Chương 5:

Cấu trúc kỳ hạn của lãi suất và

phòng ngừa rủi ro
 Lãi suất giao ngay và LS kỳ hạn
• Lãi suất kỳ hạn
• Nội dung chính của chương, chúng ta giả sử rằng LS là cố
định trong toàn bộ các thời kỳ trong tương lai. Trong thực tế,
LS thường không cố định theo thời gian. Điều này được đề cập
đầu tiên vì tỷ lệ lạm phát được kỳ vọng khác nhau tại các thời
điểm khác nhau.
• we consider two zero coupon bonds. Bond Ais a one-year
bond and bond B is a two-year bond. Both have face values of
$1,000. The one-year interest rate, r1, is 8 per-cent. The two-
year interest rate, r2, is 10 percent. These two rates of interest
are examples of spot rates.
Spot Rates
 Spot Rates
1
• Spot rate z(n)  facevalue  n
y     1  z ( n)
 p 
 forward rates
• Assume the following set of rates

• What are the forward rates over each of the four years?
• The forward rate over the first year is, by definition, equal to the one-year spot rate.
Thus, we do not generally speak of the forward rate over the first year. The forward
rates over the later years are:
 forward rates
• An individual investing $1 in the two-year zero coupon
bond receives $1.1236 *$1*(1.06)^2 at date 2
• He can be viewed as receiving the one-year spot rate of
5 percent over the first year and receiving the forward
rate of 7.01 percent over the second year. An individual
investing $1 in a three-year zero coupon bond receives
$1.2250 *$1*(1.07)^3 at date 3
• She can be viewed as receiving the two-year spot rate
of 6 percent over the first two years and receiving the
forward rate of 9.03 percent over the third year
Yield curve
 The Expectations Hypothesis
• Expectations Hypothesis : forward rate 2 =Spot
rate expected over year 2
• Equation says that the forward rate over the
second year is set to the spot rate that people
expect to prevail over the second year. This is
called the expectations hypothesis.It states that
investors will set interest rates such that the
forward rate over the second year is equal to the
one-year spot rate expected over the second year
 Liquidity Preference Hypothesis
• forward rate 2 >Spot rate expected over year 2
• That is, to induce investors to hold the riskier
two-year bonds, the market sets the forward
rate over the second year to be above the spot
rate expected over the second year. Equation
above is called the liquidity preference
hypothesis. rate expected over year 2
 Segmented markets theory
• This theory states that the market for different-
maturity bonds is completely separate and
segmented.
• The interest rate for a bond with a given
maturity is determined by the supply and
demand for bonds in that segment with no
effect from the returns on bonds in other
segments.
 The discounted mean term of a project
(Macaulay’s Duration)

• Duration is a weighted average of the time

until the expected cash flows from a security
will be received, relative to the security’s price
k
C t (t)
 (1 + i) t
D = t =k1
Ct

t =1 (1 + i) t
 Macaulay’s Duration
• Example
– What is the duration of a bond with a $1,000 face
value, 10% annual coupon payments, 3 years to
maturity and a 12% YTM? The bond’s price is
$951.96.
100  1 100  2 100  3 1,000  3
1
+ 2
+ 3
+
(1.12) (1.12) (1.12) (1.12)3 2,597.6
D 3
 = 2.73 years
100 1000 951.96
t =1 (1.12) t
+
(1.12) 3
 Macaulay’s Duration
Example
– What is the duration of a bond with a $1,000 face
value, 10% coupon, 3 years to maturity but the
YTM is 5%?The bond’s price is $1,136.16.

100 * 1 100 * 2 100 * 3 1,000 * 3

1
+ 2
+ 3
+
(1.05) (1.05) (1.05) (1.05)3 3,127.31
D  = 2.75 years
1136.16 1,136.16
 Macaulay’s Duration
• Example
– What is the duration of a zero coupon bond with a
$1,000 face value, 3 years to maturity but the YTM
is 12%?
1,000 * 3
(1.12)3 2,135.34
D  = 3 years
1,000 711.78
(1.12)3

– the duration of a zero coupon bond is equal to its

maturity
 Volatility
• Consider an investement , suppose that the net present value is
currently determined on the basis of an annual force of interest
0, but that this may change at very sort notice to another
value 1, the proportionate change in the net present value of
the projet would be

• We define the volatility of the projet at force interest 0 to be

 The matching of assets and liabilities
• The matching of assets and liabilities requires that
the company’s asset be chosen as far as possible
in such a way as to make the assets and liabilities
equally responsive to the influences which affect
them both
• We define the net liability –outgo (Lt) at time t to
be Lt=St-Pt
• Where : St denote the liability at time t, Pt be the
money received by company at time t
• Absolutely matching require that At=Lt for all
value of t
 Redington's Theory of Immunization
• Consider a fund with asset cash-flow A and liability
cash-flow L. Let VA and VL be their present values. We
say that at interest rate i0 the fund is immunised against
small movements in the interest rate if VA(i0) = VL(i0)
• The theory relies on a small change in interest rates.
The fund may not be protected against large changes.
In practice, this is not usually a problem as the theory is
fairly robust; only large changes and strange liabilities
may lead to problems at this point; rebalancing helps
when interest rates change gradually rather than
abruptly