[CFAL2]固收2

1. Yield Curve Factor Model

• Level(方向性改变)，对实际收益率总变动的影响最大
• Steepness(斜率改变):二级主要强调短期和长期利率的改变
• Curvature(曲度改变):短中长期的改变

2. Yield Curve Risk Management

• 1)Effective Duration(只考虑了Yield Curve平行移动)
• 2)Key Rate Duration: 有几个关键期限，就有几个KRD;对于完全由零息债券组成的组合来说，KRDi = Di * Wi.

3. Term Structure of interest rate volatility: Short-term interest rate volatility is more volatile than long-term interest rate volatility.
4. Binomial Interest Rate Tree (Equal Probability + Lognormal)
   Construction: Spot Rate-> Forward Rate -> High/Low Rate
5. MBS:

• interest rate movement -> prepayment movement -> Cash flow, Maturity, Present Value change
• MBS is path-dependent, so should be valued by Monte Carlo Simulation instead of Binomial Tree.