衍生品市场基础04章.ppt

Chapter4 IntroductiontoRiskManagement Copyright 2009PearsonPrenticeHall Allrightsreserved 4 2 BasicRiskManagement FirmsconvertinputsintogoodsandservicesoutputinputcommodityproducerbuyerAfirmisprofitableifthecostofwhatitproducesexceedsthecostofitsinputsAfirmthatactivelyusesderivativesandothertechniquestoalteritsriskandprotectitsprofitabilityisengaginginriskmanagement Copyright 2009PearsonPrenticeHall Allrightsreserved 4 3 TheProducer sPerspective AproducersellingariskycommodityhasaninherentlongpositioninthiscommodityWhenthepriceofthecommodity thefirm sprofit assumingcostsarefixed SomestrategiestohedgeprofitSellingforwardBuyingputsBuyingcollars Copyright 2009PearsonPrenticeHall Allrightsreserved 4 4 Producer HedgingWithaForwardContract AshortforwardcontractallowsaproducertolockinapriceforhisoutputExample agold miningfirmentersintoashortforwardcontract agreeingtosellgoldatapriceof 420 oz in1year FIGURE4 1Producerprofitin1year assuminghedgingwithashortforwardcontractataforwardpriceof 420 oz Copyright 2009PearsonPrenticeHall Allrightsreserved 4 5 Producer HedgingWithaPutOption Buyingaputoptionallowsaproducertohavehigherprofitsathighoutputprices whileprovidingaflooronthepriceExample agold miningfirmpurchasesa20 strikeputatthepremiumof 8 77 oz Figure4 2Comparisonofunhedgedposition 420 strikeputoption andunhedgedpositionplus420 strikeput Copyright 2009PearsonPrenticeHall Allrightsreserved 4 6 Producer InsuringbySellingaCall Awrittencallreduceslossesthroughapremium butlimitspossibleprofitsbyprovidingacaponthepriceExample agold miningfirmsellsa420 strikecallandreceivesan 8 77premium Figure4 4ComparisonofGolddiggershedgingwithsaleof420 strikecallversusunhedged Copyright 2009PearsonPrenticeHall Allrightsreserved 4 7 AdjustingtheAmountofInsurance Insuranceisnotfree infact itisexpensiveThereareseveralwaystoreducethecostofinsuranceForexample inthecaseofhedgingagainstapricedeclinebypurchasingaputoption onecanReducetheinsuredamountbyloweringthestrikepriceoftheputoption ThispermitssomeadditionallossesSellsomeofthegain Thisputsacaponthepotentialgain Copyright 2009PearsonPrenticeHall Allrightsreserved 4 8 TheBuyer sPerspective AbuyerthatfacespriceriskonaninputhasaninherentshortpositioninthiscommodityWhenthepriceoftheinput thefirm sprofit SomestrategiestohedgeprofitBuyingforwardBuyingcallsSellingcollars Copyright 2009PearsonPrenticeHall Allrightsreserved 4 9 Buyer HedgingWithaForwardContract AlongforwardcontractallowsabuyertolockinapriceforhisinputExample afirm whichusesgoldasaninput purchasesaforwardcontract agreeingtobuygoldatapriceof 420 oz in1year Figure4 6Profitdiagramsforunhedgedbuyer longforward andbuyerhedgedwithlongforward Copyright 2009PearsonPrenticeHall Allrightsreserved 4 10 Buyer HedgingWithaCallOption Buyingacalloptionallowsabuyertohavehigherprofitsatlowinputprices whilebeingprotectedagainsthighpricesExample afirm whichusesgoldasaninput purchasesa420 strikecallatthepremiumof 8 77 oz Figure4 7Comparisonofprofitforunhedgedgoldbuyer goldbuyerhedgedwithcall andstand alonecall Copyright 2009PearsonPrenticeHall Allrightsreserved 4 11 WhyDoFirmsManageRisk HedgingcanbeoptimalforafirmwhenanextradollarofincomereceivedintimesofhighprofitsisworthlessthananextradollarofincomereceivedintimesoflowprofitsProfitsforsuchafirmareconcave sothathedging i e reducinguncertainty canincreaseexpectedcashflowConcaveprofitscanarisefromTaxesBankruptcyanddistresscostsCostlyexternalfinancingPreservationofdebtcapacityManagerialriskaversion Copyright 2009PearsonPrenticeHall Allrightsreserved 4 12 Aspectsofthetaxcode alossisoffsetagainstaprofitfromadifferentyearseparatetaxationofcapitalandordinaryincomecapitalgainstaxationdifferentialtaxationacrosscountries ReasonstoHedge Taxes Derivativescanbeusedto equatepresentvaluesoftheeffectiveratesappliedtolossesandprofitsconvertoneformofincometoanotherdefertaxationofcapitalgainsincomeshiftincomefromonecountrytoanother Copyright 2009PearsonPrenticeHall Allrightsreserved 4 13 ReasonstoHedge BankruptcyandDistressCosts AlargelosscanthreatenthesurvivalofafirmAfirmmaybeunabletomeetfixedobligations suchas debtpaymentsandwages CustomersmaybelesswillingtopurchasegoodsofafirmindistressHedgingallowsafirmtoreducetheprobabilityofbankruptcyorfinancialdistress Copyright 2009PearsonPrenticeHall Allrightsreserved 4 14 ReasonstoHedge CostlyExternalFinancing RaisingfundsexternallycanbecostlyThereareexplicitcosts suchas bankandunderwritingfees ThereareimplicitcostsduetoasymmetricinformationCostlyexternalfinancingcanleadafirmtoforegoinvestmentprojectsitwouldhavetakenhadcashbeenavailabletouseforfinancingHedgingcansafeguardcashreservesandreducetheprobabilityofraisingfundsexternally Copyright 2009PearsonPrenticeHall Allrightsreserved 4 15 ReasonstoHedge IncreaseDebtCapacity TheamountthatafirmcanborrowisitsdebtcapacityWhenraisingfunds afirmmaypreferdebttoequitybecauseinterestexpenseistax deductibleHowever lendersmaybeunwillingtolendtoafirmwithahighlevelofdebtduetoahigherprobabilityofbankruptcyHedgingallowsafirmtocrediblyreducetheriskinessofitscashflows andthusincreaseitsdebtcapacity Copyright 2009PearsonPrenticeHall Allrightsreserved 4 16 ReasonstoHedge ManagerialRiskAversion Firmmanagersaretypicallynotwell diversifiedSalary bonus andcompensationaretiedtotheperformanceofthefirmPoordiversificationmakesmanagersrisk averse i e theyareharmedbyadollaroflossmorethantheyarehelpedbyadollarofgainManagershaveincentivestoreduceuncertaintythroughhedging Copyright 2009PearsonPrenticeHall Allrightsreserved 4 17 NonfinancialRiskManagement Riskmanagementisnotasimplematterofhedgingornothedgingusingfinancialderivatives butratheraseriesofdecisionsthatstartwhenthebusinessisfirstconceivedSomenonfinancialrisk managementdecisionsareEnteringaparticularlineofbusinessChoosingageographicallocationforaplantDecidingbetweenleasingandbuyingequipment Copyright 2009PearsonPrenticeHall Allrightsreserved 4 18 ReasonsNottoHedge ReasonswhyfirmsmayelectnottohedgeTransactioncostsofdealinginderivatives suchas commissionsandthebid askspread TherequirementforcostlyexpertiseTheneedtomonitorandcontrolthehedgingprocessComplicationsfromtaxandaccountingconsiderationsPotentialcollateralrequirements Copyright 2009PearsonPrenticeHall Allrightsreserved 4 19 EmpiricalEvidenceonHedging HalfofnonfinancialfirmsreportusingderivativesAmongfirmsthatdousederivatives lessthan25 ofperceivedriskishedged withfirmslikeliertohedgeshort termriskFirmswithmoreinvestmentopportunitiesaremorelikeliertohedgeFirmsthatusederivativeshaveahighermarketvalueandmoreleverage Copyright 2009PearsonPrenticeHall Allrightsreserved 4 20 BasisRisk Basisrisk ThepossibilityofunexpectedchangesinthedifferencebetweenthepriceofanassetandthepriceofthecontracthedgingtheassetBasisriskisagenericproblemwithcommoditiesbecauseofstorageandtransportationcostsandqualitydifferences Basisriskcanalsoarisewithfinancialfutures as forexample whenacompanyhedgesitsownborrowingcostwiththeEurodollarcontract Chapter4 AdditionalArt Copyright 2009PearsonPrenticeHall Allrightsreserved 4 22 Table4 1Golddiggers estimatednetincome1yearfromtoday unhedged Copyright 2009PearsonPrenticeHall Allrightsreserved 4 23 Table4 2Golddiggers netincome1yearfromtoday hedgedwithaforwardsaleofgold Copyright 2009PearsonPrenticeHall Allrightsreserved 4 24 Table4 3Golddiggers netincome1yearfromtoday hedgedwitha420 strikeputoption Copyright 2009PearsonPrenticeHall Allrightsreserved 4 25 Table4 4Auricestimatednetincome unhedged 1yearfromtoday Copyright 2009PearsonPrenticeHall Allrightsreserved 4 26 Figure4 3ComparisonofpayoffsforGolddiggershedgedwithaforwardcontractandhedgedwithaputoption Copyright 2009PearsonPrenticeHall Allrightsreserved 4 27 Figure4 5ComparisonofprofitforGolddiggersusingthreedifferentputstrikes Copyright 2009PearsonPrenticeHall Allrightsreserved 4 28 Table4 5Auricnetincome1yearfromtoday hedgedwith420 strikecalloption Copyright 2009PearsonPrenticeHall Allrightsreserved 4 29 Table4 6Callandputpremiumsforgoldoptions Copyright 2009PearsonPrenticeHall Allrightsreserved 4 30 Figure4 8Netprofitatexpirati