FRM一级强化段金融市场（打印版）.docx

该【FRM一级强化段金融市场（打印版） 】是由【经管专家】上传分享，文档一共【41】页，该文档可以免费在线阅读，需要了解更多关于【FRM一级强化段金融市场（打印版） 】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。FinancialMarketsandProductsFRMа?????-???TopicWeightingsinFRMPart?-123Framework?BondMarket???InterestRatesTreasuryMarketCorporateBond?DerivativesMarket????IntroductionofDerivativesMarketForwardandFuturesSwapsOptionsMarkets??MBSFinancialInstitutionsBanks???paniesFundManagement3-123BondMarketTopic1:-123MarketRate?-?TheTreasuryrateisusuallynotadoptedasrisk-freerate,becauseitisusuallyartificiallylow,mainlyduetothefollowingtworeasons:RegulationgenerallydoesnotrequireBankstoretaincapitalfortheirTreasurypositions.?Insomecountries(suchastheUnitedStates),-123MarketRate?,thedifferencebetweensellingprice(today)andtherepurchasedprice(tomorroworlater)?-basedSecuredOvernightFinancingRate(SOFR)?Risk-FreeRatezTherisk--123Compounding?:xuebajun888sR?(mperannum)Tisthenumberofyears.??R?mFV=PV1+FV=PVe??????????????????????PV1+=PV1+PV1+=PVe???7-123SpotRateandForwardRate?SpotRatezAt-periodspotrate,orzerorate,+R???1+F(?????)=1+R???RT?RT????e????×e??????=e?????F=T??T?8-123BondMarketTopic2:-123TreasuryInstruments??TreasuryBillszAshort-,wewillrefertoallcoupon--?9Dollarsandthirty-secondsofadollarwithfacevalueof$100?TreasurySTRIPSzC-StripsandP-Strips10-123TreasuryInstruments??,,=cleanprice+accruedinterest?AccruedInterestandDayCountConventionszTreasurybonds:actual/actualzCorporateandmunicipalbonds:30/360zMoneymarketinstruments(Treasurybills):actual/36011-123TreasuryInstruments?ExampleSupposea1000parvalueUScorporatebondpaysasemi-,2005,andthebondmaturesonJuly1,putetheinvoice(full)priceofputetheflat(clean)-123BondMarketTopic3:-123BondIndentures??BondIndenturezContractcontainscorporatebondissuerpromisesandinvestors’,whorepresentsbondholders’,sometimestheindenturespecifiedthattrusteecanrelyontheissuerforinformation,sothat,-123ClassificationofBonds??InterestRatezFixed-RateBondszFloating-RateBondszZero-CouponBondsCollateralzMortgageBondszCollateralTrustBondszEquipmentTrustCertificateszDebentureBonds(includingSubordinatedDebentures)zGuaranteedBonds?High-YieldBond15-123BondRisk??EventRiskzTherearemanyeventsinthemarketthatcanadverselyaffectbonds,::-123Exercise1?Eachofthefollowingistrueaboutthecorporatetrusteeinacorporatebondissuanceexcept:,atthetimeofissue,authenticatethebondsissued(.,keeptrackofallthebondssole),thetrusteemaydeclareadefaultandtakesuchactionasmaybenecessarytoprotecttherightsofbondholders.?Answer:A17-123DerivativesMarketTopic1:-123IntroductionofDerivatives??:tradedintheover-the-counter(OTC):(butnotobligation)tobuy/-123IntroductionofDerivatives?LinearandNon-,,ontheotherhand,arenonlinearderivatives,thatis,thereisanon--123OTCandExchangeMarket?Over-the-CounterandExchangeTradedOver-the-CounterExchange-TradedCustomizedStandardizedTradewithcounterparty(DefaultRisk)BackedbyaclearinghouseNottradeinacentrallocationUnregulatedTradeinaphysicalexchangeRegulatedTradingvolume:largeTradingvolume:small21-123OTCandExchangeMarket???,exchangesclearalltradesbetweenmembersthroughso-calledPs).99Exchanges(PS):xuebajun888s22-,:xuebajun888s9Iftheinitialmarginisnotsufficienttocoveramember'slossesduringadefault,themember',-123OTCandExchangeMarketExchangeMarketzMaintenanceMargin99Sofar,we',ifaretailtradercontactsabrokertotrade,,ountfallsbelowthemaintenancemarginlevel,,-123CentralCounterparty?PszVariablemarginpaymentsaremadedailytoreflectchangesinthevalueofeachmember',theexchangeusuallyholdsanauction,-,ifthedefaultmember'sinitialmarginisinsufficienttocovertheloss,,-123CentralCounterparty?PsentralClearing999EasyexitLossmutualizationStandardlossmanagementmechanism(ting,defaultresolution)-123DerivativesMarketTopic2:-123ForwardRateAgreement???ForwardRateAgreementzAforwardrateagreement(FRA),:,:R?R???+??R??R??1+??or1WhereRistherealizedfloatingrate,R?isthefixedrate,Listheprincipaland?-123ForwardRateAgreementValuationzThevaluationforthepartywhopaysfixedandreceivesfloatingortheothersideofthetransactionis:R??R???PVPV1+R??OrR??R???+R??1WhereR?-,,-123