AFM知識(shí)點(diǎn)匯總—Modified Duration 的計(jì)算及意義、公司信用評(píng)級(jí) credit agency

Modified Duration=(Maculay Duration)/(1+gross redemption yield) 修正久期方程的作用，是將利率變化跟債券價(jià)格變化聯(lián)系起來(lái)了。

The equation linking modified duration(D),and the relationship between the change in interest rates (Ui) and change in price or value of a bond or loan (UP) is given as follows: UP=[-D*Ui*P] (P is the current value of a loan or bond and is a constant)

如果修正久期數(shù)值較高，則債券價(jià)格因?yàn)槔蕛r(jià)格因?yàn)槔首兓牟▌?dòng)較大，假設(shè)其值為 2.42，表示利率每波動(dòng) 1，債券價(jià)格波動(dòng) 2.42 倍。

The size of the modified duration will determine how much the value of a bond or loan will change when there is a change in interest rates. A higher modified duration means that the fluctuations in the value of a bond or loan will be greater, hence the value of 2.42 means that the value of the loan or bond will change by 2.42 times the change in interest rates multiplied by the original value of the bond or loan.

實(shí)際上，債權(quán)的價(jià)格和收益率的真實(shí)關(guān)系是一條凸向 convexity 原點(diǎn)的曲線。這種凸向原點(diǎn)的關(guān)系表示了久期會(huì)低估債券價(jià)格的跌落，而高估債券價(jià)格的上升。 只有當(dāng)收益率的波動(dòng)浮動(dòng)很大時(shí)，凸性的問(wèn)題才比較明顯。

In fact, the actual relationship between price and yield is given by the line as convex to the original. The impact of convexity(ie non-linear relationship) will be that the modified duration will tend to overstate the fall in a bond's price and understate the rise. The problem of convexity only becomes an issue with more substantial fluctuations in the yield.

需要考慮的因素：

1. Industry risk:評(píng)估了公司所在的產(chǎn)業(yè) industry sector 在經(jīng)濟(jì)變化中的彈性 resilience。包括:

 1) 一旦經(jīng)濟(jì)變化，對(duì)于行業(yè)的沖擊，從事這個(gè)行業(yè)的公司是否可以在糟糕的經(jīng) 濟(jì)環(huán)境下，繼續(xù)成功？

 2）這個(gè)行業(yè)的循環(huán)周期 cyclical 是怎樣的，波峰 peak 和波谷 troughs 時(shí)期有怎樣的規(guī)模？

 3）一旦經(jīng)濟(jì)變化，這個(gè)行業(yè)的需求會(huì)有怎樣的轉(zhuǎn)變 demand shifts?

2. Earnings protection:評(píng)估了怎樣在變化的環(huán)境中維持或者保護(hù)它的收益？   

 1）各種不同來(lái)源的收益增長(zhǎng)

 2）customer base 的多元化 diversity

 3）profit margins and return on capital

3. Financial flexibility 融資能力：公司是否可以輕松融資當(dāng)它需要的時(shí)候，以滿足投資目的。

 1）評(píng)估各種融資渠道和可行性

 2）跟金主的關(guān)系，比如：銀行

 3）目前的 debt convenants 上的盈利性指標(biāo)達(dá)標(biāo)情況以及限制 operating restrictions

4. Evaluation of management 則考慮了管理層是如何管理并規(guī)劃公司發(fā)展的。 

 1）公司的計(jì)劃 control policy，以及 financial strategy

 2）管理層的更替計(jì)劃 succession plan

 3）管理層的 qualification & experience

 4）財(cái)務(wù)和非財(cái)務(wù) target 的實(shí)現(xiàn)情況 performance

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