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Financial Engineering PrinciplesA Unified Theory for Financial Product Analysis and Valuation phần 9

Tại sao bảy? Bởi vì 0,25 lần bảy là 1,75. Tại sao so le? Vì vậy, các hợp đồng tương lai hết hạn phù hợp với diễu hành ổn định để hạn thanh toán của Kho bạc tại chỗ hai năm. Vì vậy, tất cả đều là như nhau, nếu tương quan là một trong những mạnh mẽ giữa sản lượng tại chỗ trên Kho bạc hai năm | 224 FINANCIAL ENGINEERING RISK MANAGEMENT AND MARKET ENVIRONMENT Uncertainties Reinvestment of coupon income Total return prior to maturity Cash flows Uncertainties Reinvestment of coupon income Credit drift and default Credit risk Total return prior to maturity FIGURE 5.27 Two-year double-B corporate bond. probability of knowing a Treasury bill s total return at time of purchase holding it to maturity ptb 100 percent. If we let p2yt represent the probability of knowing a two-year Treasury s total return at time of purchase at the very least we know that p2yt is less than ptb. In fact it has to be less than ptb since the two-year Treasury bond embodies more risk via the added risk of reinvesting coupons . It then stands to reason that p2c representing a two-year corporate bond must be less than p2t. Putting these side-by-side we have ptb p2t p2c. TLFeBOOK Risk Management 225 Earlier it was stated that managing risk could be seen in the context of cash flows probability and time. In the last two examples time was held constant at two years. Not surprisingly uncertainty only increases with time. Investors who think it is difficult to forecast what reinvestment rates might be over the next two years should try to imagine how tough it is to forecast reinvestment rates for the next 20 years. Rating agencies make distinctions between a company s short-term debt ratings and its long-term debt ratings. When the two ratings differ typically the longer-term rating is lower. Accordingly we can safely say that p2t p20t and that p2c p20c. If we can safely say that p2t p20t and p2c p20c can we say that p20t p2c No at least not on the basis of what we have seen thus far. The uncertainty related to the reinvestment risk of a 20-year Treasury may be greater than the uncertainty related to the credit risk of a double-B corporate bond but we are comparing apples reinvestment risk with oranges credit risk . But hey apples and oranges are both fruits that grow on trees so let us not be