风险管理与金融机构课件Ch05.ppt

风险管理与金融机构课件Ch05.ppt

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FinancialInstrumentsChapter5RiskManagementandFinancialInstitutions,2e,Chapter5,CopyrightJohnC.Hull20091FinancialMarkets（pages83-84）lExchangetradedlTraditionallyexchangeshaveusedtheopen-outcrysystem,butincreasinglytheyareswitchingtoelectronictradinglContractsarestandard;thereisvirtuallynocreditrisklOver-the-counter（OTC）lAcomputer-andtelephone-linkednetworkofdealersatfinancialinstitutions,corporations,andfundmanagerslContractscanbenon-standard;thereissomesmallamountofcreditriskRiskManagementandFinancialInstitutions,2e,Chapter5,CopyrightJohnC.Hull20092ShortSelling（Pages85-86）lShortsellinginvolvessellingsecuritiesyoudonotownlYourbrokerborrowsthesecuritiesfromanotherclientandsellstheminthemarketintheusualwaylAtsomestageyoumustbuythesecuritiesbacksotheycanbereplacedintheaccountoftheclientRiskManagementandFinancialInstitutions,2e,Chapter5,CopyrightJohnC.Hull20093ShortSelling（continued）lYoumustpaydividendsandotherbenefitstheownerofthesecuritiesreceiveslThecashflowsfromashortpositionthatisenteredintoattimeT1andclosedoutattimeT2aretheoppositeofthosefromalongpositionwhereassetisboughtattimeT1andsoldattimeT2,exceptthattheremaybeasmallfeeforborrowingtheassetRiskManagementandFinancialInstitutions,2e,Chapter5,CopyrightJohnC.Hull20094DerivativeslForwardslFutureslSwapslOptionslExoticsRiskManagementandFinancialInstitutions,2e,Chapter5,CopyrightJohnC.Hull20095GrowthofDerivativesMarkets（Figure5.1）RiskManagementandFinancialInstitutions,2e,Chapter5,CopyrightJohnC.Hull20096SizeofMarket（$trillion）6月-986月-996月-006月-016月-026月-036月-046月-056月-066月-076月-087006005004003002001000OTCExchangeForwardContractslAforwardcontractisanagreementtobuyorsellanassetatacertainpriceatacertainfuturetimelForwardcontractstradeintheover-the-countermarketlTheyareparticularlypopularoncurrenciesandinterestratesRiskManagementandFinancialInstitutions,2e,Chapter5,CopyrightJohnC.Hull20097ForeignExchangeQuotesforGBPAugust27,2008（Seepage87）RiskManagementandFinancialInstitutions,2e,Chapter5,CopyrightJohnC.Hull20098BidOfferSpot1.83561.83601-monthforward1.83141.83193-monthforward1.82371.82426-monthforward1.81271.8133ProfitfromaLongForwardPositionRiskManagementandFinancialInstitutions,2e,Chapter5,CopyrightJohnC.Hull20099ProfitPriceofUnderlyingatMaturity,STKProfitfromaShortForwardPositionRiskManagementandFinancialInstitutions,2e,Chapter5,CopyrightJohnC.Hull200910ProfitPriceofUnderlyingatMaturity,STKFuturesContracts（pages89-91）lAgreementtobuyorsellanassetforacertainpriceatacertaintimelSimilartoforwardcontractlWhereasaforwardcontractistradedOTC,afuturescontractistradedonanexchangeRiskManagementandFinancialInstitutions,2e,Chapter5,CopyrightJohnC.Hull200911FuturesContractcontinuedlContractsaresettleddaily（e.g.,ifacontractison200ouncesofDecembergoldandtheDecemberfuturesmoves$2inmyfavor,Ireceive$400;ifitmoves$2againstmeIpay$400）lBothsidestoafuturescontractarerequiredtopostmargin（cashormarketablesecurities）withtheexchangeclearinghouse.Thisensuresthattheywillhonortheircommitmentsunderthecontract.RiskManagementandFinancialInstitutions,2e,Chapter5,CopyrightJohnC.Hull200912SwapsAswapisanagreementtoexchangecashflowsatspecifiedfuturetimesaccordingtocertainspecifiedrulesRiskManagementandFinancialInstitutions,2e,Chapter5,CopyrightJohnC.Hull200913AnExampleofa“PlainVanilla”InterestRateSwaplAnagreementtoreceive6-monthLIBOR&payafixedrateof5%perannumevery6monthsfor3yearsonanotionalprincipalof$100millionlNextslideillustratescashflowsRiskManagementandFinancialInstitutions,2e,Chapter5,CopyrightJohnC.Hull200914CashFlowsforonesetofLIBORrates（SeeTable5.4,page93）RiskManagementandFinancialInstitutions,2e,Chapter5,CopyrightJohnC.Hull200915-MillionsofDollars-LIBORFLOATINGFIXEDNetDateRateCashFlowCashFlowCashFlowMar.5,20104.2%Sept.5,20104.8%+2.102.500.40Mar.5,20115.3%+2.402.500.10Sept.5,20115.5%+2.652.50+0.15Mar.5,20125.6%+2.752.50+0.25Sept.5,20125.9%+2.802.50+0.30Mar.5,20136.4%+2.952.50+0.45TypicalUsesofanInterestRateSwaplConvertingaliabilityfromlfixedratetofloatingratelfloatingratetofixedratelConvertinganinvestmentfromlfixedratetofloatingratelfloatingratetofixedrateRiskManagementandFinancialInstitutions,2e,Chapter5,CopyrightJohnC.Hull200916QuotesByaSwapMarketMaker（Table5.5,page94）MaturityBid（%）Offer（%）SwapRate（%）2years6.036.066.0453years6.216.246.2254years6.356.396.3705years6.476.516.4907years6.656.686.66510years6.836.876.850RiskManagementandFinancialInstitutions,2e,Chapter5,CopyrightJohnC.Hull200917OtherTypesofSwapssandRelatedInstrumentsFlo