113分析金融市场与金融机构 第五章.ppt

113分析金融市场与金融机构_第五章UNDERSTANDING INTEREST RATES Chapter 3
BEHAVIOR OF INTEREST RATES Chapter 4
THE RISK AND TERM STRUCTURE OF INTEREST RATES Chapter 5
THE THEORY OF EFFICIENT CAPITAL MARKETS Chapter 6
Part II Principles of Financial Markets
Chapter Five
THE RISK AND TERM STRUCTURE OF INTEREST RATES
Part II Principles of Financial Markets
Chapter Outline
Risk Structure of Interest Rate
Term Structure of Interest Rate
risk structure of interest rates 利率的风险结构: The relationship among the various interest rates on bonds with the same term to maturity.
Risk Structure of Interest Rate
Risk Structure of Long Bonds in the United States
Long-term Bond Yields,1919-1998
Default Risk违约风险
This is the possibility that the borrower will not make promised payments - either on time or in full.

A bond with default risk will always have a positive risk premium, and an increase in its default risk will raise the risk premium.
The spread between the interest rates on bonds with default risk and default-free bonds, called the risk premium风险溢价
Bonds like . Treasury bonds with no default risk are called default-free bonds无违约风险债券.
Increase in Default Risk on Corporate Bonds
Default Risk :Analysts' assessments
Example:
Low Quality, speculative,
Investment-Quality and/or “Junk”
High Medium Low Very Low Grade
S & P’s AAA AA A BBB BB C D
Moody’s Aaa Aa A Baa Ba B Caa Ca C C
How does “the ratings game” work?
Bonds with relatively low risk of default are called investment-grade securities 投资级债券 and have a rating of Baa (or BBB) and above.
Bonds with ratings below Baa (or BBB) have higher default risk and have been aptly dubbed speculative-grade or junk bonds垃圾债券. Because these bonds always have higher interest rates than investment-grade securities, they are also referred to as high-yield bonds高收益债券.
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