FRM一级基础段估值与风险模型（标准版）.docx

该【FRM一级基础段估值与风险模型（标准版） 】是由【经管专家】上传分享，文档一共【234】页，该文档可以免费在线阅读，需要了解更多关于【FRM一级基础段估值与风险模型（标准版） 】的内容，可以使用淘豆网的站内搜索功能，选择自己适合的文档，以下文字是截取该文章内的部分文字，如需要获得完整电子版，请下载此文档到您的设备，方便您编辑和打印。ValuationandRiskModelsFRM一级培训讲义-基础班TopicWeightingsinFRMPartⅠ-235Framework?BondMarket??BondValuationBondMarketRisk???OptionsValuation???BinomialTreesTheBlack-Scholes-MertonModelOptionSensitivityMeasuresMarketRiskModels?MeasuresofFinancialRisk??CalculatingandApplyingVaRMeasuringandMonitoringVolatilityCreditRiskModels?ExternalandInternalCreditRatingCountryRiskMeasuringCreditRisk????OperationalRiskModelsStressTesting3-235BondMarketTopic1:&LComponents4-235Reviews??SpotRatelAt-periodspotrate,orzerorate,,?T1T1T21+R11+F1,2=1+R2RT?RT2211RT×eFT2?T1RT22e=e→F=111,21,2T2?T15-235Spot,ForwardRates?%.00%.00%.00%.00%.00%.00%.00%Maturity(year)%%%%%%%%%%%%%%(year)%,%21+1+=1+,1=%6-235BasicValuationMethod?hepriceofabond?TC1C2CT(1+ST)TCt(1+y)tP=++?+=?1+S1(1+S2)2t=1lSupposethata2-yearTreasurybondwithaprincipalof$100providescouponsattherateof6%:TreasuryZeroRatesMaturity(Years)ZeroRate(%)(pounded)=3e?×+3e?×1+3e?×+103e?×=-235DiscountFactor?DiscountFactorlThediscountfactor,d(t),foratermof(t)years,givesthepresentvalueofoneunitofcurrency($1)tobereceivedattheendofthatterm.?mtrtmdt=1+ordt=e?%%.50%.00%.50%.00%.50%.00%.50%.00%%%%%%%%%%%%%(year)8-235BasicValuationMethod?ExampleThetablebelowshowsselectedT-bondpricesforsemiannualcoupon,$%-%104-22+4%2332Bond1:100+100××=101+=%%:100××+100+100×d1=×d1=104+9-235BasicValuationMethod?PricingBondusingDiscountFactors,SpotRates,orForwardRateslAssumea1-yeartreasurybondthatpaysa8%semi-(%)DiscountFactor6MonthForwardRate(%)-235