Qun tr danh mc tri phiu

im chnh
o lng nhy ca gi khi li sut thay i Thi hn thc ca tri phiu lm ca hm o nhy (convexity measure) Qun tr danh mc theo phng php b ng Qun tr danh mc theo phng php ch ng

 nhy ca gi so vi li sut
Cc mnh c bn
1. Gi tri phiu t l nghch vi li sut. 2. Khi ytm tng hoc gim cng mt mc th mc gim gi tri phiu t hn so vi mc tng gi. 3. Gi ca tri phiu di hn nhy cm vi li sut hn gi ca tri phiu ngn hn. 4. nhy ca gi tri phiu so vi li sut tng mc chm dn khi thi hn tri phiu tng dn. 5. Ri ro li sut t l nghch vi li sut coupon. Li coupon cng cao th gi tri phiu cng t nhy cm i vi thay i ca li sut. 6. nhy ca tri phiu t l nghch vi ytm hin ti.

 nhy ca gi tri phiu

= ()

V d v nhy ca gi
Tri phiu tr li coupon 8%, tr li 2 ln/nm

Tri phiu zero

 Cng mt nhy, thi hn ca tri phiu coupon thp hn thi hn ca tri phiu zero. Nu xt v nhy ca gi th thi hn thc s ca tri phiu coupon c o chnh xc l bao nhiu?

Thi hn thc s ca tri phiu coupon (Duration)

Thi hn thc s o lng nhy ca gi khi li sut thay i.

=
=1

= 1

=1
Dng tin ca tri phiu

/(1 + ) =
Trng s ca tng k tr li

Trng s nh dn khi tri phiu tin gn n k o hn

 Vi nh ngha v thi hn thc v t cng thc nh gi tri phiu c th rt ra mi quan h

= 1 + = 1
Modified duration

Proof
Proof

Cch tnh Duration

 Nu li sut tng t 5% ln 5.01% th tri phiu A gim xung bao nhiu %? Tri phiu C khng tr li c k hn 1.8852 nm, tr li 2 ln/nm. Nu li sut chit khu tng t 5% ln 5.01% th gi tri phiu C thay i bao nhiu %?

 Li 5.01% PA=964.1942Gim 0.0359% Li 5% Pc0=1000/1.051.8852*2=831.9704 Li 5.01% Pc1=1000/1.0511.8852*2=831.6717 C gim 0.359% 1.8852*2*0.0001/1.05=0.359% Tri phiu cng duration th cng nhy

Mt s tnh cht ca duration

Tri phiu zero c duration= thi hn Li sut coupon cng nh th duration cng ln (cc yu t khc khng i) Ytm cng nh th duration cng ln Duration t l thun vi thi hn ca tri phiu khi tri phiu c bn bng hoc cao hn mnh gi.

Quan h gia duration v maturity

Bi tp
Tm thi hn thc s (duration) ca tri phiu c li sut coupon 6% tr li hng nm. Tri phiu ny o hn sau 3 nm v ang c mc li sut o hn ytm 6%. Nu ytm tng ln mc 10% th duration bng bao nhiu?

Sau x nm 1 2 3

Dng tin $60.00 $60.00 $1,060.00

PV 6% $56.60 $53.40 $890.00

Trng s Ct 1x ct 4 0.0566 0.0534 0.8900 1.0000 0.0566 0.1068 2.6700 2.8334

Tng $1,000.00 Sau x nm 1 2 3 Dng tin $60.00 $60.00 $1,060.00 Tng PV 6% $54.55 $49.59 $796.39 $900.53

Trng s Ct 1x ct 4 0.0606 0.0551 0.8844 1.0000 0.0606 0.1102 2.6532 2.8240

Bn Tnh phi tr hc ph $10,000 vo cui mi nm trong vng 2 nm ti. Li sut ca tri phiu hin ang mc 8%. Gi tr hin ti v duration ca khon n ny l bao nhiu?

1 2

$10,000.00 $10,000.00

$9,259.259 $8,573.388

0.51923 0.48077 1.00000

0.51923 0.96154 1.48077

Tng ct $17,832.647

 2 tri phiu A, B u c li coupon 8% v cng ht hn sau 20 nm. Tri phiu A hin bn cao hn mnh gi trong khi B c bn di mnh gi. Tri phiu no c duration ln hn?

Home work
Bn d on li sut s gim, khi , tri phiu no trong s sau s c mc chnh lch gi ln nht?
1. 2. 3. 4. Thi hn di, coupon thp Thi hn thp, coupon cao Thi hn di, coupon cao Thi hn di, khng tr li

Cc bin th ca duration
D: Duration

1+

D1:Modified duration 1 = 1+

Dollar duration

-D1*P

Lu
Duration l cch tnh gn ng i vi thay i nh ca li sut.

1+

=D1*

Quan h tuyn tnh

Quan h gia gi tri phiu v li sut khng phi l quan h tuyn tnh Nu ln duration mt tnh chnh xc Dng m hnh o lng khc (Convexity)

Convexity
Quan h gia gi tri phiu v li sut c m hnh ha da trn mnh :
Khi ytm tng hoc gim cng mt mc th mc gim gi tri phiu t hn so vi mc tng gi Hm mt quan h phi tuyn tnh gia gi v li sut

Duration is a Linear Approximation of the Curvilinear Price-Yield Relationship

Ti tip im 3 tri phiu c cng duration Gi A v B c quan h hm s lm vi li sut (convex)
M hnh duration khng cn chnh xc khi li sut thay i ln

o lng convexity
Convexity measure: lm ca hm s gia gi v li sut Cch tnh 1 2 = 2
Convexity= 1/P * o hm bc 2 ca hm s P=F(y)

Convexity measure
P=F(y)

 Tnh convexity ca tri phiu mc 5%

 Tnh convexity

Convexity
Quan h gi v li sut khi tnh n convexity

Nu Convexity>0: Duration<Convexity
Duration d on nhy ca gi thp hn so vi thc t. ng duration nm di ng convexity

Nu Convexity<0: Duration>Convexity
Duration d on nhy ca gi cao hn so vi thc t. ng duration nm trn ng convexity

Gi tr ca convexity
So snh A v B
NT a thch tri phiu B hn A Tr gi A cao hn v chp nhn mc li ytm thp Tri phiu B c lm ln hn so vi A

Bi tp

Kt qu
C=64.933 D=7..515 P=93.29% mnh gi dP=-7.02% Sai s 0.31% mnh gi dP (convexity)=-6.7% Sai s 0.01%

Taylor series
Taylor series cho php m rng hm s f(x) ti im x=a nh sau. iu kin: Hm s f(x) c th ly o hm bc n

20

Price Real Price-yield curve

15

10

10

15

20

Yield

Ri ro li sut ca tri phiu km quyn chn

Callable bonds Putable bonds Negative convexity (Concavity) Effective duration

Callable bonds
Ytm cng gim th ri ro cng thp Duration tin dn v 0 Call option lm gim ri ro li sut ca tri phiu Callable bonds ch c li khi ytm <y

Putable bonds
Khi li sut tng, gi ca putable bonds gim t hn so vi tri phiu thng Ri ro li sut thp hn Putable bonds ch c li khi ytm tng cao hn y

$85

Effective duration
Ti sao dng effective duration?
Dng tin ca callable v putable bonds khng xc nh.
Li sut thay i thc hin quyn chnDng tin ph thuc vo thay i ca li sutKhng xc nh

Khng xc nh c hm s P=F(y) Khng c s dng Duration

 Cch tnh
Trung bnh bin ng gi khi li sut tng v gim cng mt mc

2( )( )
Thay i ca li sut tnh bng s thp phn

 + Effective duration = 20 ()
Tri phiu 20 nm, li 8% tr 2 ln mt nm ang bn vi gi 908 v ytm tng ng l 9%. Nu li sut gim 50 im th gi tng ln 952.3 v nu tng 50 im th gi gim 866.8. Tnh effective duration.

 Kt qu 9.416