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金融硕士考研资料之金融衍生工具

金融硕士考研资料之金融衍生工具金融衍生工具，又称“金融衍生产品”，是与基础金融产品相对应的一个概念，指建立在基础产品或基础变量之上，其价格随基础金融产品的价格（或数值）变动的派生金融产品。

目前最主要的金融衍生工具有：远期、期货、期权和互换等。

金融衍生产品具有以下几个特点：1、零和博弈：即合约交易的双方（在标准化合约中由于可以交易是不确定的）盈亏完全负相关，并且净损益为零，因此称“零和”.2、高杠杆性：衍生产品的交易采用保证金制度（margin）。

即交易所需的最低资金只需满足基础资产价值的某个百分比。

保证金可以分为初始保证金（Initial margin），维持保证金（maintains margin），并且在交易所交易时采取盯市制度（marking to market），如果交易过程中的保证金比例低于维持保证金比例，那么将收到追加保证金通知（margin call），如果投资者没有及时追加保证金，其将被强行平仓。

可见，衍生品交易具有高风险高收益的特点。

金融衍生产品的作用有规避风险，价格发现，它是对冲资产风险的好方法。

但是，任何事情有好的一面也有坏的一面，风险规避了一定是有人去承担了，衍生产品的高杠杆性就是将巨大的风险转移给了愿意承担的人手中，这类交易者称为投机者（Speculator），而规避风险的一方称为套期保值者（hedger），另外一类交易者被称为套利者（arbitrager）这三类交易者共同维护了金融衍生产品市场上述功能的发挥。

1、远期远期合约是一种交易双方约定在未来的某一确定时间，以确定的价格买卖一定数量的某种金融资产的合约。

合约中要规定交易的标的物、有效期和交割时的执行价格等项内容。

2、期货期货与远期十分相似，买卖双方透过签订标准化合约，同意按指定的时间、价格与其他交易条件，交收指定数量的现货。

期货与远期的区别有：1、标准化程度不同。

远期交易遵循“契约自由”的原则，合约中的相关条件如标的物的质量、数量、交割地点和交割月份都是根据双方的需要确定的。

金融模型与计算课件-Chap1

j 1
d
d 1个参数需确定。
a j x+
1l , s 2
l s
b s x . lx x c ( x1 , x2 )T ,
a j , bls , c 待定。
2 最佳曲线拟合参数确定共有 2 2 1 个。
二次 d 维拟合
P( x) a j x j +
j 1 d 1l , s d
可以证明：若函数 f ( x) 为连续函数， n ，上述求积公式收敛。当函数满足二阶连续可导，则进一步可得误差估计：

b
b
a
f ( x)dx Tn
b a (2) f ( )h 2 . 12
同理利用分段抛物线插值逼近原函数 f ( x) ,可得复合抛物线公式：
a
b a n1 f ( x)dx [ f ( xi）+4f ( xi 1）+f ( xi1）] Sn 6n i 1 2
14
同济大学金融模型与计算
徐承龙
§1.1.4 曲线拟合部分克服了插值不收敛的缺点。例如： f ( x) ax b ，选择最佳 a, b 来拟合函数 f ( x) . 最常用的方法：最小二乘法目标函数：
2 ` I (axi b f ( xi )) wi i 1 n
显然 I I (a, b) ，若 (a* , b* ) arg min I (a, b) 为 f ( x) 的一次最佳拟合。
a
b
分段线性插值，样条插值等）（1） Newton-Cotes 公式
P( x) Ln ( x) yili ( x) a f ( x)dx yi a li ( x)dx,

Fabozzi_金融市场与金融机构基础课后答案12

C H A P T E R12R I S K/R E T U R N A N D A S S E T P R I C I N G M O D E L S PORTFOLIO THEORYPortfolio theory proceeds from the axiom that investors seek to maximize returns given some risk level they are willing to accept. Portfolios that maximize the expected return from an investment subject to a given level of risk are said to be efficient. From among efficient portfolios, the one which risk-averse investors prefer, is said to be an optimal portfolio. To construct an efficient portfolio, it is necessary to understand what is meant by expected return and risk.Investment ReturnThe return on an investment portfolio during a given interval of time is equal to the change in value of the portfolio plus any distributions received from the assets in the portfolio. These returns are expressed as a fraction of the initial portfolio value.R = (V1– V0 + D) / V0where V1 = portfolio value at the end of intervalV0 = portfolio value at the beginning of intervalD = cash distribution during intervalFor purposes of comparison, returns are expressed per unit of time, usually a year. If several years of units are included in the time horizon, then the return can be computed by averaging the return over the several unit intervals. There are three averaging methods in use: (1) the arithmetic average return (simple average of total return divided by number of time units), (2) time-weighted rate of return (also referred to as the geometric average), (3) dollar weighted return. One measure of risk is the extent to which future portfolio values are likely to diverge from the expected value.Portfolio RiskPortfolio risk can be measured in terms of the dispersion of returns about the expected value or mean return. The variance of return is a weighted sum of the squared deviations from the expected return. The standard deviation is the square root of the variance.Expected Portfolio ReturnA particularly useful way to quantify the uncertainty about the portfolio return is to specify the probability associated with each of the possible future returns and calculate the expected value of the portfolio return. The expected value is the weighted average of the possible outcomes, where the weights are the relative chances of occurrence. The expected return on the portfolio isexpressed as:E(R) = P1 R1 + P2 R2 + . . . + P N R NProbability distributions can take various shapes. For a symmetrical distribution, the dispersion of returns on one side of the expected return is the same as the dispersion on the other side of the expected return. The risk of a portfolio is measured by the variance and standard deviation of returns.DiversificationDiversification results from combining securities whose returns are less than perfectly correlated in order to reduce portfolio risk. It smoothes out the variation of returns and reduces the variability. Much of the total risk is diversifiable. But not all risks can be eliminated via diversification. Unsystematic risk (that which relates uniquely to the security or issuing firm) can be substantially reduced with a large, well-diversified portfolio. Still some risks remain which affect all firms to some degree (e.g. business cycles and interest rate changes). This is the market or systematic risk.Mathematically, a security’s return is compos ed of: R =βrm + e where, beta is a market sensitivity index, indicating how sensitive the security return is to changes in the market level. The unsystematic return is independent of the market return and is represented by the epsilon e. The systematic risk of a security is equal to β times the standard deviation of the market return. The unsystematic risk equals the standard deviation of the residual return factor. Portfolio systematic risk is equal to the portfolio beta factor times the risk of the market index. The portfolio beta factor is simply the average of the individual security betas, weighted by the proportion of each security in the portfolio.The Risk of Individual SecuritiesThe systematic risk of an individual security is that portion of its total risk that cannot be eliminated by combining it with other securities in a well diversified portfolio. Thus, we have: Security Return = Systematic Return + Unsystematic ReturnThe security return may be expressed as:R = β R M + ε where ε is unsystematic returnThe security return model is usually written in such a way that the average value of the unsystematic return is zero. This is accomplished by adding a factor alphaαto the model to represent the average value of the unsystematic returns over time.R = α + β R M + ε where ε is unsystematic returnThis model for security returns is referred to as the market model.Estimating BetaBeta can be estimated by regressing returns of a security on the returns of a market portfolio. Since historical data are employed the beta computed will vary with the time period used, number of observations, and market index employed. Thus a question may be raised about the stability of beta over time.THE CAPITAL ASSET PRICING MODELThe capital asset pricing model (CAPM) asserts that the expected return on a portfolio should exceed the risk-less rate of return by an amount that is proportional to the portfolio beta. The relationship between expected return and risk should be linear.Underlying AssumptionsThe model contains several critical assumptions: (1) investors are risk-averse; (2) investors have common time horizon; (3) investors have homogeneous expectations; (4) perfect markets exist, with no transactions costs and borrowing rates are equal to lending rates.Tests of the CAPMOne major difficulty in testing the CAPM is that the model is stated in terms of investor expectations and not in terms of required returns. Yet a number of tests have been tried, the results suggesting that there is indeed a linear risk/return relationship. More noted is Roll’s critique which states while the CAPM is testable in principle, no correct test of the theory has yet been presented. There is only one potentially testable hypothesis, namely that the true market portfolio is mean-variance efficient. Because the true market portfolio must contain all worldwide assets, the value of most of which cannot be observed, the hypothesis is in all probability untestable.THE MULTIFACTOR CAPMThe CAPM assumes the only risk is uncertainty about future market prices. But Robert Merton suggests that there exist extra-market sources of risk of concern to investors as well, such as future income, inflation, future investment opportunities. These risks affect ability to consume goods and to invest in securities in the future. Thus Merton has developed a “multifactor CAPM” to incorporate these extra-market risks in the model. In essence a security’s return has a Beta sensitivity to several factors. What these precise factors are and how many, however, has not been established. Thus this model is even harder to test than the straight CAPM.ARBITRAGE PRICING THEORY MODELDeveloped by Stephen Ross, the arbitrage pricing model (APT) assumes that there are several factors that determine the rate of return on a security, not just one as in the case of the CAPM. Rather, a security’s return is linearly related to “H” factors, but what they are is not specified. It is like the multifactor CAPM but distinguished from it in that it does not require a market index or standard deviation of returns.Empirical EvidenceEmpirical work suggests the following four plausible factors:1. unanticipated changes in industrial production;2. unanticipated changes in the spread between the yield on low grade and high grade bonds;3. unanticipated changes in interest rates and the shape of the yield curve;4. unanticipated changes in inflation.ATTACKS ON THE THEORYPortfolio theory is a normative theory. It describes how investors should behave. However, a number of positive theories have challenged portfolio theory by showing disparities between how investors should behave and how they actually behave.Asset Return Distribution and Risk MeasuresThere is empirical evidence to suggest that the probability distribution of returns is not normal, but is skewed. This means that between periods when the market exhibits relatively modest changes in returns, there will be periods when there are changes that are much higher (i.e., crashes and bubbles) than the normal distribution predicts.Assault by the Behavioral Finance Theory CampBehavioral finance looks at how psychology affects investor decisions and the implications not only for portfolio theory but also asset pricing theory and market efficiency. There are three themes in the behavioral finance literature: (1) investors err in making investment decisions because they rely on rules of thumb, (2) investors are influenced by form as well as substance in making investment decisions, (3) prices in the financial market are affected by errors and decision frames.The first theme involves heuristics, a term meaning a rule of thumb strategy to follow in order to shorten the time it takes to make a decision. There are circumstances where heuristics can workfairly well. But it can also lead to cognitive biases, or heuristic-driven biases.The second theme involves the concept of framing, meaning the way in which a situation or choice is presented to an investor can drive results. For example, investors often fail to treat the value of their stock portfolio at market value. Instead, they have a “mental account” where they continue to market the value of each stock in their portfolio at the purchase price despite the change in the market value.The third them of behavioral finance involves how errors caused by heuristics and framing dependence affect the pricing of assets.ANSWERS TO QUESTIONS FOR CHAPTER 12(Questions are in bold print followed by answers.)1. A friend has asked you to help him figure out a statement he received from his broker. It seems that, at the start of last year, your friend paid $900 for a bond, and sold it at the end of the year for $890. During the year, he received a single coupon payment of $110. The statement claims that his return (not including commissions and taxes) is 11.11% for the year. Is this claim correct?Returns can be measured by taking all the cash flows (interest payments and capital gains) and dividing by the cost of the security. The formula is:R=(I+P1-P0)/P0=$110+$890-$900/$900=11.11%,so the statement is correct.2. Suppose the probability distribution for the one-period return of some asset is as follows:Return Probability0.20 0.100.15 0.200.10 0.300.03 0.25-0.06 0.15a. W hat is this asset’s expected one-period return?b. What is this asset’s variance and standard deviation for the one-period return?a.The expected return for the asset is:(0.20) (0.10) + (0.15) (0.20) + (0.10) (0.30) + (0.03) (0.25) + (-0.06) (0.15) = 7.85%b.The asset’s return variance is:(0.10) [0.20-0.0785]2+(0.20) [0.15-0.0785]2+(0.30) [0.10-0.0785]2+(0.25) [0.03-0.0785]2+(0.15) [(-0.06) -0.0785] 2=0.006102.The square root of the variance is the standard deviation. Hence, the standard deviation is 0.07812.3. “A portfolio’s expected return and variance of return are simply the weighted average of the expected return and variance of the individual assets.” Do you agree with this statement?This statement is only partially correct. A portfolio’s expe cted return is a weighted average of the expected return of the assets comprising the portfolio. But the portfolio variance is not because it also depends on the correlation (covariance) of the asset returns.4. In the January 25, 1991, issue of The Value Line Investment Survey, you note the following:Company Beta (β)IBM 0.95Bally Manufacturing 1.40Cigna Corporation 1.00British Telecom 0.60a.How do you interpret these betas?b.Is it reasonable to assume that the expected return on British Telecom is less thanthat on IBM shares?c.“Given that Cigna Corporation has a β of 1.00, one can mimic the performance ofthe stock market as a whole by buying only these shares.” Do you agree with thisstatement?a.These figures represent the systematic risk of these stocks; how the stock’s return shouldmove relative to a market index return.b.According to the CAPM, the higher the beta, the greater the expected return. So, accordingtot he reported values for beta, the expected return for British Telecom is less than for IBM.c.This statement is not true. Investing in only these shares will still expose the investor to muchunsystematic risk, which can only be diversified away by investing in a portfolio of different securities.5. Assume the following:Expected market return = 15%Risk-free rate = 5.7%If a security’s beta is 1.3, what is its expected return according to the CAPM?The expected return is:.07+1.3 (.15-.07) =.174=17.4%, (assume risk free rate =7%).6. Professor Harry Markowitz, corecipient of the 1990 Nobel Prize in Economics, wrote the following:A portfolio with sixty different railway securities, for example, wouldnot be as well diversified as the same size portfolio with some railroad,some public utility, mining, various sorts of manufacturing, etc.Why is this true?This is true because railway securities are likely to be highly correlated with each other, whereas a well-diversified portfolio of issues from different industries leads to elimination of unsystematic risk.7. Following is an excerpt from an article, “Risk and Reward,” in The Economist of October 20, 1990:Next question: is the CAPM supported by the facts? That iscontroversial, to put it mildly. It is a tribute to Mr. Sharpe [cowinnerof the 1990 Nobel Prize in Economics] that his work, which dates fromthe early 1960s, is still argued over so heatedly. Attention has latelyturned away from beta to more complicated ways of carving up risk.But the significance of CAPM for financial economics would be hardto exaggerate.a.Summarize Roll’s argument on the problems inherent in empirically verifying theCAPM.b.What are some of the other “more complicated ways of carving up risk”?a.Roll argues that while the CAPM is testable in principle, no correct test of the theory has yetbeen presented. He also argues that there is practically no possibility that a correct test will be done because there is only one potentially testable hypothesis associated with the CAPM, namely that the true market portfolio is mean-variance efficient. Since this portfolio must contain all worldwide assets, the value of most of which cannot be observed, the hypothesis is probably untestable.b.CAPM assumes investors are only concerned with one risk -- the future prices of their assets.Merton asserts that there are other investor concerns, such as the ability to consume goods and services in the future. He has tried to incorporate more than one risk factor in his model.8.a.What are the difficulties in practice of applying the arbitrage pricing theory model?b.Does Roll’s criticism also apply to this pricing model?c.“In the CAPM investors should be compensated for accepting systematic risk: forthe APT model, investors are rewarded for accepting both systematic risk andunsystematic risk.” Do you agree with this statement?a.The difficulty lies in identifying the systematic factors.b.Roll’s criticism does not apply to the APT model because that model does not rely on a truemarket index.c.This statement is true for the CAPM, but not for the APT model. The latter also asserts thatinvestors should be compensated only for accepting systematic risk. But unlike the CAPM, there is more than one systematic risk.9.a.What does it mean that a return distribution has a fat tail?b.What is the implication if a return distribution is assumed to be normallydistributed but is in fact a fat-tailed distribution?a.Probability distributions are not normal, but are instead skewed. The tails of the distributionare more likely than predicted by a normal probability distribution.b.The implication is that between periods when the market exhibits relatively modest changesin returns, there will be periods when there are changes that are much higher (i.e., crashes and bubbles) than the normal distribution predicts.10. How does the behavioral finance approach differ from the standard finance theory approach?Standard financial theory assumes investors are rational utility maximizers. Behavioral finance theory challenges this assumption. It argues that investors are systematically subject to cognitive biases and errors. They make decisions based on mental shortcuts, called heuristics, and these shortcuts are not necessarily consistent with rational wealth maximizing behavior as predicted by the standard finance theory.。

金融学chpt02

▪ 道琼斯指数 ▪ 标准普尔股票指数 ▪ 我国上证指数、深圳综合股票指数、沪深300指数
指数化
▪ 指数化是一种锁定特定股市指数的投资收益的投资方法。投资者通过持有指数中所有的证券或在容量庞大的指数中具有代表性的样本，试图复制目标指数的投资结果。按此方式投资的基金称为指数基金。
▪ 指数基金最突出的优点和亮点是费用低廉。基金费用一般由管理费用、交易费用、托管费用、营销费用等构成。由于目标指数一般不会轻易、频繁的改动，所以指数基金的交易也不会频繁，交易成本自然较小，管理费用也就较低，其在国外的管理费率为0．3%左右。
2.6.5 通货膨胀和实际利率
▪ 名义利率（Nominal interest rate）指对借出的每单位货币按承诺可收回的钱。
▪ 实际利率（Real rate of return）对名义利率按货币购买力的变动修正后的利率。
名义利率与实际利率的关系
(1名义利率)(1实际利率)*(1通胀率)
实际利率名义1利率通胀通率胀率
职能1：在时间和空间上转移资源（融通资金）职能2：清算和支付结算（为国际贸易结算提供便利）职能3：管理风险(转移、分担和对冲风险)
银行、保险、衍生金融工具职能4：储备资源和分割股份职能5：提供信息职能6：解决激励问题（金融工具设计、公司治理）
在公司治理问题中，存在着由信息不对称而产生的道德风险、逆向选择和委托——代理问题。
▪ 一个职能健全的金融系统有助于克服这些激励问题。
▪ 如：如果银行要求抵押担保，就可以使借款者谨慎使用贷款
▪
如果采用期权分红，使经理人利益与公司的股票价
格挂钩，就可以使得管理者与股东的利益保持一致。
▪
在贷款时，签订“准权益条件”，可以使放款者和

chapt讲义er6金融

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三、中国中央银行的产生和发展清：1904户部银行----1908大清银行辛亥革命和北洋政府：大清银行—中国银行、交
通银行
孙中山：中央银行
国民政府：中央银行、中国银行、交通银行、中国农民银行
根据地：苏维埃国家银行
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新中国的中央银行：
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2、中央银行制度的普遍推行期 20世纪初-----二战后一战后各国放弃金本位，通胀----1920布鲁塞尔
会议推进了各国中央银行的建立。
3、中央银行制度的强化期二战后----世界形势-----为经济复苏，稳定货币，
以信用政策干预经济。
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由一般货币发行----国家垄断发行转变由代理国库----政府的银行转化由集中保管准备金----银行的银行转化由货币政策的一般运用---综合配套运用转化各国央行加强金融合作
一、现代货币的源头：中央银行产生的经济背景和客观要求
1、中央银行制度产生的经济背景商品经济发展：工业革命经济危机频现银行信用集中
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2、中央银行产生的客观要求政府对银行的控制：货币制度和信用制度统一货币发行：权威银行集中信用：为银行充当最后贷款人票据清算：业务扩大----统一、权威、公正统一金融管理
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中央银行：私人银行----国家银行的性质变化
私人银行：银行券（凭证）--足够的黄金基础（黄金准备）----银行券就是现代货币的雏形。如，人行发行的人民币就是一种特殊的银行券。
实际操作中，黄金准备并不需要100%与发行的银行券对等---背离。风险：集中兑换怎么办？---需要银行提供一种信心----由国家信誉来承担。

Chap1 金融时间序列

To see why rt is called continuously compounded return, A = C the exp(r × n), (1.4) take the exponential of both sides of (1) to give
where r is the interest rate per annum, C is the initial capital, and n is the number of years. From Eq. (1.4),P we have rt m t rt rt
Type Annual Semiannual Quarterly Monthly Weekly Daily Continuously
Number of Payments 1 2 4 12 52 365 ∞
Interest Rate per Period 0.1 0.05 0.025 0.0083 0.1/52 0.1/365
Chapter One
Financial TS and Distributional Properties c WISE
12
• Multi-Period Returns – The two month continuously compounded return is deﬁned as Pt Pt−2
Chapter One
⇐= Rt−1 and Rt are small then Rt−1Rt ≈ 0.
3
Financial TS and Distributional Properties c WISE
– k -month gross return is the product of k one-month gross returns 1 + Rt(k ) = (1 + Rt)(1 + Rt−1) · · · (1 + Rt−k+1)

金融市场与金融机构基础 Fabozzi Chapter02-推荐下载

Foundations of Financial Markets and Institutions, 4e (Fabozzi/Modigliani/Jones)Chapter 2 Financial Institutions, Financial Intermediaries, and Asset Management Firms Multiple Choice Questions1 Financial Institutions1) Financial enterprises, more popularly referred to as financial institutions, provide a variety of services. Which of the below is NOT one of these?A) Transform financial assets acquired through the market and constituting them into a different, and more widely preferable, type of asset–which becomes their liability.B) Exchange financial assets on behalf of customers but not for their own accounts.C) Manage the portfolios of other market participants.D) Assist in the creation of financial assets for their customers, and then sell those financial assets to other market participants.Answer: BComment: Financial enterprises exchange financial assets both on behalf of customers and for their own accounts.Diff: 2Topic: 2.1 Financial InstitutionsObjective: 2.1 the business of financial institutions2) Financial intermediaries include ________that acquire the bulk of their funds by offering their liabilities to the public mostly in the form of deposits; insurance companies, pension funds, and finance companies.A) depository institutionsB) utilitiesC) initial public offeringsD) preferred equity instrument.Answer: ADiff: 1Topic: 2.1 Financial InstitutionsObjective: 2.1 the business of financial institutions3) Some nonfinancial enterprises have subsidiaries that provide financial services. These financial institutions are called ________.A) free finance companies.B) captive finance companies.C) captive investment companies.D) captive finance shares.Answer: BComment: Some nonfinancial enterprises have subsidiaries that provide financial services. For example, many large manufacturing firms have subsidiaries that provide financing for the parent company’s customer. These financial institutions are called captive finance companie s. Examples include General Motors Acceptance Corporation (a subsidiary of General Motors) and General Electric Credit Corporation (a subsidiary of General Electric).Diff: 2Topic: 2.1 Financial InstitutionsObjective: 2.1 the business of financial institutions4) Depository institutions include ________.A) commercial banks.B) savings and loan associations.C) savings banks and credit unions.D) All of theseAnswer: DDiff: 1Topic: 2.1 Financial InstitutionsObjective: 2.1 the business of financial institutions2 Role of Financial Intermediaries1) Financial intermediaries get funds by issuing financial claims against themselves to market participants, and then investing those funds. The investments made by financial intermediaries can be in ________.A) loans but not in securities.B) securities but not in loans.C) loans and/or securities.D) only equity.Answer: CDiff: 1Topic: 2.2 Role of Financial IntermediariesObjective: 2.2 the role of financial intermediaries2) Financial intermediaries play the basic role of transforming financial assets that are less desirable for a large part of the public into other financial assets (their own liabilities) which are more widely preferred by the public. This transformation involves at least one of four economic functions. Which of the below is NOT one of these functions?A) providing maturity intermediationB) enhancing risk via diversificationC) reducing the costs of contracting and information processingD) providing a payments mechanismAnswer: BComment: Financial intermediaries play the basic role of transforming financial assets that are less desirable for a large part of the public into other financial assets (their own liabilities) which are more widely preferred by the public. This transformation involves at least one of four economic functions: (1) providing maturity intermediation, (2) reducing risk via diversification, (3) reducing the costs of contracting and information processing, and (4) providing a payments mechanism.Diff: 2Topic: 2.2 Role of Financial IntermediariesObjective: 2.2 the role of financial intermediaries3) The commercial bank by issuing its own financial claims transforms a longer-term asset into a shorter-term one by giving the borrower a loan for the length of time sought and theinvestor/depositor a financial asset for the desired investment horizon. This function of a financial intermediary is called ________.A) diversification.B) maturity intermediation.C) information processing costs.D) providing payment mechanisms.Answer: BDiff: 2Topic: 2.2 Role of Financial IntermediariesObjective: 2.4 how financial intermediaries transform the maturity of liabilities and give both short-term depositors and longer-term, final borrowers what they want4) The economic function of financial intermediaries that transforms more risky assets into less risky ones is called ________.A) diversification.B) maturity intermediation.C) information processing costs.D) providing payment mechanisms.Answer: ADiff: 1Topic: 2.2 Role of Financial IntermediariesObjective: 2.5 how financial intermediaries offer investors diversification and so reduce the risks of their investments5) The costs of writing loan contracts are referred to as ________.A) asset costs.B) loan costs.C) information processing costs.D) contracting costs.Answer: DComment: The costs of writing loan contracts are referred to as contracting costs. There is also another dimension to contracting costs, the cost of enforcing the terms of the loan agreement. Diff: 2Topic: 2.2 Role of Financial IntermediariesObjective: 2.6 the way financial intermediaries reduce the costs of acquiring information and entering into contracts with final borrowers of funds6) Which of the below statements is FALSE?A) Investors purchasing financial assets should take the time to develop skills necessary to understand how to evaluate an investment and then apply these skills to the analysis of specific financial assets that are candidates for purchase (or subsequent sale).B) Investors who want to make a loan to a consumer or business will need to write the loan contract (or hire an attorney to do so). Although there are some people who enjoy devoting leisure time to this task, most prefer to use that time for just that–leisure.C) In addition to the opportunity cost of the time to process the information about the financial asset and its issuer, there is the cost of acquiring that information. All these costs are called contracting costs.D) One dimension to contracting costs involves the cost of enforcing the terms of the loan agreement.Answer: CComment: In addition to the opportunity cost of the time to process the information about the financial asset and its issuer, there is the cost of acquiring that information. All these costs are called information processing costs.Diff: 3Topic: 2.2 Role of Financial IntermediariesObjective: 2.6 the way financial intermediaries reduce the costs of acquiring information and entering into contracts with final borrowers of funds3 Overview of Asset/Liability Management for Financial Institutions1) To understand the reasons managers of financial institutions invest in particular types of financial assets and the types of investment strategies they use, it is necessary to have a general understanding of the ________ that they face.A) investment/employee problemB) risk management /dividend problemC) shot-term/long-term asset problemD) asset/liability problemAnswer: DDiff: 3Topic: 2.3 Overview of Asset/Liability Management for Financial InstitutionsObjective: 2.8 the nature of the management of assets and liabilities by financial intermediaries 2) The objective of a ________ is to earn a positive spread between the assets it invests in (what it has sold the money for) and the costs of its funds (what it has purchased the money for).A) limited partnershipB) corporationC) life insurance companyD) depository institutionAnswer: DDiff: 2Topic: 2.3 Overview of Asset/Liability Management for Financial InstitutionsObjective: 2.8 the nature of the management of assets and liabilities by financial intermediaries3) Which of the below statements is FALSE?A) The nature of the liabilities dictates the investment strategy a financial institution will pursue.B) The objective of a depository institution is to earn a positive spread between the assets it invests in (what it has sold the money for) and the costs of its funds (what it has purchased the money for).C) Life insurance companies and, to a certain extent, property and casualty insurance companies are in the spread business.D) Pension funds are in the spread business in that they do not raise funds themselves in the market.Answer: DComment: Pension funds are not in the spread business in that they do not raise funds themselves in the market.Diff: 1Topic: 2.3 Overview of Asset/Liability Management for Financial InstitutionsObjective: 2.8 the nature of the management of assets and liabilities by financial intermediaries4) Which of the below statements is TRUE?A) For Type-II Liabilities, both the amount and the timing of the liabilities are known with certaintyB) By the liabilities of a financial institution, we mean the amount and timing of the cash outlays that must be made to satisfy the contractual terms of the obligations issued.C) When we refer to a cash outlay as being uncertain, we mean that it cannot be predicted.D) Type-I Liabilities, the amount of cash outlay is known, but the timing of the cash outlay is uncertain.Answer: BComment: For Type-I Liabilities, both the amount and the timing of the liabilities are known with certainty. Type-II Liabilities, the amount of cash outlay is known, but the timing of the cash outlay is uncertain. When we refer to a cash outlay as being uncertain, we do not mean that it cannot be predicted.Diff: 3Topic: 2.3 Overview of Asset/Liability Management for Financial InstitutionsObjective: 2.9 how different financial institutions have differing degrees of knowledge and certainty about the amount and timing of the cash outlay of their liabilities5) With this type of liability, the timing of the cash outlay is known, but the amount is uncertain.A) Type-I LiabilitiesB) Type-II LiabilitiesC) Type-III LiabilitiesD) Type-IV LiabilitiesAnswer: CDiff: 2Topic: 2.3 Overview of Asset/Liability Management for Financial InstitutionsObjective: 2.9 how different financial institutions have differing degrees of knowledge and certainty about the amount and timing of the cash outlay of their liabilities4 Concerns of Regulators1) ________ is a broadly used term to describe several types of risk.A) Credit riskB) Settlement riskC) Counterparty riskD) Market riskAnswer: ADiff: 2Topic: 2.4 Concerns of RegulatorsObjective: 2.11 concerns regulators have with financial institutions2) ________ is the risk that a counterparty in a trade fails to satisfy its obligation.A) Liquidity riskB) Settlement riskC) Counterparty riskD) Market riskAnswer: CDiff: 2Topic: 2.4 Concerns of RegulatorsObjective: 2.11 concerns regulators have with financial institutions3) Because of uncertainty about the timing and/or the amount of the cash outlays, a financial institution must be prepared ________.A) to have sufficient cash to satisfy its obligations.B) to have sufficient projects to satisfy its capital budget constraints.C) to have sufficient risk to satisfy its obligations.D) to have sufficient risk to satisfy its conservative investors.Answer: ADiff: 1Topic: 2.4 Concerns of RegulatorsObjective: 2.10 why financial institutions have liquidity concerns4) ________ is the risk to a financial institution's economic well-being that results from an adverse movement in the market price of assets it owns.A) Credit riskB) Settlement riskC) Funding liquidity riskD) Market riskAnswer: DDiff: 2Topic: 2.4 Concerns of RegulatorsObjective: 2.5 how financial intermediaries offer investors diversification and so reduce the risks of their investments5) ________ is the risk that the financial institution will be unable to obtain funding to obtain cash flow necessary to satisfy its obligations.A) Funding liquidity riskB) Credit riskC) Settlement riskD) Market riskAnswer: ADiff: 2Topic: 2.4 Concerns of RegulatorsObjective: 2.10 why financial institutions have liquidity concerns5 Asset Management Firms1) Which of the following statements is FALSE?A) Asset management firms manage the funds of individuals, businesses, endowments and foundations, and state and local governments.B) Asset management firms are ranked semi-annually by Pension & Investments with the ranking based on the number of liabilities under management.C) Asset management firms are either affiliated with some financial institution (such as a commercial bank, insurance company, or investment bank) or are independent companies.D) Larger institutional clients seeking the services of an asset management firm typically do not allocate all of their assets to one asset management firm.Answer: BComment: Asset management firms are ranked annually by Pension & Investments with the ranking based on the number of assets under management.Diff: 2Topic: 2.5 Asset Management FirmsObjective: 2.12 the general characteristics of asset management firms2) ________ seeking the services of an asset management firm typically do not allocate all of their assets to one asset management firm firm.A) Smaller institutional clientsB) Larger institutional clientsC) Depository institutionsD) GIC institutionsAnswer: BDiff: 1Topic: 2.5 Asset Management FirmsObjective: 2.12 the general characteristics of asset management firms3) Asset management firms receive their compensation ________ from management fees charged based on the market value of the assets managed for clients.A) primarilyB) secondarilyC) totallyD) to a minor extentAnswer: ADiff: 2Topic: 2.5 Asset Management FirmsObjective: 2.12 the general characteristics of asset management firms4) Which of the below is NOT one of the types of funds managed by asset management firms?A) Deregulated investment companiesB) Insurance company fundsC) Separately managed accounts for individuals and institutional investorsD) Pension and hedge funds.Answer: AComment: Types of funds managed by asset management firms include: regulated investment companies; insurance company funds; separately managed accounts for individuals and institutional investors; pension funds; and hedge funds.Diff: 2Topic: 2.5 Asset Management FirmsObjective: 2.13 the types of funds that asset management firms manage5) There is no universally accepted definition to describe the 9,000 privately pooled investment entities in the United States called ________ that invest more than $1.3 trillion in assets.A) derivative fundsB) option fundsC) hedge fundsD) asset/liability fundsAnswer: CDiff: 2Topic: 2.5 Asset Management FirmsObjective: 2.14 what a hedge fund is and the different types of hedge funds6) The term hedge fund is associated with common characteristics. Which of the below is NOT one of these common characteristics?A) organized as private investment partnerships or offshore investment corporationsB) use a wide variety of trading strategies involving position-taking in a range of marketsC) employ an assortment of trading techniques and instruments, often including short-selling, derivatives and leverageD) pay performance fees to their managers; and have an investor base comprising modest-income individualsAnswer: DComment: Usually, hedge funds: are associated with the following characteristics: organized as private investment partnerships or offshore investment corporations; use a wide variety of trading strategies involving position-taking in a range of markets; employ an assortment of trading techniques and instruments, often including short-selling, derivatives and leverage; pay performance fees to their managers; and have an investor base comprising wealthy individuals and institutions and a relatively high minimum investment limit (set at U.S. $100,000 or higher for most funds).Diff: 2Topic: 2.5 Asset Management FirmsObjective: 2.14 what a hedge fund is and the different types of hedge funds7) There are various ways to categorize the different types of hedge funds. Mark Anson uses the four broad categories. Which of the below is NOT one of these?A) divergence buyingB) market directionalC) corporate restructuringD) opportunisticAnswer: AComment: There are various ways to categorize the different types of hedge funds. Mark Anson uses the following four broad categories: market directional, corporate restructuring, convergence trading, and opportunistic.Diff: 2Topic: 2.5 Asset Management FirmsObjective: 2.13 the types of funds that asset management firms manageTrue/False Questions1 Financial Institutions1) Business entities include nonfinancial and financial enterprises. Nonfinancial enterprises manufacture products (e.g., cars, steel, computers) and/or provide nonfinancial services (e.g., transportation, utilities, computer programming).Answer: TRUEDiff: 1Topic: 2.1 Financial InstitutionsObjective: 2.1 the business of financial institutions2) A financial institution that provides an underwriting service will only on occasion also providea brokerage and/or dealer service.Answer: FALSEComment: A financial institution that provides an underwriting service will also typically provide a brokerage and/or dealer service.Diff: 1Topic: 2.1 Financial InstitutionsObjective: 2.1 the business of financial institutions3) Many large manufacturing firms have subsidiaries that provide financing for the parent company's customer. These financial institutions are called captive finance companies. Answer: TRUEDiff: 1Topic: 2.1 Financial InstitutionsObjective: 2.1 the business of financial institutions2 Role of Financial Intermediaries1) People who work for financial intermediaries (such as a commercial bank and an investment company) include investment professionals who are trained to analyze financial assets and manage them.Answer: TRUEDiff: 2Topic: 2.2 Role of Financial IntermediariesObjective: 2.2 the role of financial intermediaries2) Most transactions made today are done with cash more so than payments mechanisms that use checks, credit cards, debit cards, and electronic transfers of funds.Answer: FALSEComment: Most transactions made today are not done with cash. Instead, payments are made using checks, credit cards, debit cards, and electronic transfers of funds. These methods for making payments, called payment mechanisms, are provided by certain financial intermediaries.Diff: 1Topic: 2.2 Role of Financial IntermediariesObjective: 2.2 the role of financial intermediaries3) Many large manufacturing firms have subsidiaries that provide financing for the parent company's customer. These financial institutions are called free investment companies. Answer: FALSEComment: Many large manufacturing firms have subsidiaries that provide financing for the parent company’’s customer. These financial institutions are called captive finance companies. Diff: 1Topic: 2.2 Role of Financial IntermediariesObjective: 2.1 the business of financial institutions3 Overview of Asset/Liability Management for Financial Institutions1) In addition to uncertainty about the timing and amount of the cash outlays, and the potential for the depositor or policyholder to withdraw cash early or borrow against a policy, a financial institution has to be concerned with possible reduction in cash inflows.Answer: TRUEDiff: 1Topic: 2.3 Overview of Asset/Liability Management for Financial InstitutionsObjective: 2.9 how different financial institutions have differing degrees of knowledge and certainty about the amount and timing of the cash outlay of their liabilities2) Very few regulations and tax considerations influence the investment policies that financial institutions pursue.Answer: FALSEComment: Numerous regulations and tax considerations influence the investment policies that financial institutions pursue.Diff: 1Topic: 2.3 Overview of Asset/Liability Management for Financial InstitutionsObjective: 2.1 the business of financial institutions3) For Type-IV Liabilities, both the amount and the timing of the liabilities are known with certainty.Answer: FALSEComment: For Type-I Liabilities, both the amount and the timing of the liabilities are known with certainty.Diff: 1Topic: 2.3 Overview of Asset/Liability Management for Financial InstitutionsObjective: 2.8 the nature of the management of assets and liabilities by financial intermediaries 4) In regards to Type-IV Liabilities, there are numerous insurance products and pension obligations that present uncertainty as to both the amount and the timing of the cash outlay. Answer: TRUEDiff: 1Topic: 2.3 Overview of Asset/Liability Management for Financial InstitutionsObjective: 2.8 the nature of the management of assets and liabilities by financial intermediaries 4 Concerns of Regulators1) Funding liquidity risk is the risk that the financial institution will be unable to obtain funding to obtain cash flow necessary to satisfy its obligations.Answer: TRUEDiff: 1Topic: 2.4 Concerns of RegulatorsObjective: 2.11 concerns regulators have with financial institutions2) Liquidity risk is the risk that a counterparty in a trade fails to satisfy its obligation. Answer: FALSEComment: Counterparty risk is the risk that a counterparty in a trade fails to satisfy its obligation.Diff: 1Topic: 2.4 Concerns of RegulatorsObjective: 2.11 concerns regulators have with financial institutions3) An important risk that is often overlooked but has been the cause of the demise of some major financial institutions is value-at risk.Answer: FALSEComment: An important risk that is often overlooked but has been the cause of the demise of some major financial institutions is operational risk.NOTE. Market risk is the risk to a financial institution’s economic well-being that results from an adverse movement in the market price of assets (debt obligations, equities, commodities, currencies) it owns or the level or the volatility of market prices. There are measuresthat can be used to gauge this risk. One such measure endorsed by bank regulators is value-at-risk, a measure of the potential loss in a financial institution’s financial position associatedwith an adverse price movement of a given probability over a specified time horizon.Diff: 2Topic: 2.4 Concerns of RegulatorsObjective: 2.11 concerns regulators have with financial institutions4) Liquidity risk in the context of settlement risk means that the counterparty can eventually meet its obligation, but not at the due date.Answer: TRUEDiff: 2Topic: 2.4 Concerns of RegulatorsObjective: 2.10 why financial institutions have liquidity concerns5 Asset Management Firms1) A market directional hedge fund is one in which the asset manager retains some exposure to "systematic risk."Answer: TRUEDiff: 1Topic: 2.5 Asset Management FirmsObjective: 2.14 what a hedge fund is and the different types of hedge funds2) A convergence trading hedge fund is one in which the asset manager positions the portfolio to capitalize on the anticipated impact of a significant corporate event.Answer: FALSEComment: A corporate restructuring hedge fund is one in which the asset manager positions the portfolio to capitalize on the anticipated impact of a significant corporate event.Diff: 1Topic: 2.5 Asset Management FirmsObjective: 2.14 what a hedge fund is and the different types of hedge funds3) Risk-arbitrage hedge funds have the broadest mandate of all of the four hedge fund categories. Answer: FALSEComment: Opportunistic hedge funds have the broadest mandate of all of the four hedge fund categories.Diff: 1Topic: 2.5 Asset Management FirmsObjective: 2.14 what a hedge fund is and the different types of hedge funds4) Hedge funds use a wide range of trading strategies and techniques in an attempt to earn superior returns.Answer: TRUEDiff: 1Topic: 2.5 Asset Management FirmsObjective: 2.14 what a hedge fund is and the different types of hedge fundsEssay Questions1 Financial Institutions1) Describe three of the services that can be provided by financial enterprises.Answer: Financial enterprises, more popularly referred to as financial institutions, provide services related to one or more of the following: 1. Transforming financial assets acquired through the market and constituting them into a different, and more widely preferable, type of asset–which becomes their liability. This is the function performed by financial intermediaries, the most important type of financial institution. 2. Exchanging of financial assets on behalf of customers. 3. Exchanging of financial assets for their own accounts. 4. Assisting in the creation of financial assets for their customers, and then selling those financial assets to other market participants. 5. Providing investment advice to other market participants. 6. Managing the portfolios of other market participants.Diff: 3Topic: 2.1 Financial InstitutionsObjective: 2.1 the business of financial institutions2 Role of Financial Intermediaries1) Describe the difference between direct and indirect investments. Cite an example of how an investor in a financial intermediaries makes an indirect investment in an actual entity or company.Answer: Financial intermediaries obtain funds by issuing financial claims against themselves to market participants, and then investing those funds. The investments made by financial intermediaries–their assets–can be in loans and/or securities. These investments are referred to as direct investments. Market participants who hold the financial claims issued by financial intermediaries are said to have made indirect investments.As a first example, consider commercial banks that accept deposits and may use the proceeds to lend funds to consumers and businesses. The deposits represent the IOU of the commercial bank and a financial asset owned by the depositor. The loan represents an IOU of the borrowing entity and a financial asset of the commercial bank. The commercial bank has made a direct investment in the borrowing entity; the depositor (or investor) effectively has made an indirect investment in that borrowing entity.As a second example, consider an investment company, which is a financial intermediary that pools the funds of market participants and uses those funds to buy a portfolio of securities such as stocks and bonds. Investment companies are more commonly referred to as "mutual funds." Investors providing funds to the investment company receive an equity claim that entitles the investor to a pro rata share of the outcome of the portfolio. The equity claim is issued by the investment company. The portfolio of financial assets acquired by the investment company represents a direct investment that it has made. By owning an equity claim against the investment company, those who invest in the investment company have made an indirect investment in stocks and bonds of actual companies.Diff: 3Topic: 2.2 Role of Financial IntermediariesObjective: 2.3 the difference between direct and indirect investments。

P2P金融

P2P金融P2P金融又叫P2P借贷。

其中，P2P是peer-to-peer 或person-to-person 的简写，意思是：个人对个人。

P2P Loan官方中文翻译为人人贷目录1定义2起源3发展4国内发展5积极意义1定义P2P金融指个人与个人间的小额借贷交易，一般需要借助电子商务专业网络平台帮助借贷双方确立借贷关系并完成相关交易手续。

借款者可自行发布借款信息，包括金额、利息、还款方式和时间，实现自助式借款;借出者根据借款人发布的信息，自行决定借出金额，实现自助式借贷。

2起源2006年度诺贝尔和平奖得主尤努斯博士认为现代经济理论在解释和解决贫困方面存在缺陷，为此他于1983年创建了格莱珉银行，通过开展无抵押的小额信贷业务和一系列的金融创新机制，不仅创造了利润，而且还使成千上万的穷人尤其是妇女摆脱了贫困，使扶贫者与被扶贫者达到双赢。

格莱珉银行目前已成为100多个国家的效仿对象和盈利兼顾公益的标杆。

创办以来，格莱珉的小额贷款已经帮助了630万名借款人(间接影响到3150万人)，其中超过一半脱贫。

而且格莱珉银行自1983年创办以来，除了创办当年及1991年至1992年两个水灾特别严重的年头外，一直保持赢利，2005年的赢利达1521万美元。

同时，格莱珉银行不仅提供小额贷款，而且也鼓励小额存款，并通过格莱珉银行将这些存款发放给其他需要贷款的人。

这一模式就是最初的P2P金融雏形。

目前主要分为两种模式，基于电子商务的网络P2P金融和传统线下的P2P金融。

3发展2005年11月，美国prosper将这一思想进一步提炼和创新，创办了prosper 网络小额贷款平台，让资金富余者通过prosper向需要借款的人提供贷款，并收取一定利息。

从2006年2月上线到2009年1月29日，经由prosper的借贷金额共计约合12.5亿人民币，超过3个月的逾期还款率仅为2.83%。

2010年4月16日，美国prosper宣布已完成了1470万美元的第四轮融资。

一节国际货币金融的基础知识ppt课件

(其中 )：直接投资证券投资其它投资
3. 储备资产变动净误差和遗漏
贷方 2344.3 1947.2 237.8 105.7 53.7 917.5 0 917.5
410.1 18.1 489.3
借方 2187.7 1585.1 312.9 285.4 4.2 841.1 0.3 840.9
或某几种外币的汇率的办法，又称钉住汇率制，即与钉住对象货币保持固定汇率，对其它货币则与对象货币一齐浮动。
浮动汇率制 ——官方不规定汇率，汇率水平主要由市场供求
关系自发决定。自由浮动 —— 中央银行不仅不规定官方汇率，而且不对汇市采取任何干预措施。管理浮动 —— 中央银行对外汇市场进行一定程度的干预，通过参与购入和出售外汇影响汇率，试图使一定时期内汇价在有限程度内波动。
E AB
PA PB
PA、PB——A、B两国同种商品的价格
EAB——A、B两国货币的汇率
汇率变动对经济的影响
本币升值的影响：
假定其他条件不变，本币升值，以外币表示的本国出口产品的价格将上升，以本币表示的进口外国产品的价格将下降，从而导致本国出口数量减少和进口数量增加；外国居民到本国旅游、留学等的费用上涨而本国居民到外国旅游、留学等费用下跌，从而使外国居民到本国旅游、留学等减少而本国居民到外国旅游、留学等增加；外国企业或居民到本国投资的成本上升而本国企业或居民到外国投资的成本下降，从而使资本输入减少而资本输出增加。
本币贬值的影响：
汇率大战缘何硝烟再起
二、国际收支
国际收支[Balance of Payments] ——一国居民在一定时期内与非居民之间所

罗斯《公司金融》第十版课件Chap002

Matching principle – GAAP says to show revenue when it accrues and match the expenses required to generate the revenue.
2-14
US Corporation Income Statement – Table 2.2
NWC $ 400 $ 600 LTD $ 500 $ 500
ห้องสมุดไป่ตู้NFA
700 1,000 SE
600 1,100
1,100 1,600
1,100 1,600
2-12
Chapter Outline
• The Balance Sheet • The Income Statement • Taxes • Cash Flow
Each major industry has different tax incentives provided by the US Government and as such, may actually pay a different average tax rate:
2-24
Chapter Outline
2-15
Work the Web Example
Publicly traded companies must file regular reports with the Securities and Exchange Commission
These reports are usually filed electronically and can be searched at the SEC public site called EDGAR

chap金融机构商业银行PPT课件

Chap 5
Financial intermediaries I: Commercial Banking industry
金融机构：商业银行
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西方国家金融机构体系构成
中央银行P154-162 商业银行专业银行
开发银行投资银行进出口银行储蓄银行农业银行住房信贷银行
FUNCTIONS OF COMMERCIAL BANKING SYSTEM
信息中介商业银行利用其处理信息问题的优势解决信息不对称导致的逆向选择和道德风
险；
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信息不对称(Information Asymmetry)：交易双方对交易对象的掌握情况不对等。
FUNCTIONS OF COMMERCIAL BANKING SYSTEM
信用中介（融资中介）
• 信用中介是最基本、也是最能反映其经营活动特征的职能；
• 通过负债业务集聚社会闲置资金，通过资产业务将资金投放给需要的客户，引导资金从盈余单位流向赤字单位；
• 时态转换（借短贷长）和规模转换（集聚小额资金，发放大额贷款）
•信息不对称会带来交易前的逆向选择和交易后的道德风险问题。
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逆向选择（Adverse Selection）：那些最可能造成逆向（不利）结果的人，往往是那些寻找贷款最积极，最可能获得贷款的人（交易发生前产生）。 • 思考
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应用：对逆向选择和道德风险的影响的经济分析