国外金融衍生的品发展历程及关于动态Word格式文档下载.docx
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Swaps
Options
…
ByAssetClass
InterestRate
FX
Credit
Equity
Commodity
Hybrid
Source:
DerivativeTradersattheCBOT
ALongHistoryofFinancialDerivatives
ThefirstexchangefortradingderivativesappearedtobetheRoyalExchangeinLondon,whichpermittedforwardcontracting
1600s-Holland.Tulipdealingisbigbusiness,andgrowersanddealersaretradinginoptionstoguaranteeprices.
Soonspeculatorsarejoininginandathrivingoptionsmarketisborn.Butthemarketcrashes,manyspeculatorsfailtohonourtheircommitments,andtheDutcheconomyisbroughttoitsknees.
1934-USA.Investmentactlegitimisesoptions.Annualvolume&
lt;
300,000contractsby1968.
April1973-Chicago.TheCBOTstartstradinglistedcalloptionson16stocks,withafirst-dayvolumeof911contracts.
1974–Chicago.Thedailyvolumegrowsfrom20,000toover200,000contracts.
PricingofOptions
PaulSamuelson-almostgetsthere.
BlackandScholesworkontheoptionpricingproblem.Theyrealisethatriskisthekey-itiswhatisattherootofalltheproblemsothersarehaving,anditiswhatoptionsareallabout.
Theirideaistotrytobalanceareplicatedportfoliosothattheriskgoesaway/non-arbitrageargument
RobertMertonarrivedonthescenein1968andbroughtwithhimexpertiseinIt?
ocalculus,andanunderstandingofcontinuous-time‘stochasticprocesses’.
SignificantEvents
In1982theCMEcreatedtheEurodollarcontract.In1982,theKansasCityBoardofTradelaunchedthefirststockindexfutures.TheChicagoMercantileExchangequicklyfollowedwiththeirhighlysuccessfulcontractontheS&
amp;
P500index
In1983,theChicagoBoardOptionsExchangedecidedtocreateanoptiononanindexofstocks.ThoughoriginallyknownastheCBOE100Index,itwassoonturnedovertoStandardandPoor&
#039;
sandbecameknownastheS&
P100,whichremainsthemostactivelytradedexchange-listedoption.
The1980smarkedthebeginningoftheeraofswapsandotherover-the-counterderivatives.
Newproductswererapidlycreatedtohedgethenow-recognizedwidevarietiesofrisks.Theinstrumentsbecamemorecomplexandweresometimesevenreferredtoas;
exotic.“
In1994thederivativesworldwashitwithaseriesoflargelossesonderivativestradingannouncedbysomewell-knownandhighlyexperiencedfirms,suchasProcterandGambleandMetallgesellschaft.OneofAmerica&
swealthiestlocalities,OrangeCounty,California,declaredbankruptcy,allegedlyduetoderivativestrading,butmoreaccurately,duetotheuseofleverageinaportfolioofshort-termTreasurysecurities.
England&
svenerableBaringsBankdeclaredbankruptcyduetospeculativetradinginfutures
TheCDSmarketexplode,backingmorethan$900bnworthofcreditbyyear’send
In2003hislettertostockholders,warrenBuffetcallsderivatives“financialweaponsofmassdestruction”
TheCDSMarketreachescolossalheights,backing$62trillionworthofcreditbyendof2007
CreditCrsis
BearStearnscollapses
AndLehmanBrothers
Afewbigbankshugetradingloss
AbroaderOverviewofOptionType
UNDERLYING
CONTRACTTYPES
Exchange-tradedfutures
Exchange-tradedoptions
OTCswap
OTCforward
OTCoption
DJIAIndexfutureSingle-stockfuture
OptiononDJIAIndexfutureSingle-shareoption
Equityswap
Back-to-backRepurchaseagreement
StockoptionWarrantTurbowarrant
Interestrate
EurodollarfutureEuriborfuture
OptiononEurodollarfutureOptiononEuriborfuture
Interestrateswap
Forwardrateagreement
InterestratecapandfloorSwaptionBasisswapBondoption
Bondfuture
OptiononBondfuture
CreditdefaultswapTotalreturnswap
Repurchaseagreement
Creditdefaultoption/MBS
Foreignexchange
Currencyfuture
Optiononcurrencyfuture
Currencyswap
Currencyforward
Currencyoption
WTIcrudeoilfutures
Weatherderivatives
Commodityswap
Ironoreforwardcontract
Goldoption
Others
Property(mortgage)derivatives
Economicderivativesthatpayoffaccordingtoeconomicreports
Freightderivatives
Inflationderivatives
Weatherderivatives
Insurancederivatives
Emissionsderivatives
….
WorldWealthvsWorldDerivatives1998-2007
GlobalOTCDerivatives
Afteranincreaseofonly3%inthesecondhalfof2010,totalnotionalamountsoutstandingofover-the-counter(OTC)derivativesroseby18%inthefirsthalfof2011,reaching$708trillionbytheendofJune2011
Interestrateandforeignexchangederivatives
CreditDefaultSwaps
KeyTrends:
Post2008
Deleveraging
HedgingRatioreduction
Appliesmorescrutinyoftheunderlyingexposure
Pricing:
Puttability
Regulatorypushforexchange-tradedderivativesandcentralclearing
SkewedtoShortTenor
PushingforCSAtoreducecounterpartyrisk
Increasedawarenessofpricingthecreditcharge
PotentialBaselIIIimpact
FromexotictoLightlystructured
Moreoption-basedstrategy
ChinaDevelopment:
Overview
In5>
viewoftherapiddevelopmentoftheCNYMarket,companiesinChinahasunprecedentedopportunitiesandmoreinstrumentstohedgetheFXrisks
TheStateAdministrationofForeignExchange(SAFE)allowedthetradingofonshoreCNYRangeForward(RiskReversal)from1stDec2011.DeutscheBankexecutedthefirstseriesofCNYRangeForward(RiskReversal)tradesinChina.
On16February2011,SAFEissuedtheNo.8CircularonRMBonshoreoptiontoallowclientstobuyvanillaEuropeanoptionsonshore,withForeignCurrency/CNYasunderlying,effectivefromApril1st,2011
TheintroductionofFXriskreversalsandoptionsfollowstheexpansionoftheonshorecrosscurrencyswapmarketinFebruarythisyear.
China’scurrencyisalsobecomingincreasinglyglobal,withafast-growingoffshoreRenminbimarketinHongKongandgrowingvolumesofinternationaltradebeingsettledinCNY.
TrendsinCorporateCurrencyRiskManagement
Currencieshavebecomemorevolatileandmoreinfluencedbyglobaleconomy
Currencymarketshavebecomemorevolatilepost-2008
Asaresult,anycurrencyhedgingdecisionwillhavegreaterfinancialimplications
Inaddition,shiftshavebecomeless‘random’andmoretrends
Thishasmade‘OutofTheMoney’optionsmorevaluable
Finally,currencymoveshavebecomelargelyinfluencedbyglobaleconomyandcurrencyhedginghastobeconsideredaspartoverallriskandoperations
Asanillustration,EURUSDexchangerateismorethan50%correlatedwithS&
P500since2008whentheseusedtobeindependent(correlationontheorderof10%)
CurrencyValueatRisk(VaR)isactuallyaninadequateRiskmetricincurrentenvironment…
DB/Bloomberg
EURUSDandS&
P500havebecomeinter-dependent
Correlation&
20%
-
gt;
50%
30%
20%
10%
0%
5%
2004
2008
2009
Present
Regression(2004–2008)
Regression(2009–present)
WeeklyS&
Pchange
GreaterTrendsinCurrencyMarkets…
Uncertain
Sales/Costs
EBITDA/Earnings
Capital/SolvencyRatio
CorrelationwithFX
TheNewParadigm:
FlexibilitytoTackleComplexity
ComplexManagement/LargerRiskatstake?
?
IdentifyTargetMetrics/ConstraintstoworkoutFlexibleHedge
SettlementRisk
FXManagement
BankCounterpartyRisk
CountryRisk
AccountingRisk
P&
LVolatilityfromHedgeType
FewExposuresmayqualify
MARKETRISK
Gainsmaydisappear…
Butlosseswon’t!
Nettingcrucial
LiquidityRisk
Default
Repudiation
Intervention/CapitalControl
HedgePerformancefullylinkedtolocalbankcredit
Willaffectlocalbusiness
FXVolatility
Yields
Correlations
latentgains/lossesputstrainonbusiness
Shortertermhedgesmaycreatecash-flows
‘Only’piececapturedbyVaR
ISDA/CSA
CLS,FXforCash,AutoBahn
SovereignCDS,ISDA
OffshoreTransactions
BusinessCounterpartyRisk
FXVolatility
EMcurrencies
Correlationbetweencurrencies
BusinessRisk
Contractmaybecomevoid
FXHedgebecomes‘additionalrisk’
DesignationStrategyCustomSolutions
Transactionrisk
OperatingCashFlows
…directcashflowimpact…
LargerFXRisk?
AllExposuresBecomeMoreRelevant
MonetaryItems
Cash
LiquidAssets
ForeignLiabilities
…directvalueimpact…
Translationrisk
ForeignSubsidiaryEarnings
ForeignSubsidiaryEquity(NetInvestment)
KeyPerformanceMetrics(EBITDA,CapitalRatios…)
SpecificfocuswhenEMinvolved
…accountingimpact…
Competitive
Currencydenominationofcompetitors
Dependsonpriceelasticityandconvexity
…indirectcashflowimpact…
TypicalTreasuryFocus
Nomajoraccounting/economichurdle
TypicalManagementFocus
Accounting/economichurdles
Packaging/Advisory
Flexibility
LiquidityImplications
CaseStudy–FXRiskonCovenants:
Nothedgingcouldbecatastrop