衍生工具与风险管理 Don M. Chance 01

Chapter1:IntroductionThespeedofmoneyisfasterthanit’severbeen.LoleenDoerrerTime,April11,1994,p.33D.M.ChanceCh.1:1AnIntroductiontoDerivativesandRiskManagement,6thed.ImportantConceptsinChapter1DifferenttypesofderivativesRiskpreferences,risk-returntradeoff,andmarketefficiencyTheoreticalfairvalueArbitrage,storage,anddeliveryTheroleofderivativemarketsCriticismsofderivativesD.M.Chance2AnIntroductiontoDerivativesandRiskManagement,6thed.Businessriskvs.financialriskDerivativesAderivativeisafinancialinstrumentwhosereturnisderivedfromthereturnonanotherinstrument.Sizeofthederivativesmarketatyear-end2001$111trillionnotionalprincipal$3.8trillionmarketvalueRealvs.financialassetsD.M.Chance3AnIntroductiontoDerivativesandRiskManagement,6thed.DerivativeMarketsandInstrumentsOptionsDefinition:acontractbetweentwopartiesthatgivesoneparty,thebuyer,therighttobuyorsellsomethingfromortotheotherparty,theseller,atalaterdateatapriceagreedupontodayOptionterminologyprice/premiumcall/putexchange-listedvs.over-the-counteroptionsD.M.Chance4AnIntroductiontoDerivativesandRiskManagement,6thed.ForwardContractsDefinition:acontractbetweentwopartiesforonepartytobuysomethingfromtheotheratalaterdateatapriceagreedupontodayExclusivelyover-the-counterDerivativeMarketsandInstruments(continued)D.M.Chance5AnIntroductiontoDerivativesandRiskManagement,6thed.FuturesContractsDefinition:acontractbetweentwopartiesforonepartytobuysomethingfromtheotheratalaterdateatapriceagreedupontoday;subjecttoadailysettlementofgainsandlossesandguaranteedagainsttheriskthateitherpartymightdefaultExclusivelytradedonafuturesexchangeDerivativeMarketsandInstruments(continued)D.M.Chance6AnIntroductiontoDerivativesandRiskManagement,6thed.OptionsonFutures(alsoknownascommodityoptionsorfuturesoptions)Definition:acontractbetweentwopartiesgivingonepartytherighttobuyorsellafuturescontractfromtheotheratalaterdateatapriceagreedupontodayExclusivelytradedonafuturesexchangeDerivativeMarketsandInstruments(continued)D.M.Chance7AnIntroductiontoDerivativesandRiskManagement,6thed.SwapsandOtherDerivativesDefinitionofaswap:acontractinwhichtwopartiesagreetoexchangeaseriesofcashflowsExclusivelyover-the-counterOthertypesofderivativesincludeswaptionsandhybrids.Theircreationisaprocesscalledfinancialengineering.TheUnderlyingAssetCalledtheunderlyingAderivativederivesitsvaluefromtheunderlying.DerivativeMarketsandInstruments(continued)D.M.Chance8AnIntroductiontoDerivativesandRiskManagement,6thed.SomeImportantConceptsinFinancialandDerivativeMarketsRiskPreferenceRiskaversionvs.riskneutralityRiskpremiumShortSellingReturnandRiskRiskdefinedTheRisk-Returntradeoff(seeFigure1.1,p.7)D.M.Chance9AnIntroductiontoDerivativesandRiskManagement,6thed.MarketEfficiencyandTheoreticalFairValueDefinitionofanefficientmarketTheconceptoftheoreticalfairvalueSomeImportantConceptsinFinancialandDerivativeMarkets(continued)D.M.Chance10AnIntroductiontoDerivativesandRiskManagement,6thed.FundamentalLinkagesBetweenSpotandDerivativeMarketsArbitrageandtheLawofOnePriceArbitragedefinedExample:SeeFigure1.2,p.10TheconceptofstatesoftheworldTheLawofOnePriceTheStorageMechanism:SpreadingConsumptionacrossTimeDeliveryandSettlementD.M.Chance11AnIntroductiontoDerivativesandRiskManagement,6thed.TheRoleofDerivativeMarketsRiskManagementHedgingvs.speculationSettingrisktoanacceptablelevelPriceDiscoveryOperationalAdvantagesTransactioncostsLiquidityEaseofshortsellingMarketefficiencyD.M.Chance12AnIntroductiontoDerivativesandRiskManagement,6thed.CriticismsofDerivativeMarketsSpeculationComparisontogamblingD.M.Chance13AnIntroductiontoDerivativesandRiskManagement,6thed.MisusesofDerivativesHighleverageInappropriateuseD.M.Chance14AnIntroductiontoDerivativesandRiskManagement,6thed.DerivativesandYourCareerFinancialmanagementinabusinessSmallbusinessesownershipInvestmentmanagementPublicserviceSummarySourceofInformationonDerivatives

D.M.Chance15AnIntroduction