《衍生品与风险管理教学课件PPT Introduction.ppt》由会员分享，可在线阅读，更多相关《衍生品与风险管理教学课件PPT Introduction.ppt（40页珍藏版）》请在三一文库上搜索。
1、An Introduction to Derivatives & Risk Management,School of Economics and Management Fu, Lei,Bibliographies,Textbook Don M. Chance, An Introduction to Derivatives & Risk Management, 6ed. 高等教育出版社 Other references John C. Hull, Options, Futures, and Other Derivatives 金融工程，郑振龙、陈蓉主编 期权市场运作，约瑟夫.A.沃克,Chapt
2、er 1 Introduction,Ref. Don.M.Chance, Chapter 1 Learning objectives To provide brief introductions to the different types of derivatives: options, forward contracts, futures contracts, options on futures, and swaps To reacquaint you with the concepts of risk preference, short selling, the risk-return
3、 relationship, and market efficiency To define the important concept of theoretical fair value, which will be used throughout the book To explain the relationship between spot and derivative markets through the mechanisms of arbitrage, storage, and delivery To identify the role that derivative marke
4、ts play through their four main advantages To address some criticisms of derivatives,1. Concepts,Business risks & Financial risks Business risks（经营风险） are related to the underlying nature of the business and deal with such matters as the uncertainty of future sales or the cost of inputs. Financial r
5、isks（金融风险） deals with the uncertainty of such factors as interest rates, eachange rates, stock prices, and commodity prices.,Derivatives（衍生品） Derivatives are financial instruments whose returns are derived from those of other financial instruments. That is, their performance depends on how other fin
6、ancial instruments perform. Derivatives serve a valuable purpose in providing a means of managing financial risk. By using derivatives, companies and individuals can transfer, for a price, any undesired risk to other parties who either have risks that offset or want to assume that risk. Underlying a
7、ssets（标的物） The derivative derives its value from the performance of underlying assets. It can be stock, bond, currency, or commodity, all of which are assets. But it might also be some other random element such as the wheter, which is not asset. It might even be another derivative, such as futures c
8、ontract.,Real assets & Financial assets Real assets（实物资产） are physical assets and include agricultural commodities, metals, and sources of energy. Financial assets（金融资产）are stocks, bonds/loans, and currencies. Derivatives can be based on real assets or financial assets.,2. Derivative markets and ins
9、truments,Cash markets or Spot markets（现货市场） Usually in the markets, purchases and sales require that the underlying good or security be delivered either immediately or shortly thereafter. The sale is made, the payment is remitted, and the good or security is delivered.,Derivative markets（衍生交易市场） The
10、 good or security is to be delivered at a later date. Or some types of arrangements let the buyer or seller choose whether or not to go through with the sale. Derivative markets are markets for contractual instruments whose performance is determined by how another instrument or asset performs. Like
11、all contracts, they are agreements between two parties a buyer and a seller in which each party does something for the other. These contracts have a price, and buyers try to buy as cheaply as possible while sellers try to sell as dearly as possible.,3. Options（期权）,An option is a contract between two
12、 parties a buyer and a seller that gives the buyer the right, but not the obligation, to purchase or sell sometihng at a later date at a price agreed upon today. The option buyer pays the seller a sum of money called the price or premium（期权价格或期权金）. The option seller stands ready to sell or buy accor
13、ding to the contract terms if and when the buyer so desires. Underlying assets: goods, stocks, bonds, futures contracts, metals, foreign currencies, etc.,Two types of option Call option （买入期权或者看涨期权） An option to buy something Put option （卖出期权或者看跌期权） An option to sell something Where to trade? Over-t
14、he-counter (OTC) （场外市场） The first type of options market Privately conducted between two parties Very large and widely used, mostly by corporations and financial institutions Organized markets We will focuse on this market.,Many other types of financial arrangements, such as lines of credit, loan gu
15、aranties, and insurance, are forms of options. Moreover, stock itself is equivalent to an option on the firms assets.,4. Forward contracts（远期）,It is a contract between two parties a buyer and a seller to purchase or sell something at a later date at a price agreed upon today. It sounds a lot like an
16、 option, but an option carries the right, not the obligation, to go through with the transaction. If the price of the underlying good changes, the option holder may decide to forgo buying or selling at the fixed price. While the two parties in a forward contract incur the obligation to ultimately bu
17、y and sell the good.,Forward markets have no physical facilities for trading; there is no building or formal corporate body organized as the market. Unlike option markets. They trade strictly in an OTC market or direct communications among major financial institutions. Underlying assets: foregin exc
18、hange, stock index, oil, etc.,5. Futures contracts（期货合约）,A futures contract is also a contract between two parties a buyer and a seller to buy or sell something at a future date at a price agreed upon today. The contract trades on a future exchange and is subject to a daily settlement procedure. Fut
19、ures prices fluctuate from day to day, and contract buyers and sellers attempt to profit from these price changes and to lower the risk of transacting in the underlying goods.,Futures VS. Forward,Futures contracts evolved out of forward contracts and possess many of the same characteristics. They ar
20、e like liquid forward contracts. Unlike forward contracts, futures contracts trade on organized exchanges, called futures markets. For example, the buyer of a futures contract, who has the obligation to buy the good at the later date, can sell the contract in the futures market, which relieves him o
21、r her of the obligation to purchase the good. Likewise, the seller of the futures contract, who is obligated to sell the good at the later date, can buy the contrat back in the futures market, relieving him or her of the obligation to sell the good. Futures contracts also differ from forward contrac
22、ts in that they are subject to a daily settlement procedure（每日结算程序）. In the daily settlement, investors who incure losses pay them every day to investors who make profits.,6. Options on Futures or Futures Options （期货期权）,Options on futures are an important synthesis of futures and options markets. An
23、 option on a futures contract gives the buyer the right to buy or sell a futures contract at a later date at a price agreed upon today. It trades on futures exchanges. It is quite similar to options on spot assets, there are a few important differences.,7. Swaps and other derivatives,A swap（互换） is a
24、 contract in which two parties agree to exchange cash flows. Hybrids（混合金融产品）combine the elements of several other types of contracts. Financial engineering（金融工程）is the process of creating new financial products. It represents change and innovation for risk management.,8. Some important concepts in f
25、inancial and derivative markets,Risk preference Most individuals are characterized by risk aversion, which requires risk premium. In the world of derivative markets, we can actually pretend that most people are risk neutral. Risk neutral means that investors are indifferent to risk, they require no
26、compensation for risk and the expected return on all securities is the risk-free interest rate. The same results can be obtained in a world of risk aversion as in a world of risk neutrality.,Short selling（卖空） Selling short or shorting involves selling an asset that is not owned by the seller but bor
27、rowed from a broker. The short seller creates a liability and is obligated to someday buyback the asset and return it to the broker. The seller is doing so in the anticipation of the price falling.,Return and risk Return is the numerical measure of investment performance. It represents the percentag
28、e increase in the investors wealth that results from making the investment. Risk is the uncertainty of future returns. Investors desire to obtain the highest return possible and to avoid risk as much as possible. Risk-return trade off relationship（风险收益衡量） Higher return is always accompanied by great
29、er risk, which results in the positive relationship between risk and return. So investors need to balance between risk and return in the financial markets.,9. Market efficiency and theoretical fair value,Market efficiency（市场有效性）is the characteristic of a market in which the prices of the instruments
30、 trading therein reflect their true economic values to investors. In an efficient market, prices fluctuate randomly and investors cannot consistently earn returns above those that would compensate them for the level of risk they assume. Market efficiency is such a natural consequence of rational and
31、 knowledgeable investor behavior in markets in which information spreads rapidly and inexpensively.,Theoretical fair value（理论公允价值）is the true economic value of the asset. There are many models that give the theoretical fair values of assets, such as CAPM or APT. These models and their respective val
32、ues are correct only if the market is efficient. Derivatives also have theoretical fair values.,10. Fundamental linkages between spot and derivative markets,The prices of the derivatives are related to those of the underlying spot market instruments through several important mechanisms.,Arbitrage（套利
33、） and the Law of One Price（一价定律）,Arbitrage is a type of transaction in which an investor seeks to profit when the same good sells for two different prices. The arbitrageur buys the good at the lower price and immediately sells it at the higher price. When real differences exist between identical goo
34、ds, the prices will differ. For example, a computer from a mail-order discount house VS a computer at a local computer store,However sometimes real differences dont exist between identical goods, the prices still differ. For example, consider 2 states of the world,State 1 S1=100 Currently S2=50 S1=8
35、5 S2=41 State 2 S1=80 S2=40,How to arbitrage？,The law of one price requires that equivalent combinations of financial instruments must have a single price. Here the combination of two units of S2 must have the same price as one unit of S1. Markets ruled by the Law of One Price have the following cha
36、racteristics. Investors always prefer more wealth to less. Given two investment opportunities, investors will always prefer one tha performs at least as well as the other in all states and better in at least one state. If two investment opportunities offer equivalent outcomes, they must have equival
37、ent prices. An investment opportunity that produces the same return in all states is risk-free and must earn the risk-free rate.,In an efficient market, violations of the Law of One Price should never occur. But occasionally prices get out of line, perhaps through momentary oversight. Arbitrage is t
38、he mechanism that keeps prices in line.,The storage mechanism（持仓机制）: spreading consumption across time（跨期延展消费）,Storage is an important linkage between spot and derivative markets. What is storage? (P9) Storage is a form of investment in which one defers selling the item today in anticipation of sell
39、ing it at a later date. While storage entails risk because prices constantly fluctuate. Derivatives can be used to reduce that risk by providing a means of establishing today the items future sale price. In this case, the overall investment should offer the risk-free rate.,Delivery（交割） and Settlemen
40、t（结算）,At expiration, a forward or futures contract calls for either immediate delivery of the item or a cash payment of the same value. Thus, an expiring forward or futures contract is equivalent to a spot transaction. The price of the expiring contract must equal the spot price.,11. The role of der
41、ivative markets,Risk management Derivative prices are related to the prices of the underlying spot market goods, so they can be used to reduce or increase the risk of owning the spot items.,How ? By apply HEDGE strategy. The market characteristic provide necessary condition to realize risk managemen
42、t. In the market, investors have different risk preferences. Some are more tolerant of risk than others. Derivative markets enable those wishing to reduce their risk to transfer it to those wishing to increase it, whom we call speculators. The market is so effective at reallocating risk among invest
43、ors, no one need assume an uncomfortable level of risk. Consequently, investors are willing to supply more funds to the financial markets. It benefits the economy, because it enables more firms to raise capital and keeps the cost of that capital as low as possible. In a transaction, there need to be
44、 a buyer and a seller. Hedger Hedger Hedger Speculator,Price discovery Forward and futures markets are an important source of information about prices. Future markets are a primary means for determining the spot price of an asset. Spot market is large and fragmented. Gold, oil, etc. trade at differe
45、nt places and times. Each asset has many varieties and quality grades. Too many potential candidates for the spot price. The futures market assembles that information into a type of consensus. The price of the futures contract that expires the earliest is often treated as the spot price.,Futures and
46、 forward prices also contain information about what people expect future spot prices to be. Spot prices contain this same information but is harder to extract from the spot market. Future market is more active and hence the information is more reliable than spot market information. Options markets d
47、o not directly provide forecasts of future spot prices. However they provide valuable information abou the volatility and the risk of the underlying spot asset.,Operational advantages They entail lower transaction costs. So the commissions and other trading costs are lower for traders in these marke
48、ts. So it is easy and attractive to use these markets. Derivative markets have greater liquidity than spot markets. Spot markets are quite liquid for the securities of major companies, but they cannot always absorb some of the large dollar transactions without substantial price changes. While one ca
49、n obtain the same levels of expected return and risk by using derivative markts, which can more easily accommodate high-volume trades. It is partly due to the smaller amount of capital required for participation in derivative markets.,Derivative markets allow investors to sell short more easily. Securities markets impose several restrictions designed to limit or discourage short selling that are not applied to derivative transactions. Market efficiency The ease and low cost of transacting in the derivative markets facilitate the arbitra