金融工程大作业丁文丽 15会展A1Word文档格式.docx

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FinancialEngineering

（Optional）

Project

Title:

ABookReportofFinancialEngineering

StudentID　20154841341　　　　

Name：

　　丁文丽　　

Class：

　　15会展A1

Date：

2016年11月28日

BookReportofFinancialEngineering

1、Introduction

Althoughtheterm"

financialengineering"

intheearly1950shadappearedintheliteratures,butfinancialengineeringisappearasanindependentsubjectinthe90s.In1991,"

InternationalFinancialinstitute"

（InternationalAssociationofFinancialEngineer,IAFE）theestablishmentoftheisregardedasanimportantsymbolofFinancialengineeringtoestablish.Thesociety'

saimisto"

defineandfosteringfinancialengineeringthisemergingfield"

.Financialengineeringisnowthemajorwesterneconomics,finance,collegestudentslovetotakeacourseofstudy.Asthefinancialengineeringisabrand-newfinancialsector,manyfinancialengineeringtheoryandtechnologyisalsodeveloping,sotheChineseandforeignscholars'

understandingoffinancialengineeringandannotation.Hereweseethedomesticandforeignscholarson"

whatisafinancialengineering"

differentview.

1.Finnerty.FirstproposedtheconceptoffinancialengineeringdisciplinesusfinanceprofessorJohnFinnerty'

s（JohnFinnerty）publishedin1998,thefinancialengineeringreviewofcorporatefinance,financialengineeringisasfollows:

theconceptof"

financialengineeringincludesinnovativefinancialtoolsandfinancialmeansthedesign,development,implementation,andtogivecreativesolutionstothefinancialproblems."

2.Gayle.In1994,Britain'

sfinancialscholarsLorentzGayle'

s（LawrenceGalitz）inhisbook"

putforwardadefinitionof"

unified"

:

financialengineeringistheapplicationoffinancialtools,restructuringtheexistingfinancialstructureinordertoobtaindesirableresults.,bydefinitionitcanbeseenthatthegoaloffinancialengineeringisarestructuringoffinancialstructureinordertoachievedesiredresults.

3.MarshallandBansal.MarshallandBansalinhisbook"

andaffirmstheFinnerty'

sdefinitionoffinancialengineering.Further,twopeoplealsobelievethatfinancialengineeringisnotconfinedtothelevelofapplicationincompaniesandfinancialinstitutions,inrecentyears,manycreativefinancialinnovationaregearedtotheneedsofretaillevel,sometimesreferredtoastheconsumerlevel.Fromapracticalperspective,financialengineeringshouldincludethefollowingaspects:

corporatefinance,financialtransactions,includingbasictools）derivativestrading,investment,suchascashmanagementandriskmanagement.Riskmanagementisregardedasfinancialengineeringisthemostimportantcontent.

4.FengmingSong.FengmingSongisthemainguideofthedomesticfinancialengineeringdisciplineandacademic,wasoneoftheAFEmotherlandmainlandfirstmembers.Hethinksthatfinancialengineeringintermsofitsresearchscope,andtherearebroadsenseandnarrowsensetwokindsofmeaning:

broadfinancialengineeringreferstotheengineeringthinkingintothefinancialsector,thecomprehensivemethodusedinavarietyofengineeringdesign,development,andimplementationofnewfinancialproducts,creativelytosolveallkindsoffinancialproblems.Specialfinancialengineeringisacombinationoffinancialtools（mainlyincludeallkindsofderivatives）andductmanagementtechnologyresearch.Riskofthecustomer,andusingthecombinationtoolforstructuredmanagementworkisfinancialengineering.Generalizedfinancialengineeringcoversthespecialfinancialengineering,butintermsoftechnicallevel,narrowthedefinitionofthebucklethecorepartoffinancialengineering,isriskmanagementtoolsandtechniques.

Theaboveseveralscholarspointofview,andfromdifferentangles,differentlevelsoffinancialengineeringmadesomerelativelyaccuratedefinition.Accordingtothecharacteristicsofthebookneededinthispaper,theproblemhere.Ontheinduction,the"

isdefinedas:

financialengineeringisacreativeapplicationoffinancialinstruments,restructuringtheexistingfinancialstructureinordertoobtaindesirableresults,itscoreistheengineeringandsystematicriskmanagement.

2、Contents

2.1Thereasonofappearingoffinancialengineering

Althoughfinancialengineeringhasmorethan20yearsofdevelopmenthistoryinthewest.Thereasonofappearingonthefinancialengineeringincludesthefollowingseveralaspects:

1.Riskfactors:

theexchangerate,interestrate,financialassetpricevolatility,macropoliticalandeconomicfactors,aswellastheenterprisesintheirbusiness,productionandmanagementofuncertaintyisthesourceoftheriskstoproduce.Sometimesriskfromtheinternaleconomicsociety,sometimescomesfromexternaleconomyandsociety,suchasnaturaldisasterrisk;

Someriskscanbeeffectivelydispersedthroughportfoliotechnology,suchasthesystemrisk,someriskbutnotscattered,suchassystemrisk.Theseriskfactorsisoneofthereasonofappearingoffinancialengineering.Sofromthepointofviewofriskfactors,itcanbesaidthattheexchangerateriskistheobjectiveoffinancialengineeringmanagement,andpromotetheemergenceanddevelopmentoffinancialengineering.

2.Thesystemenvironment:

financialengineeringisaccompaniedbythebirthanddevelopmentofconfrontationandcompromisewiththesystem.Financialderegulationwillgivefinancialengineeringplayalot.Thedevelopmentofthetheoryoffinancialregulation,thechangesofthefinancialregulatorysystem,thefinancialglobalizationandliberalizationoffinancialengineeringdevelopmenthasplayedagreatroleinpromoting.Sotheinstitutionalenvironmentisthebasiccauseofemergenceanddevelopmentoffinancialengineering.

3.Thefinancialtheory:

financialengineeringtheoryisbasedonfinancialtheory.Financialengineeringandfinancialtheoryastherelationshipbetweentheweaponandsoldiersinthewar.Financialengineeringcanonlyplayaroleinthefinancialtheorytoguidethe.Financialtheoryhappenitselfbecamethemotivationofthefinancialengineeringtoproduce.

4.Highandnewtechnology:

thedevelopmentofcomputer,communicationtechnology,theInternetmakesworksmadeafundamentalchangeinfinancialmarkets.Themajornationalstockexchangenetworkhasmadeinvestorscaninall24hoursnon-stop,zerotimelag.Theworld'

sfinancialmarketsmorecloselylinked,makesthedevelopmentoffinancialinstrumentsandusemoresuccinct,alsomakestherisk-freearbitrageopportunitiesaremoredifficulttograsp,moreaccuratefinancialengineeringbecomesmorecomplex.

5.Riskallocationandfinancialcomparativeadvantage:

duetotheasymmetricinformationofthefinancialmarketriskallocationandfinancialobjectiveexistenceofcomparativeadvantage,thefocusofbothpartiesinthefuturerealmarket_Lassetpricemovementsarefundamentallydifferentexpectations,namelytheviewoffuturechangesinassetpricesmovementshaveseriousdifferencesofopinion,tothedevelopmentoffinancialengineeringprovidestheobjectivespace.

2.2Thebasictheoryoffinancialengineering

Tellfromthetheorysource,financialengineeringiseclecticism,eclectic,andbecomeacrosssubject.Asshowninfigure（2-1）.

Figure1Financialengineeringinterdisciplinaryschematicdiagram

Financialengineeringhasabsorbedthebasicprinciplesofeconomics,financeandinvestment,andtheintroductionofoperationalresearch,physics,genetics,differentsubjectslikeengineering,forexample,thetheoryandmethodsofthenecessaryknowledgeofaccountingandtaxisthemainsourceoffinancialengineeringtheory.Butrealasfinancialengineeringtheoryisthebasicprincipleofeconomicsandfinanceandinvestment,andavarietyofdoctrine.Becauseofthefinancialengineeringisbyidentifyingandusingfinancialopportunitiestocreatevalue.Asaresult,thesourceofvalue,thedeterminationofpriceandthecharacteristicsoffinancialmarketsisconstitutesthecoreoffinancialengineeringonthetheoryoftheory.

2.3thetraditionalexchangerateriskmanagement

Infinancialengineeringmethods,therearethreemainkindsofexchangerateriskmanagementmethods:

first,assetliabilitymanagement;

Secondly,theinsurance;

Thethirdisportfolio.Thesethreemethodsareonlyinthetablecontrol（referstothecompanyonthebalancesheetbasedonspecificprojects,byadjustingthecompanybasedinthedifferentcombinationofassetsandliabilitiesonthewaytoeliminatethemarketfinancialrisk）.,bycontrast,isusedfortheriskmanagementoffinancialengineeringisoff-balancesheetcontrolmethodistheuseofvariousfinancialmarkethedgingtoolstoachievethepurposeofriskaversion,assuchtransactiondoesnotinvolvealltheitemsonthebalancesheet,donotchangetheunderlyingbusinessassetsandliabilitiesinthebalance,generallydonotshowuponthebalancesheet,socalledtheoff-balancesheetbusiness.

1.Theassetsandliabilitiesmanagement.Overall,thiswayofexchangerateriskmanagementrequirementstorestructuringofassetsandliabilitiesbusiness,thedomesticandforeignassetsandliabilitiesmatching.Thismethodisobviousweaknesses,itisshownas:

（1）theamountofmoney.Adjustmentoflocalandforeignassetsandliabilitiesstructure,setupriskfundsandotherassetsandliabilitiesmanagementmethodtakesalotofmoney.Someevenmeantoconstructabasictradingsymmetry.

（2）hightransactioncosts.Inordertoachievethematchingofassetsandliabilitiesriskexposurecondition,needstoadjustandconcreteimplementationinnegotiatio