the premium is referred to as an equity risk premium. On the other hand, when the non-Treasury investment is a portfolio or a market index such as the S&P 500, the premium is referred to as the market risk premium.
固收：用数学推导解释麦考利久期和投资期限之间的关系所对应的reinvestment risk 和market price risk37 赞...
债券现值对价格的影响超过票息再投资收益，特别是在利率上升时，价格下跌的幅度大于再投资收益的增加，因此市场价格风险增加。同样，利率下降时，价格上升的趋势也超过再投资收益的减少，使market price risk继续大于reinvestment risk。
We extend the standard specification of the market price of risk for affine yield models, and apply it to U.S. Treasury data. Our specification often provides better fit, sometimes with very high statistical significance. The improved fit comes from the time-series rather than cross-sectional fe...
我们可以理解为,当利率上升,此时的债券现值应该下降,而票息再投资收益上升,但是两者变化相等抵消,所以dFV=0。同理,当利率下降,此时的债券价格应该上升,但是再投资收益下降,两者影响相互抵消,dFV=0。所以,在投资期限等于麦考虑久期的情况下,reinvestment risk 等于market price risk。
网络风险的市场价格;市场平均风险溢价;风险溢筹 网络释义
2) the market price of volatility risk 波动率风险市价 3) market risk premium 市场风险溢价 1. A model ofmarket risk premiumthrough the interaction of rational investors and irrational investors is constructed. 本文基于投资者的过度自信心理偏差构建了证券投资的理性风险溢价度量模型、非理性风险溢价度量模型...
MarketriskistheriskthatchangesinfinancialmarketspricesandrateswillreducesthevalueoftheFI’spositions SensitivityofportfoliovaluetomarketvariablesMarketvariables:Interestrate,FXrate,equity price,commodityprice,andeventhevolatilityofpriceVolatilityofinvestmentportfolioandofmarketvariablesAcaution:Broaddefinitionvs.narrow...
2) market price of interest rate risk 利率风险的市场价格 1. The first one is that the market price of interest rate risk is zero. 用这个方法估计利率模型,可以同时得到利率风险的市场价格的估计。3) market prices of risk 风险市场价格
1) Default (Credit)risk 2)Price risk: long term>short term; low coupon rate>high coupon rate 3)Reinvestment Rate risk: long term<short term; low coupon rate<high coupon rate (这两个我超容易搞混,解决办法(考试)就是先把price risk想出来然后investment rate risk就直接反过来就好～) ...