresearchingtherelationamongcouponrate,discountrateandtheduetime,drawinganimportantconclusion:Thesensitivedegreeaboutlong-termbondtomarketinterestratevarietyisnotnecessarilyhigherthanthesensitivedegreeoftheshort-termbondtomarketinterestratevariety;Third,concretelydiscussingthecharacteristicofbondintheparissuing,thepremiumissuing,anddiscountissuing.Theresearchconclusionaboutfirsttwolevelsissuitabletoallconditions;thethirdlevelspeciallystudiestherelationbetweenthebondvalueandtheissuingway,aswellasthevaluechangesituationwhenbondiscirculatingabovethreeissuingways.Theperfectthecapitalmarketisafterallfictitiousandinexistent,takingthisasfoundationtobuildupofquotationmodelamongtherealityisnotsuitable.Takingdiscountcashflowmodelasafoundation,unifyingthepresentaccountingsystem,consideringtheinfluenceoftransactionexpenseandincometax,thepaperestablishesthebondestimationmodelunderthepresentaccountingsystem.Thevalueofbondisthepresentvalueofcashflowinthefuture,afterconsideringtransactionexpenseandincometax,thefuturecashflowdoesnotmerelyincludetheinterestinvarioustimesandtheduecapital,butalsoincludesothers,suchastheissuingexpenseanditscounterbalancetoincometax,theinterestincomewillpaytheincometax,overflowsgivesadiscounttotheincometaxandsoon.Becausehavingconsideredtheinfluenceaboutissuingwaystoincometax,thecashflowisdissimilarwhenbondisintheparissuing,thepremiumissuing,discountissuing,sothepaperdiscussestheestimationmodelofbondseparatelyunderthesethreeissuingway.Theriskmanagementofbondhasbeenverypopularresearchingfields;thepapermainlyelaboratesthetwogreatesttheoriesconcerningriskmanagement:ModernportfoliotheoryandtheDurationtheoryofbond.Themoderninvestmentportfoliotheoryutilizedinthebondmarket,thepaperproposesthebondinvestmentportfoliotheory,thistheoryshowsthatwhenriskisinvariable,thebondcombinationincomecanbetoachievemaximizationorwhenincomeisinvariable,theriskcanbetoachieveminimum,thereforebasingtheinvestmentportfoliotheory,theinvestormaychoosethesuitablecombinationinordertoachieveoptimumutilities.Howeverthebondinvestmentportfoliotheoryonlycandodgethenon-systemrisk,cannotdodgethesystemrisk,thedurationtheoryaboutbondmaysolvethisproblem.utilizingmoderninvestmentprinciplesuchasnetpresentvalue,compounding,annuityandsoon,usingthecharacteristicthatthebondpriceriskandtheinterestrateriskcanbecounterbalancedmutually,takingweightedaverageyearastheinvestmentplantime,thedurationtheorycaneffectivelyachievethegoaldodgingtheinterestraterisk.Howeverthedurationtheoryalsohasitsdeficiency,mainlydisplaysin:asaresultofthebondconvexityexistence,modifieddurationcanideallycalculatethepriceonlyonconditionthatrequiredyieldchangeslightly;Whenrequiredyieldchangesinabigsituation,onlyusingmodifieddurationestimatethepriceofbondcanappeartheerror.Theresearchareaaboutbondisquitebroad,thepapermainlyrevolvesthreequestionswhicharethecharacteristicofbondvalue,theestimationofbondaswellasthebondriskmanagement.Profitingfrompredecessor'sresearchresults,passingthroughtheearnestponderandthestrictargument,thepaperproposessomeownviewpointsinordertosupplysomereferences.Keywords:ThevalueofbondEstimationofbondDurationofbondConvexityofbond1______211200122090101.11982199419983000[1]20011.21.2.12DCFMJohnBurrWilliamsMyron.J.Gordon[2]195231938MacaulayDuration[3]convexity1.2.2[4]203[5][6]VaRVaR[7][8][9][10]1.31.41243452522.12.1.113~510%1001063%~10%2.1.2732.21.82.3.1.2.3.4.5.1.2.3.92.3102.4578112.512131432050perfectcapitalmarketsfrictionlesscapitalmarkets,1.2.3.4.5.6.7.1.2.3.V(t)t153.1()()∑=+++=ntnttrMrIPV111PVIMrinIiM=×3.2()()∑=+++=ntnttrMrIPV111()()∑=+++−++−=′ntnttrrnMrtIVP111110()()()()∑=+++++++=′′ntnttrrMnnrIttVP12211110100010516()()()∑=+++=51110001100tntrrrPV31T1234567891011tr13%12%11%10%9%8%7%6%5%4%3%PV(rt)894.7927.5962.6100010391080.311231168.21216.91267.21321()()ttrPVrPV−+132.835.137.43941.342.745.248.750.353.8310()()ttrPVrPV−+1r1t+1t03-131173.3()()()()nnntnttrMrMirMirMrIPV−−=+++−=+++=∑1r1111n()−+=′−−111rirnMVPnn()()++−−+=′′−−rnnrirMVPnn111111()0111πrnn++−1.irnVP′0nnVP′′01000108()()()∑=+++=ntntnPV1%811000%8110032T1234567891