后金融危机时代下的量化金融之路

1,后金融危机时代下的量化金融之路程兵中国科学院数学与系统科学研究院2011年9月22日,2,目录,1.金融工程在此次金融危机中扮演的角色2.一些成功的案例3.人民币国际化之路,3,1.金融工程在此次金融危机中扮演的角色,教训1:过度资产证券化,4,信用衍生产品,Source:BBA,单名,指数,波动率,相关性,5,各类资产证券化产品,ABCDSABCPABSABSCDOAlt-AAutoABSArbitrageCDOBalanceSheetCDOCBOCDO/CDO2,OASPACPSAREMICRMBSSPV/SPESyntheticCDOTACTBAWAC,CDSCLNCLOCMBSCMCDSCMOCopulaCPRCSOFHLMC,FNMAGNMAGSEIO/POHELABSHybridCDOJumboLIBORMBSNTD,6,资产证券化市场,该市场在2008年6月达到峰值:,7,教训2:不可逆转的信用风险,为什么资产证券化的产品在危机期间成为如此有毒的资产？原始的信用风险通过证券化和信用衍生产品成为不可逆转的信用风险。,8,教训3:过度杠杆化,此次金融危机的导火索和起点：2007年7月24日星期二，贝尔斯登旗下投资CDO次级债的两个对冲基金出现巨额亏损。这两个基金都投资于大量的次级债。一方面，那些证券很难再有价值，因为市场已经不再具有流动性，另一方面两家基金都结局不妙一家倒闭，一家价值下降了90%贝尔斯登在这两档基金的投资不过4000万美元，从公司外部筹集的资金则超过了5亿美元。利用财务杠杆，两档基金举债90亿美元，并控制了超过200亿美元的投资，大多为次级抵押贷款支持债券构成的CDO头寸。该对冲基金的杠杆比例=(200+90)/(5+0.4)=54.(市场2%的不利运动将损失股东equity价值)贝尔斯登的杠杆比例=(200+90)/0.4=725,9,教训4:庞大的隐性银行体系,众多对冲基金和非银行机构成为“隐性的银行”，但却不受任何监管，而这些对冲基金的盈利模式与银行类似。资金来源：通过在货币市场发行短期票据来融资（不是公众存款）资金运用：投资于各类CDO、CDS债券（不是贷款）盈利模式：两条收益曲线之间的利差流动性风险和利率风险管理：借短贷长、缺口管理、久期管理对冲基金的融资成本率：美元30天商业票据收益率。,10,教训5:模型风险(modelrisk),11,However,bycomparingnegativerolesplayedbyeconomists,regulatorsandpoliticians,greedyofinvestmentbankers,financialengineersonlyplayroleoftool.Atoolcanbeusednegativelyorpositively.Inthefollowing,Iwillsomepositiveexamples.,12,2.一些成功的案例,Alphaandbetainvestments:Alphainvestment:Pulson,BuffetandSoros:marketisincompleteandbiased.Bottom-upandtop-downmethodologies;Betainvestment:indexinvestmentandETFinvestment,13,Beta-productsarecheap:Itcanbemechanicallymanufacturedsuchasindextrackers,ETFs.Forexample,theBGIiSharesseries.Usinganindex-duplicatedtechniqueoraquantitativetracking-errorminimizationmodelwillbeabletocreatebetaproducts.Investmentresourceusedwithinafinancialinstituteisminimalanddistributioncostisalsosmalleriftrackingawell-knownindexsuchasaMSCIindex,FTSEindexorChinaindex.Feeislowtopurchasebetaproductssuchas20bpsmanagementfeeand10bpscustodianfee;Liquidityishigh;Itsmarketriskissystemicriskandindependentofmanagersrisk;,14,BetaRiskPurchase,Options,Futures,IndexFunds,Swaps,ETFs,Betaexposurecanbeindependentlymanagedandmonitoredatlowcosts,15,指数期货投资是趋势投资(momentuminvestment),指数投资面临最重要的问题就是组合估值(portfoliovaluation)问题，即象买一只股票一样你买的指数是高估还是低估，如果市场是有效，按照投资组合理论，该指数是被“公平”定价的，且处于有效前沿上面，没有一个人能够获得比这只指数更高的收益。但当市场不是有效时，就会出现问题，假定当前我们有3只股票，它的流通市值是一样的，换句话，这3只股票在指数中所占的权重均是1/3。并且它们的“公平”定价均是10元钱，假定一段时间后，市场出现错误的定价:,16,这时指数投资权重变为：第一只：1/3=15/30=1/2第二只：1/3=1/3第三只：1/3=5/30=1/6换句话，指数投资会给过份高估(over-pricing)的股票太多不合理的权重，而给已经被低估(under-pricing)的股票太小的权重，综合起来，指数的估值被错误地估为：(1/2-1/3)50%+(1/6-1/3)(-50%)=17.7%在这种情形下，要战胜这只指数并不难，只要采用一定程度控制估值的增强被动的方法就可以获得一个正的超额收益，采用一定程度的增强被动方法来获得一个alpha收益。,17,Alphaproductsactiveequityportfolios,FastGrowers,Cyclical,SlowGrowers,Contrarians,Goodcompaniesv.s.Goodstocks,18,Ingeneralalphaisanetzero-sumgame.,AlphaisaNetZero-SumGame,Losers,Winners,Average,FuturesETFs,Investorsasagroupmustfallshortofthemarketreturnbytheamountofthecoststheyincur(2%),19,ImportingAlpha,SelectamanagerAlpha=ManagersReturn-Bmk1,Return=Bmk2+ManagerAlpha-Cost,ShortBenchmark1andLongmanagerandBenchmark2,20,Example1:AbsoluteReturnApproach,AlphaofLargeCapAllocation,BetaxReturnshortA300Futures,ReturnofTheLarge-CapStocks,=,+,Alphaisisolatedfrombetasource,21,ReturnLargeCapAllocation,ReturnA300Futures,AlphaofSmallCapManager,ReturnSmallCapManager,BetaxReturnShortA300Futures,=,+,+,Alphaisportedfromalessefficientmarkettoamoreefficientone,Example2:PortSmallCapAlphatoLargeCap(institutionalinvestorspreferlarge-capstocks),22,ChinaLargeCapAllocation,ChinaA300IndexFutures,AlphaofUSManager,ReturnUSManager,ReturnShortSCapitalaccountcontrolRMBCross-bordertradeOffshoreCNYmarketCNHmarketandothermarkets,31,OnshoreRMBMarket,32,OffshoreCNYMarketCNHmarket,CNH(CNYinHK)spotmarket,33,OffshoreCNYMarketCNH,34,OffshoreCNYMarketCNH,LiquidityinthemarketCNHSpotturnover:AroundUSD500mioperday(onshoreCNYmarket:USD2-3bio).CNHforwardturnover:AroundUSD200mioperdayCNHFXoptionturnover:AroundUSD20mioperdayCNHIRS(upto5years):AroundCNH250mioperday,35,OffshoreCNYMarketCNH,MarketPlayersMajorplayers:BankofChina(HK)BNPParibasHangSengBankCitibankDeutscheBankDBSHSBCStandardCharteredMinorPlayers:ChinaMerchantsBankTheBankofCommunicationsWingLungBankOCBCNanyangCommercialBank,36,OffshoreCNYMarketCNH,CNHDepositAccordingtoHKMAsfindings,outstandingCNHDenominatedbondis76.54bioasof8Mar2011.AsofJanuary2011,CNHdepositsincreasedbyRMB55.70bio,or17.7%M/M,toRMB370.64biofromRMB314.94biothepriormonth.Ifthispaceissustained(i.e.risingbyRMB60bn/month),CNHdepositswouldbeexpectedtoexceedRMB1tribyendof2011.Buteventhen,therewouldstillbeplentyofpotentialforgrowth:thesizeofHongKongeconomysuggestsaCNHdepositbaseintheregionofRMB2.5triasHKDfadesawayandiseventuallyreplacedbyCNH.,37,SincetheintroductionoftheCNYcross-bordertradesettlementschemeinJun10,CNYdepositsinHongKonghaveincreasedfour-fold.Morethanhalfofthisincreasecanbeattributedtotradesettlement.TherestwasmadeupofmainlandtouristspendingandthenewlyapprovedCNYoutwarddirectinvestment(ODI)trialscheme.,ThedemandforCNYisstronginHongKong.Ifthecurrenttrendscontinue,CNYdepositsinHKwillaccountfor15%oftotaldepositsbyDec2011and23%,38,2.RoadmapofCNYinternationalization,39,MainsourceofCNHcomesfromRMBcross-bordertrade:,MainsourceofCNHcomesfromRMBcross-bordertrade:,40,Oneofkeyenginefor