《CFA固定收益证券》PPT课件 首都经济贸易大学 庞蔡吉

 
课件内容： 
绪章：Introduction and Recaps. 课程简介与必要知识回顾。 
0.1\tIntroduction of This Course. 课程简介。 
0.2\tRecap: Time Value of Money. 回顾：金钱的时间价值。 
0.3\tRecap: Annuity. 回顾：年金。 
0.4\tRecap: Basics of Interest Rates. 回顾：利率的基本介绍。 
0.5\tUse of Financial Calculator I: Basic Functions and Settings. 金融计算器的使用I: 基本功能与设置。 
0.6\tUse of Financial Calculator II: Single Cash Flow. 金融计算器的使用II: 单笔现金流的相关计算。 
0.7\tUse of Financial Calculator III: Annuity. 金融计算器的使用III: 年金的相关计算。 
0.8\tUse of Financial Calculator IV: Bond. 金融计算器的使用IV: 债券的相关计算。 
绪章测试题 
第一章：Fixed-Income Securities: Defining the Elements. 固定收益证券的基本要素。 
1.1\tFeatures of Fixed Icome Securities. 固定收益证券的主要特征。 
1.2\tBond Indentures and Collaterals 债券的合约与抵押品。 
1.3\tCredit Enhancements, Regulation, and Taxation 信用增强措施、监管以及税收政策。 
1.4\tContingency Provisions: Callable Bonds and Putable Bonds. 债券的或有条款: 可赎回与可卖回债券。 
1.5\tContingency Provisions: Convertible Bonds. 债券的或有条款: 可转债券。 
1.6\tBond Cash Flow Structures. 债券的现金流结构。 
第一章测试题 
第二章：Fixed-Income Markets: Issurance, Trading and Funding. 固定收益证券市场：发行、交易与融资。 
2.1\tBond Markets Classifications and Indexes. 债券市场的分类以及市场指数。 
2.2\tPrimary and Secondary Bond Markets. 一级与二级债券市场。 
2.3\tIssuing Process of U.S. Treasury Securities. 美国国债的发行过程。 
2.4\tGovernment Bonds, Quasi-Government Bonds, and Supranational Bonds. 政府债券、政府机构债券与超国家债券。 
2.5\tCorporate Debts. 公司债。 
2.6\tStructured Financial Instruments. 结构性融资工具。 
2.7\tShort-Term Funding Alternatives Available to Banks. 银行的短期融资工具。 
第二章测试题 
第三章：Introduction to Fixed-Income Securities Valuation. 固定收益证券的估值。 
3.1\tBasic Concepts of Bond Valuation 债券估值的基本原理。 
3.2\tYield-To-Maturity (YTM) 债券的到期收益率。 
3.3\tBond Price and Yield 债券价格与要求回报率。 
3.4\tRelation between Bond Price and Other Bond Characteristics. 债券价格与债券其他特征之间的关系。 
3.5\tFlat Price, Accrued Interest, and Full Price. 债券的报价、应计利息与全价。 
3.6\tValuation and Yields of Floating-Rate Notes. 浮动利率债券的估值与收益率指标。 
3.7\tYield Measures for Fixed-Rate Bonds. 固定利率债券的收益率指标。 
3.8\tYield Measures for Money Market Instruments. 货币市场工具的收益率。 
3.9\tSpot Rates and Bond Pricing I: Defination of Spot Rates and Linear Interpolation Method. 即期利率与债券定价 I：即期利率的定义与线性插值法。 
3.10\tSpot Rates and Bond Pricing II: Bootstrapping. 即期利率与债券定价 II：使用自助法计算即期利率。 
3.11\tForward Rates and Bond Pricing. 远期利率与债券定价。 
3.12\tYield Spreads. 利差。 
3.13\tMatrix Pricing. 矩阵定价法。 
第三章测试题 
第四章：Introduction to Asset-Backed Securities. 资产抵押支持证券的基本概念。 
4.1\tSecuritization Process and Participants. 资产证券化的过程与参与者。 
4.2\tBenefits and Risks of Securitization. 资产证券化的优势与风险。 
4.3\tStructures of Securitized Securities. 资产证券化产品的结构。 
4.4\tResidential Mortgage Loans and Residential Mortgage-Backed Securities (RMBS). 住房抵押贷款与住房抵押贷款支持证券。 
4.5\tMortgage Pass-Through Securities I: Characteristics and Prepayment Risk. 抵押转递证券 I: 特点与提前还款风险。 
4.6\tMortgage Pass-Through Securities II: Cash Flow Construction. 抵押转递证券 II: 现金流的构成。 
4.7\tCollateralized Mortgage Obligations (CMO). 抵押担保债券。 
4.8\tCommercial Mortgage Backed Securities (CMBS). 商业用房抵押贷款支持证券。 
4.9\tNon-Mortgage Asset-Backed Securities. 非房贷资产抵押支持证券。 
4.10\tCollateralized Debt Obligations (CDO). 债务担保凭证。 
第四章测试题 
第五章：Understanding fixed-income risk and return. 固定收益证券的风险与回报。 
5.1\tSource of Return. 固定收益证券的回报。 
5.2\tMacaulay Duration, Modified Duration and Effective Duration. 麦考利久期、修正久期与有效久期。 
5.3\tApplication of Duration, Money Duration and Key Rate Duration. 久期的应用、货币久期与关键利率久期。 
5.4\tProperty of Duration. 久期的性质特征。 
5.5\tDuration of Bond Portfolio. 债券投资组合的久期。 
5.6\tBond’s Convexity. 债券的凸性。 
5.7\tInterest Rate Risk and Investment Horizon. 利率风险与投资期限。 
第五章测试题 
第六章：Credit Analysis. 信用分析基础。 
6.1\tCredit Risk and Credit Rating Agencies. 信用风险与信用评级机构。 
6.2\t4Cs in Credit Analysis. 信用分析中的4C原则。 
6.3\tEvaluating Credit Quality. 信用质量评估。 
6.4\tCredit Analysis of High Yield Bond. 高收益债券的信用分析。 
6.5\tCredit Analysis of Sovereign Bond and Non-Sovereign Government Bond. 主权债券与非主权政府债券的信用分析。 
第六章测试题