Financial_Derivatives_Outline_2011

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新编金融英语教程 Chapter11 Financial Derivatives

reveal the risks of financial derivatives.
11.2 Key Points
11.2.1 Definition of Financial Derivatives
In finance, derivatives are contracts between two parties that specify conditions (especially the dates, resulting values and definitions of the underlying variables, the parties’ contractual obligations, and the notional amount) under which payments are to be made between the parties.
• resource allocation • reverse market • spot price • spot transaction • standard metal contract • strike price • subject matter • synthetic collateralized debt obligations • underlying asset U.S. Treasury 美国财政部 unit of account计量单位
11.2 Key Points
11.2.2 Types of Financial Derivatives
11.2 Key Points
11.2.2 Types of Financial Derivatives
A forward is the contract between the two sides promised

金融衍生工具英文ppt

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2.OPTIONS
• A contract which gives the buyer (the owner) the right, but not the obligation, to buy or sell an underlying asset or instrument at a specified strike price on or before a specified date.
Risks of Derivatives
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• 1.The biggest risk is that it's nearly impossible to know the true value of any derivative. That's because it's based on the value of another underlying asset, which can also be difficult to price.
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• Initial price of forward contracts is set to zero. • At the maturity
– Long position is worth ST -K – Short position is worth K –ST
S S
Long position
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the history of financial derivatives
• 3.1934-USA. Investment act legitimises options, 300,000 contracts were in circulation by 1968. • 4.April,1973.-Chicago. The CBOT starts trading listed call options with a first day volum of 911 contracts been done. • 5.1974.-Chicago. The daily volum of options grows from 20,000 to over 200,000 contracts.

大连理工大学智慧树知到“金融学”《金融风险管理》网课测试题答案1

大连理工大学智慧树知到“金融学”《金融风险管理》网课测试题答案（图片大小可自由调整）第1卷一.综合考核(共15题)1.政府债券因其信誉好、利率优、风险小而被称为“金边债券”。

()A.正确B.错误2.风险投资组合的方差是()。

A.证券方差的加权值B.证券方差的总和C.证券方差和协方差的加权值D.证券协方差的加权值3.下列关于期货合约，说法正确的有()。

A.期货合约是标准化的远期合约B.期货交易采用每日清算制C.期货合约的买卖双方都要开立一个保证金账户D.期货合约最常见的形式是利率互换和货币互换E.期货合约的损益在每天交易结束时就表现出来4.如果()，持有多头头寸的长期国债投资者会获利。

A.利率下降B.利率上升C.中期国债价格下降D.中期国债价格上升5.衍生工具可以被作为一种投机工具使用，商业中通常使用它们来()。

A.吸引消费者B.安抚股东C.抵消债务D.对冲风险6.基金管理公司进行风险管理与控制的基础是()。

A.良好的内部控制制度B.依法合规经营C.设定风险管理目标D.使用风险控制模型7.现金流量折现法下，折现率表示投资者要求的最低收益率或股权资本成本，风险越大，折现率越高。

()A.正确B.错误8.面值债券的票面利率是8%，剩余年限是6年，久期是()。

A.5年B.5.4年C.4.17年D.4.31年9.一项互换合同可以看作一系列远期合约的组合。

()A.正确B.错误10.利率风险对资产价值的影响的衡量指标包括()。

A.汇率B.久期C.凸度D.交割金额E.到期日11.通常一个期权的时间价值在它平价时最小，而向有价期权和无价期权转化时其时间价值逐步递增。

()A.正确B.错误12.我国设立商业银行的注册资本最低限额为1亿元人民币。

()A.正确B.错误13.金融风险按层次可分为微观金融风险和宏观金融风险。

()A.正确B.错误14.融资租赁一般包括租赁和()两个合同。

A.出租B.谈判C.转租D.购货15.风险投资组合A的预期收益率是0.15，标准差是0.15，可以画一条无差异曲线，下列哪项投资组合可以画出一条相同的无差异曲线?()A.E(r)=0.15; 标准差=0.20B.E(r)=0.15; 标准差=0.10C.E(r)=0.10; 标准差=0.10D.E(r)=0.20; 标准差=0.15第2卷一.综合考核(共15题)1.相关系数越高，表明越有可能降低风险。

Financial Derivatives (11)

Chapter 11: Forward and Futures Hedging, Spread, and Target Strategies
The beauty of finance and speculation was that they could be different things to different men. To some: poetry or high drama; to others, physics, scientific and immutable; to still others, politics or philosophy. And to still others, war. Michael M. Thomas Hanover Place, 1990, p. 37
Why Hedge? (continued)

Reasons not to hedge Hedging can give a misleading impression of the amount of risk reduced Hedging eliminates the opportunity to take advantage of favorable market conditions There is no such thing as a hedge. Any hedge is an act of taking a position that an adverse market movement will occur. This, itself, is a form of speculation.
Hedging Concepts (continued)

The Basis Basis = spot price - futures price. Hedging and the Basis P (short hedge) = ST - S0 (from spot market) - (fT - f0) (from futures market) P (long hedge) = -ST + S0 (from spot market) + (fT - f0) (from futures market) If hedge is closed prior to expiration, P (short hedge) = St - S0 - (ft - f0) If hedge is held to expiration, St = ST = fT = ft.

2021~2022 CFA二级笔记6-derivatives(金融衍生品)-期权二叉树模型

CFA二级笔记6-derivatives（金融衍生品）-期权二叉树模型binomial option valuation model 期权二叉树估值模型一、期权二叉树估值模型的构建和组成（一）二叉树的样子如下：（二）每根“树枝”节点上是标的资产价格，除了初始价格，后续价格需要预测（三）后续价格预测需要两个东西：波动比例和波动概率上涨比例和下跌比例乘积为1，根据model 1 公式推导上涨和下跌概率记忆法：U-D/U-D,如果求πU，则将分子的U 替换成（1+rf）^T；如果求πD，则将分析的D替换成（1+rf）^T二、one-period binomial model（一阶段二叉树模型）注意，折现的时候用复利引申：【put-call parity 公式】fiduciary call ：准备好钱（假设未来行权）X折现到0时刻+看涨期权费protective put：准备好货（未来行权的股票）S+看跌期权费通过这个公式计算出来的答案和二叉树模型计算出来的结果一样三、关于hedge ratio（delta的雏形）---risk-neutral probability【risk neutral 构建 no arbitrage free对冲组合】long call + short stock 配比：由于call上涨1元，stock 上涨2元所以配比为 call为2份时，stock为1股配比又叫对冲比例，即hedge ratio【关于配比hedge ratio】hedge ratio 又称delta 期权份数：股票份数=hedgeratio=1:delta delta小于1 由于期权价格波动比股票价格小，所以期权份数肯定是大于股票份数的四、arbitrage opportunity involving option（期权套利机会）当市场价格（这里的价格是期权的价格）＞计算的价格，说明期权价格被高估了，卖出期权，并买入H份股票当市场价格＜计算的价格，说明期权价格被低估，买入期权，并卖出H份股票原理：【构建 arbitrage portfolio —call 价格被低估】call 价格被低低估（买低卖高）1. 买一份市场价格的call（根据对应的真实的市场价格）2.卖一份理论价格（计算价格）的call（由于价格是算出来的，市场上并不存在这个价格的call，实际是卖不了），上节课讲到hedge ratio，即买一份call=买H份stock，这里的H就是hedge ratio 卖一份理论价格的call 可以替换为“卖H份stock”（stock是市场存在的，且有对应市场价格）【arbitrage portfolio —call 价格被高估】1.卖一份真实的call2.买一份理论的call，等同于“买H份stock”【arbitrage portfolio —put 价格被低估】1.买一份真实的put2.卖一份理论的put，等同于买H份stock 【arbitrage portfolio—put 价格被高估】1.卖一份真实的put2.买一份理论的put，等同于“卖H份stock”五、two-period binomial model（二阶段二叉树模型）（一）欧式期权错题坑点：求上涨概率时，T=1而不是2，5%就是一年的年化利率答案：求put 价格时有两种方法：1、正儿八经根据二叉树模型来算2、已知call 价格，根据call-putparity 来算（二）美式期权【关于美式期权的基本知识】1、理论上来讲，股票不分红，不会提前行权，“好死不如赖活着”，不分红没必要持有股票，到期再行权持有2、股票分红的看涨期权，会行权，这样可以获得分红；看跌期权深度实值（股价几乎跌到0），会行权美式期权和欧式期权的不同点：注意：1、这里的美式期权是有前提条件的（即可能会行权的美式期权，如果是不分红的股票看涨期权可能不会行权）2、注意第一个节点，也是有可能行权的（主要看题目给的条件，如果题目说在第二个时间节点可能会行权，那就只算第二个时间节点的行权价值和从后往前算的价值进行对比）3、注意这里所谓的美式期权，是指在对应节点可行权，但实际中在到期时间前任一时间节点都可以行权，但这样会算死人，后面就会引入BSM模型4、美式期权价值一般是大于欧式期权的，因为美式期权赋予了期间随时行权的权利，所以价值更大，那么价格也更贵六、interest rate option（利率期权）1、上涨和下跌概率是相等的2、折现的利率不同拓展【为什么没有三叉树模型？】二叉树假设未来有两个价格那么三叉树就是未来有三个价格1.未来是多变的，价格可能不是两个价格内，也不是三个价格内2.既然都无法确定，选择一条相对简单的路不好么？3.为了更贴合实务，可以将时间t缩短，趋近于0的时候就差不多是BSM模型了（二叉树模型是离散模型，BSM是连续模型）【概率的分类】1.主观概率（猜）2.根据历史数据推算的概率3.风险中性下的概率（根据无风险特定公式计算出，在这个概率下能赚到无风险利率的收益）。

2021~2022 CFA二级笔记19-财报-金融机构分析

CFA二级笔记19-财报-金融机构分析本章框架银行和保险公司分析是重点【错题笔记】错题1反思：underwriting expense 比率提升了，并不能反应其保费收入能力提高了...错题2反思：对于金融机构来说，高质量的收入是利息收入，而材料体现的是交易收入（这部分不稳定），越低越好。

错题3反思：对单词意思不理解...A项，应是更保守（more conservative），因为坏账损失loss 多计B项，trail指的是滞后于···举一个例子，如下，小盘股就是滞后于大盘股的涨跌根据材料得知，坏账损失并没有滞后于收回金额Ｃ项，cushion，指的是保护垫，这里可以理解为储备金对坏账损失的保护度，根据计算是逐渐下降的【学习笔记】一、characteristic of financial institutions二、analyzing a bankcapital adequacy：通俗来讲，即保命钱的充足性CET1（一级资本）：权益科目（为保证going concern的钱）other tier 1 capital：优先股（可股可债，之所以可以定义为债，因为有着共同的特点：无投票权、固定分红（相当于固定利息）、优先偿还）CET2（二级资本）：债权科目（如果银行跨了怎么办，gone concern，动用债权资金偿还储户）注意：针对 not impaired 资产进行allowance（资产备抵账户，减值）LCR：流动资产覆盖率分母是压力测试下一个月内银行要流出的现金流分子是高流动性资产最少要大于100%NSFR：净稳定资产率分子是可用的稳定资产分母是一年内需要的稳定资产（比如要做什么投资）最小也是100%三、analyzing a insurance company。

Unit 7 Financial Derivatives

Unit7 Financial DerivativesFinancial EngineeringChapter 23 Financial Engineering背景介绍20世纪70年代初布雷顿森林体系瓦解后，浮动汇率以及波动日益加强的市场利率使得许多金融市场的参与者望而生畏。

风险曾一度限制了金融市场的发展；但在它的召唤下产生的金融创新和衍生工具却又在一个更高的层次上刺激了金融市场的发展。

这种发展是深刻的、有革命性意义的。

正在这种大发展的背景下，人们创造出了更加科学的管理风险的办法——这就是人们所说的金融工程。

中国的金融体制改革起步很晚，金融机构与企业对金融市场介入程度很浅，没有介入也就没有风险，这在一定程度上限制了金融工程在中国的发展。

但是在锐意改革和进取的中国经济中，企业和金融组织对国际金融市场的介入将不断深入。

而随着介入的加深必将产生巨大的金融风险，所以对于金融工程的研究已迫在眉睫。

One of the most important uses of financial derivatives is risk management. Some types of risk are simple to manage with financial derivatives, but others require custom solutions. Financial engineering generally refers to the creation of custom solutions to complex risk management problems. The financial engineer might use a combination of futures, options, and swaps, to tailor a solution to a specific risk management problem.金融工程One of the most important uses of financial derivatives is risk management.金融衍生品最重要的作用之一就是风险管理。

金融计量经济学Financial Econometrics

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第3讲资本资产定价模型的检验
市场组合与切点组合
再次回顾CAPM的两个重要假设
所有投资者具有同样的信息，以相同的方式分析和加工信息，并且对证券的期望收益和标准差看法一致，即具有同质期望；所有投资者可按相同的无风险利率借入或贷出资金。
© School of Management and Economics, 2011
回顾
CAPM的间接检验基于这样的逻辑：如果CAPM 成立，则各证券的期望收益率与其β线性正相关。
但不幸的是，即使我们检验证实了期望收益率与 β之间存在显著的线性正相关，也并不意味着 CAPM成立。
原命题并不等价于逆命题！
© School of Management and Economics, 2011
α表示截距项的估计向量（N 1 ），不同的是，Wald统计量可以 var( it )为扰动向的方差矩阵。同时检验多个线性约束！
© School of Management and Economics, 2011
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第3讲资本资产定价模型的检验
实证研究设计
2 m 但是， J 0 T 1 2 α 1 α 中的随机扰动项方差矩阵是 m -1
© School of Management and Economics, 2011
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第3讲资本资产定价模型的检验
实证结果分析
实证检验结果及分析
-1.26E-06 -3.57E-07 1.51E-05 -1.26E-06 2.70E-05 1.33E-05 1 ( i i ) -3.57E-07 1.33E-05 0.000118 484 -1.89E-06 -2.46E-06 6.38E-06 -0.000209 -1 0.000105 2 m α ,则 J 0 T 1 2 α 1 α 2.029532 -0.000116 m -0.00 021 2

金融衍生产品设计和风险管理

金融衍生产品设计和风险管理IntroductionThe design and management of financial derivative products have been of significant importance in the financial industry, given the role they play in managing risks. The use of financial derivatives has grown rapidly in recent years, and this has led to the development of various financial products and strategies. This article explores the design and risk management of financial derivative products.Overview of Financial DerivativesDerivatives are financial instruments whose value is derived from an underlying asset, index, or reference rate. Financial derivatives include options, futures, forwards, swaps, and other complex structured products. They are used to manage various risks, such as price, interest rate, currency, commodity, and credit risks.The design of financial derivatives involves the following steps:1. Identification of the underlying asset or indexThe underlying asset can be a stock, bond, commodity, currency, or any other financial asset. The index can be a stock index, commodity index, interest rate index, or other type of index.2. Determination of the contract specificationsThis includes the size of the contract, the expiration date, the settlement method, and other terms and conditions.3. Pricing of the derivativeThe pricing of the derivative depends on various factors, such as the market price of the underlying asset, the expected volatility, and the time to expiration.Risk Management of Financial DerivativesFinancial derivative products have unique risk characteristics, and their management requires specialized expertise and resources. The main risks associated with financial derivatives are market risk, credit risk, liquidity risk, and operational risk.1. Market RiskMarket risk is the risk of loss arising from adverse movements in the market, such as changes in interest rates, exchange rates, commodity prices, and stock prices. The value of a financial derivative depends on the value of the underlying asset, so any changes in the value of the underlying asset will affect the value of the derivative. To manage market risk, financial institutions use various risk management techniques, such as hedging, diversification, and stress testing.2. Credit RiskCredit risk is the risk of loss arising from the inability of the counterparty to honor its contractual obligations. Financial derivativesinvolve counterparty risk, as they are traded over-the-counter (OTC) rather than on an exchange. To manage credit risk, financial institutions use various risk management techniques, such as credit limit monitoring, collateral requirements, and credit default swaps.3. Liquidity RiskLiquidity risk is the risk of loss arising from the inability to buy or sell a financial instrument at the desired price and time. Financial derivatives can be illiquid, especially during periods of market stress. To manage liquidity risk, financial institutions use various risk management techniques, such as stress testing, contingency planning, and diversification.4. Operational RiskOperational risk is the risk of loss arising from inadequate or failed internal processes, systems, or human error. Financial derivative transactions involve complex systems, processes, and documentation, and hence operational risk is a significant concern for financial institutions. To manage operational risk, financial institutions use various risk management techniques, such as process improvement, standardization, and automation.ConclusionFinancial derivatives are valuable instruments for managing financial risks, but they also pose significant risks. The design and management of financial derivative products require specializedexpertise and resources to mitigate these risks effectively. By understanding the unique characteristics and risk management techniques of financial derivatives, financial institutions can use these instruments to achieve their objectives while minimizing the negative consequences of risk.。

金融期货》7

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第二节期权交易的基本原理
一、什么是期权
期权（Options）是一种选择权，期权的买方向卖方支付一定数额的权利金后，就获得这种权利，期权交易实际上是一种权利的有偿使用。即拥有在一定时间内以一定的价格（执行价格）出售或购买一定数量的标的物（实物商品、证券或期货合约）的权利。期权的买方行使权利时、卖方必须按期权合约规定的内容履行义务，买方也可以放弃行使权利，此时买方只是损失权利金，卖方则赚取权利金。
可以根据每个使用者的不同需求设计出不同内容的产品。同时，为了满足客户的具体要求、出售衍生产品的金融机构需要有高超的金融技术和风险管理能力。场外交易不断产生金融创新,但是，由于每个交易的清算是由交易双方相互负责进行的，交易参与者仅限于信用程度高的客户。掉期交易和远期交易是具有代表性的柜台交易的衍生产品。
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掉期合约是一种交易双方签订在未来某一时期相互交换某种资产的合约。更为准确地说，掉期合约是当事人之间签订的在未来某一期间内相互交换他们认为具有相等经济价值的现金流（Cash Flow）的合约。较为常见的是利率掉期合约和货币掉期合约。掉期合约中规定的交换货币若是同种货币，则为利率掉期；若是异种货币，则为货币掉期。
期权交易是合约买卖权利的交易。期权合约规定了在某一特定时间、以某一特定价格买卖某一特定种类、数量、质量原生资产的权利。期权合同有在交易所上市的标准化合同，也有在柜台交易的非标准化合同。
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（2）根据原生资产大致可以分为四类。即股票、利率、汇率和商品。如果再加以细分，股票类中又包括具体的
2.看跌期权(Put Options)。是指期权的买者向卖者支付一定数额的权利金后，即拥有在合约有效期内按敲定价格卖出某一期权合约的权利，但不负有必须卖出的义务。

Financial Derivatives (7)

Money Spreads (continued)

Bull Spreads (continued) For different holding periods, compute profit for range of stock prices at T1, T2, and T using Black-ScholesMerton model. See Figure 7.2. Note how time value decay affects profit for given holding period. Early exercise not a problem.
Chance/Brooks
An Introduction to Derivatives and Risk Management, 9th ed.
Ch. 7: 9
© 2010 Cengage Learning. All Rights Reserved. May not be scanned, copied or duplicated, or posted to a publicly accessible website, in whole or in part.
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Chance/Brooks
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Ch. 7: 8
An Introduction to Derivatives and Risk Management, 9th ed.
© 2010 Cengage Learning. All Rights Reserved. May not be scanned, copied or duplicated, or posted to a publicly accessible website, in whole or in part.