衍生工具与风险管理第9章课件优质PPT.ppt
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衍生工具与风险管理第9章课件优质PPT.ppt
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Chapter9:
@#@FuturesHedgingStrategiesItItisisoftenoftensaidsaidininthethederivativesderivativesbusinessbusinessthatthat“you“youcannotcannothedgehistory.”hedgehistory.”DanGoldmanDanGoldmanRiskManagementfortheInvestmentCommunity,RiskManagementfortheInvestmentCommunity,1999,p.161999,p.16D.M.ChanceCh.10:
@#@1AnIntroductiontoDerivativesandRiskManagement,6thed.ImportantConceptsinChapter10nnWhyfirmshedgeWhyfirmshedgennHedgingconceptsHedgingconceptsnnFactorsinvolvedwhenconstructingahedgeFactorsinvolvedwhenconstructingahedgennHedgeratiosHedgeratiosnnExamplesofforeigncurrencyhedges,intermediate-andExamplesofforeigncurrencyhedges,intermediate-andlong-terminterestratehedges,andstockindexfutureslong-terminterestratehedges,andstockindexfutureshedgeshedgesD.M.Chance2AnIntroductiontoDerivativesandRiskManagement,6thed.WhyHedge?
@#@nnThevalueofthefirmmaynotbeindependentoffinancialThevalueofthefirmmaynotbeindependentoffinancialdecisionsbecausedecisionsbecauseuuShareholdersmightbeunawareofthefirmsrisks.Shareholdersmightbeunawareofthefirmsrisks.uuShareholdersmightnotbeabletoidentifythecorrectShareholdersmightnotbeabletoidentifythecorrectnumberoffuturescontractsnecessarytohedge.numberoffuturescontractsnecessarytohedge.uuShareholdersmighthavehighertransactioncostsofShareholdersmighthavehighertransactioncostsofhedgingthanthefirm.hedgingthanthefirm.uuTheremaybetaxadvantagestoafirmhedging.Theremaybetaxadvantagestoafirmhedging.uuHedgingreducesbankruptcycosts.Hedgingreducesbankruptcycosts.nnManagersmaybereducingtheirownrisk.Managersmaybereducingtheirownrisk.nnHedgingmaysendapositivesignaltocreditors.Hedgingmaysendapositivesignaltocreditors.nnDealershedgetheirmarket-makingactivitiesinDealershedgetheirmarket-makingactivitiesinderivatives.derivatives.D.M.Chance3AnIntroductiontoDerivativesandRiskManagement,6thed.WhyHedge?
@#@(continued)nnReasonsnottohedgeReasonsnottohedgeuuHedgingcangiveamisleadingimpressionoftheHedgingcangiveamisleadingimpressionoftheamountofriskreducedamountofriskreduceduuHedgingeliminatestheopportunitytotakeadvantageHedgingeliminatestheopportunitytotakeadvantageoffavorablemarketconditionsoffavorablemarketconditionsuuThereisnosuchthingasahedge.AnyhedgeisanactThereisnosuchthingasahedge.Anyhedgeisanactoftakingapositionthatanadversemarketmovementoftakingapositionthatanadversemarketmovementwilloccur.This,itself,isaformofspeculation.willoccur.This,itself,isaformofspeculation.D.M.Chance4AnIntroductiontoDerivativesandRiskManagement,6thed.HedgingConceptsnnShortHedgeandLongHedgeShortHedgeandLongHedgeuuShort(long)hedgeimpliesashort(long)positioninShort(long)hedgeimpliesashort(long)positioninfuturesfuturesuuShorthedgescanoccurbecausethehedgerownsanShorthedgescanoccurbecausethehedgerownsanassetandplanstosellitlater.assetandplanstosellitlater.uuLonghedgescanoccurbecausethehedgerplanstoLonghedgescanoccurbecausethehedgerplanstopurchaseanassetlater.purchaseanassetlater.uuAnanticipatoryhedgeisahedgeofatransactionthatisAnanticipatoryhedgeisahedgeofatransactionthatisexpectedtooccurinthefuture.expectedtooccurinthefuture.uuSeeSeeTable10.1,p.348Table10.1,p.348forhedgingsituations.forhedgingsituations.D.M.Chance5AnIntroductiontoDerivativesandRiskManagement,6thed.HedgingConcepts(continued)nnTheBasisTheBasisuuBasis=spotprice-futuresprice.Basis=spotprice-futuresprice.uuHedgingandtheBasisHedgingandtheBasisFP(shorthedge)=ST-S0(fromspotmarket)-(fT-f0)(fromfuturesmarket)FP(longhedge)=-ST+S0(fromspotmarket)+(fT-f0)(fromfuturesmarket)FIfhedgeisclosedpriortoexpiration,P(shorthedge)=St-S0-(ft-f0)FFIfhedgeisheldtoexpiration,SIfhedgeisheldtoexpiration,Stt=S=STT=ffTT=f=ftt.D.M.Chance6AnIntroductiontoDerivativesandRiskManagement,6thed.HedgingConcepts(continued)nnTheBasis(continued)TheBasis(continued)uuHedgingandtheBasis(continued)HedgingandtheBasis(continued)FFExample:
@#@Buyassetfor$100,sellfuturesfor$103.Example:
@#@Buyassetfor$100,sellfuturesfor$103.Holduntilexpiration.Sellassetfor$97,closeHolduntilexpiration.Sellassetfor$97,closefuturesat$97.Ordeliverassetandreceive$103.futuresat$97.Ordeliverassetandreceive$103.Make$3forsure.Make$3forsure.uuBasisdefinitionBasisdefinitionFFinitialbasis:
@#@binitialbasis:
@#@b00=S=S00-f-f00FFbasisattimet:
@#@basisattimet:
@#@bbtt=S=Stt-f-fttFFbasisatexpiration:
@#@basisatexpiration:
@#@bbTT=S=STT-ffTT=0=0uuForapositionclosedatt:
@#@Forapositionclosedatt:
@#@FP(shorthedge)=St-ff-(S0-f0)=-b0+btD.M.Chance7AnIntroductiontoDerivativesandRiskManagement,6thed.Hedg
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- 关 键 词:
- 衍生 工具 风险 管理 课件
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