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# V1_20110404FRM&auml;&cedil;€&ccedil;&ordm;&sect;&aring;&frac14;&ordm;&aring;Œ–&ccedil;&shy;&auml;&f

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1 金程教育FRM一级强化班讲义 Valuation and Risk Models 上海金程国际金融专修学院 上海金程国际金融专修学院 讲师：程黄维 FRM 开发：FRM教研组 日期：2011.04.05 地点：■北京 □上海□深圳 100% Contribution Breeds Professionalism 100% Contribution Breeds Professionalism 2-88 88 THE CONTENT Chapter One Fixed Income Valuation Chapter Two Option Valuation Chapter Three Value at Risk Chapter Four Measuring Credit Risk 100% Contribution Breeds Professionalism 3-88 88 Chapter One Fixed Income Valuation 100% Contribution Breeds Professionalism 100% Contribution Breeds Professionalism 4-88 88 Fixed Income Valuation Price Discount Rate Cash flow Principal () t t t1 cash flow 1 discount rate n P = = + coupon Spot Rates YTM Forward Rates Zero-Coupon Bond Fixed- Coupon Bond Floating Rate Bond Duration

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100% Contribution Breeds Professionalism 9-88 88 Examples ¾ Suppose a risk manager has made the mistake of valuing a zero-coupon bond using a swap (par) rate rather than a zero-coupon rate. Assume the par curve is upward sloping. The risk manager is therefore: A. Indifferent to the rate used B. Over-estimating the value of the bond C. Under-estimating the value of the bond D. Lacking sufficient information Answer: B If the par curve is rising, it must be below the spot curve , using par yield as discount rate , bond value is P1 , using spot rate as discount rate, bond value is P0, lower discount rate ,higher the bond value , so using a par rate rather than a zero-coupon rate overestimate the bond value. 100% Contribution Breeds Professionalism 100% Contribution Breeds Professionalism 10 10 -88 88 Examples ¾ EXAMPLE 7.4: FRM EXAM 2007 QUESTION 32 The price of a three-year zero-coupon government bond is 85.16. The price of a similar four-year bond is 79.81. What is the one-year implied forward rate from year 3 to year 4? A. 5.4% B. 5.5% C. 5.8% D. 6.7% ¾ EXAMPLE 7.6: FRM EXAM 2004 QUESTION 61 According to the pure expectations hypothesis, which of the following statements is correct concerning the expectations of market participants in an upward-sloping yield curve environment?

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## This note was uploaded on 11/02/2011 for the course FINANCE 611 taught by Professor Liyang during the Spring '11 term at Covenant School of Nursing.

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