风险管理与金融机构课件Ch06.ppt

风险管理与金融机构课件Ch06.ppt

《风险管理与金融机构课件Ch06.ppt》由会员分享，可在线阅读，更多相关《风险管理与金融机构课件Ch06.ppt（23页珍藏版）》请在冰豆网上搜索。

HowTradersManageTheirExposuresChapter6RiskManagementandFinancialInstitutions,2e,Chapter6,CopyrightJohnC.Hull20091ATradersGoldPortfolio.HowShouldRisksBeHedged?

（Table6.1,page114）RiskManagementandFinancialInstitutions,2e,Chapter6,CopyrightJohnC.Hull20092PositionValue（$）SpotGold180,000ForwardContracts60,000FuturesContracts2,000Swaps80,000Options110,000Exotics25,000Total117,000DeltalDeltaofaportfolioisthepartialderivativeofaportfoliowithrespecttothepriceoftheunderlyingasset（goldinthiscase）lSupposethata$0.1increaseinthepriceofgoldleadstothegoldportfolioincreasinginvalueby$100lThedeltaoftheportfoliois1000lTheportfoliocouldbehedgedagainstshort-termchangesinthepriceofgoldbyselling1000ouncesofgold.ThisisknownasmakingtheportfoliodeltaneutralRiskManagementandFinancialInstitutions,2e,Chapter6,CopyrightJohnC.Hull20093LinearvsNonlinearProductslWhenthepriceofaproductislinearlydependentonthepriceofanunderlyingassetahedgeandforgetstrategycanbeusedlNon-linearproductsrequirethehedgetoberebalancedtopreservedeltaneutralityRiskManagementandFinancialInstitutions,2e,Chapter6,CopyrightJohnC.Hull20094ExampleofHedgingaNonlinearProduct（page116）lAbankhassoldfor$300,000aEuropeancalloptionon100,000sharesofanondividendpayingstocklS0=49,K=50,r=5%,s=20%,T=20weeks,m=13%lTheBlack-Scholesvalueoftheoptionis$240,000lHowdoesthebankhedgeitsrisktolockina$60,000profit?

RiskManagementandFinancialInstitutions,2e,Chapter6,CopyrightJohnC.Hull20095DeltaoftheOptionRiskManagementandFinancialInstitutions,2e,Chapter6,CopyrightJohnC.Hull20096OptionpriceABSlope=DStockpriceDeltaHedginglInitiallythedeltaoftheoptionis0.522lThedeltaofthepositionis-52,200lThismeansthat52,200sharesmustpurchasedtocreateadeltaneutralpositionlBut,ifaweeklaterdeltafallsto0.458,6,400sharesmustbesoldtomaintaindeltaneutralitylTables6.2and6.3（pages118and119）provideexamplesofhowdeltahedgingmightworkfortheoption.RiskManagementandFinancialInstitutions,2e,Chapter6,CopyrightJohnC.Hull20097Table6.2:

OptionclosesinthemoneyRiskManagementandFinancialInstitutions,2e,Chapter6,CopyrightJohnC.Hull20098WeekStockPriceDeltaSharesPurchased049.000.52252,200148.120.458（6,400）247.370.400（5,800）350.250.59619,600.1955.871.0001,0002057.251.0000Table6.3:

OptionclosesoutofthemoneyRiskManagementandFinancialInstitutions,2e,Chapter6,CopyrightJohnC.Hull20099WeekStockPriceDeltaSharesPurchased049.000.52252,200149.750.5684,600252.000.70513,700350.000.579（12,600）.1946.630.007（17,600）2048.120.000（700）WheretheCostsComeFromlDeltahedgingashortoptionpositiontendstoinvolvesellingafterapricedeclineandbuyingafterapriceincreaselThisisa“selllow,buyhigh”strategy.lThetotalcostsincurredareclosetothetheoreticalpriceoftheoptionRiskManagementandFinancialInstitutions,2e,Chapter6,CopyrightJohnC.Hull200910GammalGamma（G）istherateofchangeofdelta（D）withrespecttothepriceoftheunderlyingassetlGammaisgreatestforoptionsthatareclosetothemoneyRiskManagementandFinancialInstitutions,2e,Chapter6,CopyrightJohnC.Hull200911GammaMeasurestheDeltaHedgingErrorsCausedByCurvature（Figure6.4,page120）RiskManagementandFinancialInstitutions,2e,Chapter6,CopyrightJohnC.Hull200912SCStockpriceSCallpriceCCVegalVega（n）istherateofchangeofthevalueofaderivativesportfoliowithrespecttovolatilitylLikegamma,vegatendstobegreatestforoptionsthatareclosetothemoneyRiskManagementandFinancialInstitutions,2e,Chapter6,CopyrightJohnC.Hull200913GammaandVegaLimitslInpractice,atradersmustkeepgammaandvegawithinlimitssetbyriskmanagementRiskManagementandFinancialInstitutions,2e,Chapter6,CopyrightJohnC.Hull200914ThetalTheta（Q）ofaderivative（orportfolioofderivatives）istherateofchangeofthevaluewithrespecttothepassageoftimelThethetaofacallorputisusuallynegative.Thismeansthat,iftimepasseswiththepriceoftheunderlyingassetanditsvolatilityremainingthesame,thevalueoftheoptiondeclinesRiskManagementandFinancialInstitutions,2e,Chapter6,CopyrightJohnC.Hull200915RholRhoisthepartialderivativewithrespecttoaparallelshiftinallinterestratesinaparticularcountryRiskManagementandFinancialInstitutions,2e,Chapter6,CopyrightJohnC.Hull200916TaylorSeriesExpansion（Equation6.1,page126）RiskManagementandFinancialInstitutions,2e,Chapter6,CopyrightJohnC.Hull200917InterpretationofGamma（Equation6.2,page126）lForadeltaneutralportfolio,DPQDt+GDS2RiskManagementandFinancialInstitutions,2e,Chapter6,CopyrightJohnC.Hull200918DPDSNegativeGammaDPDSPositiveGammaTaylorSeriesExpansionwhenVolatilityisUncertainRiskManagementandFinancialInstitu