6Hedging Nonlinear Risk_Interest Rate Derivatives
金融风险测度指标及其含义
金融风险测度指标及其含义
金融风险测度指标是衡量金融市场或金融机构风险的一种工具，常用于评估金融资产的风险水平。
以下是一些常见的金融风险测度指标及其含义：
1. 波动率（Volatility）：衡量资产价格或市场指数在一定时期
内的价格波动情况。
波动率越高，代表资产风险越大。
2. 历史回撤（Historical Drawdown）：衡量资产价格或投资组
合在曾经的最高点到最低点之间的下跌幅度。
历史回撤越大，代表资产风险越高。
3. 市场beta值（Market Beta）：衡量资产或投资组合对整个
市场的敏感性。
beta值大于1代表资产或投资组合的波动性超
过市场平均水平，风险较高。
4. 价值 at Risk（VaR）：衡量在特定置信水平下，资产或投资组合在一定时间段内可能的最大亏损。
VaR越高，代表资产
风险越大。
5. 杠杆（Leverage）：衡量资产或投资组合的借贷比例。
杠杆
越高，代表资产承担的债务风险越大。
6. 信用违约风险（Credit Default Risk）：衡量借款人或发行实
体违约的可能性。
信用违约风险越高，代表资产风险越大。
7. 汇率风险（Exchange Rate Risk）：衡量由于外汇汇率波动
引起的资产价值波动。
汇率风险越高，代表资产风险越大。
8. 利率风险（Interest Rate Risk）：衡量由于利率变动引起的资产价值波动。
利率风险越高，代表资产风险越大。
这些指标可以帮助投资者或金融机构评估投资组合或资产的风险，并采取相应的风险管理策略。
金融外汇买卖相关英语词汇翻译
金融外汇买卖相关英语词汇翻译金融外汇买卖相关英语词汇翻译Accepted 承兑Accrued interest累计利息advance 放款American style 美式选择权appreciation 升值Arbitrage 套利交易asset allocation 资产分配原则Asset swap 就持有的资产利息进行交换Asset/liability management 资产负债管理Assets liquidity 资产的流动性Assets safety 资产安全Assets yield 资产的获利性AT the money (ATM) 价平Auction 标售Authority letter 授权书Banker’s acceptance 银行承兑汇票Basis swap (floating -against floating IRS)Bear call spread 买权看空价差Bear put spread 卖权看空价差Bearer form 持有人形式best order 最佳价格交易指示单Bid rate 借入利率（或买入价格，汇率）Big figure 大数（交易时忽略不报的前几位数）Book entry form 无实体形式Break-even exchange rate 两平点汇率Bretton Woods system 布莱登国际货币制度Broken date 畸零天期(见Odd date)Bull call spread 买权看多价差Bull put spread 卖权看多价差Buy call 买入买权Buy or sell forward 买卖远期Buy or sell spot 买卖即期Buy put 买入卖权Buyer 买方Calendar spread 水平式价差策略Call option 买权Calling customer 询价者Calling party 询价者Cash flow book 现金流量登记薄Cash flow gap 现金流量缺口Cash flow gap 资金缺口Cash flow projection现金流量之预期Cash 当日交割CD(certificate of deposit) 存单Chain method 联算法Chief money dealer首席货币交易员Clearing house 清算所Commercial hedge 进出口商避险Commercial paper商业本票Commodity futures trading commission 美国期货交易委员会Competitive bid 竞标Contract date 定约日Contract limit 契约额度Contract risk 契约风险Counter party 交易对手Country limit 国家额度Coupon rate 票面利率Coupon swap (fixed-against floating IRS)Cover 补回，冲销covered interest arbitrage 无汇率波动风险的套利操作Credit risk 信用风险Cross hedge 交叉避险Cross rates 交叉汇率（通过第三种货币计算两种货币的汇率）Currency future 外汇期货Currency futures contracts 外汇期货契约Currency futures 外汇期货Current yield 当期收益率Cut off time 营业截止时间Day trading 当日冲销（使当日净部位为零）Dealer’s authority 交易权限Dealing day 交易日Dealing room 交易室Dealing ticket 交易单Delivery Date 交割日Direct quotation=price quotation直接报价Discount 贴水Dj index future 道·琼斯指数期货合约Draft 汇票Duration 存续期间Easy money 低价货币Effective interest rate 有效利率Engineered swap transaction操纵式换率交易（将买入卖出两个不同交易合并，使其具有换汇交易的效果）European currency unit(ECU)欧洲货币单位Exchange control system 外汇管制制度Exercise price 履约价格Expiry date 到期日Face value 面值（股票、票据上记载的名目价值）Firm market 行情坚挺的市场Firm order 确定指示单Fixed exchange rate system 固定汇率制定Fixed rate liability 利率固定负债Fixing date 指标利率定订基准日Flat yield curve 水平收益率曲线floating exchange 浮动汇率制度Floor broker 场内经纪商Floor trader 场内交易商Follow up action 动态策略Forward against forward远期对远期换汇交易Forward rate agreement（FRA）远期利率协定Forward rate 远期汇率Forward value date 远期外汇到期日FT-SE 100 Index Future 伦敦金融时报指数期货Futures 期货FX risk 汇率风险Gapping 期差操作General floating 普遍浮动Generic Swap 标准型的IRS 交易gold exchange standard金汇兑本位制度gold export point 黄金输出点Gold rush 黄金抢购风gold standard 金本位制度Government bonds 政府债券Group of Twenty 20国委员会Hang Seng Index 恒生估价指数Hedging interest rate risk规避利率波动风险Hit 询价者以bid rate 卖出被报价币给报价银行Holding position 持有部位If order 附条件交易指示单IMM 芝加哥国际货币市场In the money (ITM) 价内Index swap 利率交换indirect quotation=quantity quotation 间接报价Inter bank offer rates 银行同业拆放利率Interest rate futures 利率期货Interest rate parity theory 利率平价理论Interest rate return 报酬率Interest rate swaps(IRS)利率交换intermediary 中间人international payment system 国际支付制度Intra day limit 日间额度Intra-day trader日间交易者，短线交易员Intrinsic value 隐含价值Junior money dealer资浅货币交易员LIBOR 伦敦银行同业拆借利率LIFFE 伦敦国际金融期货交易所Line of credit 信用额度Line of limit 额度限制liquidity premium流通性风险补贴London inter bank bid rate (LIBID) 伦敦银行间存款利率Long butterfly call spread 买入碟式买权价差Long butterfly put spread 买入碟式卖权价差Long currency future contract 买入外汇期货契约Long Straddle 买入跨式部位，下跨式部位Long strangle 买入不同履约价格的跨式部位Margin call 追加保证金Margin trading 保证金交易Mark to market 调整至市场价Market order 市场价格指示单Mismatch gapping 到期缺口Money market swap IRS持有时间短于两年者Money position 货币部位long position 买超或长部位（借入的金额大于贷）Monthly limit 每月限额multiple currency reserve system多种货币准备制度Nasdaq Index Future 纳斯达克指数期货Near the money 价近Negative yield curve 负收益率曲线Negotiable certificate of deposit 可转让定期存单Net mismatch 净缺口Nikki index future 日经指数期货Nominal interest rate 名目利率Nominal Interest rate名目利率（票面或双方约定的利率，减通货膨胀等于实质利率）Non earning asset 非利率敏感资产Non profitable liability非利率敏感负债Non reference currency 报价币Notional amount 承作金额Odd date（Odd maturity）畸零天期，畸零期（FX交易非整周整月的日期，如10天，40天）Off-balance Sheet 表外交易工具（衍生性金融产品）Offer rate 贷放利率（或卖出价格，汇率）Offset 对冲，轧平Open spot net position 即期净部位Operation risk 作业风险Option date forward 任选交割日的远期汇率Option 选择权Options reserve 选择权保留额度Order 交易指示单Out of the money(OTM) 价外Outright forward 远期直接汇率Over the counter店头市场，柜台交易市场Overall limit 总合限额Overbought 买超Overnight(O/N) 当日交割之隔夜拆放Oversold 卖超Par 报价与被报价币的利率相同，换汇汇率为零。
利率掉期(IRS-Interest Rate Swap)
Specification of Futures Contract
When developing a new contract, the exchange must specify in detail the exact nature of the agreement between the two parties.
Forward vs Futures Prices
Forward and futures prices are usually assumed to be the same. Therefore, we may use forward price as a good approximation to price futures. When interest rates are uncertain, in theory, these two prices are slightly different:
Hedging Strategies in Futures
Many of the participants in futures markets are hedgers. Their aim is to use futures markets to reduce a particular risk that they face.
It is impossible for exchanges to track all delivery prices for every individual futures they trade. To avoid the difficulty, the mechanism of margin account (保證金，孖展) is introduced:
基于分离因数法的简捷炼油塔模型开发及应用
2023年6月周磊等：基于分离因数法的简捷炼油塔模型开发及应用蜡油和减压渣油等产品。
减压塔共有19块塔板，设置3条侧线采出，减一线流量为23.5t/h ，流股压力为-0.0991MPa 。
减二线流量为110t/h ，流股压力为-0.0987MPa 。
减三线流量为195t/h ，流股压力为-0.0984MPa 。
减底流量为280t/h ，流股压力为-0.0981MPa 。
2.1 初馏塔计算为验证模型的可行性，对上述常减压装置建模。
调整模型参数，默认切割温度点组分分配比ln(d r /b r )为0。
初馏塔、常压塔采用切割温度模式，减压塔采用收率模式计算，将常减压计算结果与实际D86蒸馏曲线数据和流量相比对。
图2 简捷炼油塔计算框图··2823化工进展， 2023， 42（6）表3为初馏塔输入的模型参数。
从图4初馏塔计算结果可以看出，分离因数模型在模拟初馏塔塔顶蒸馏曲线在前后两端与实际值较好吻合，与实际偏差都在2%~4%之间。
计算初顶油采出量为153.31t/h ，与实际偏差为0.046%。
2.2 常压塔计算表4为模拟常压塔输入的模型参数。
从图5常压塔模拟计算结果中可以看出，分离因数模型计算的蒸馏曲线与实际曲线贴近，各线产品采出平均偏差均在5%以内，说明可以很好模拟常压塔分离产品馏分。
表5为计算出的各线产品流量，与实际偏差均在1.5%以内。
2.3 减压塔计算表6为模拟减压塔输入的模型参数。
图6为减压塔计算模拟结果对比，由于减压塔整体馏分偏图3 常减压装置流程实例表3 初馏塔输入参数产品名称初顶气初顶油初底油采出类型气相顶油底油切割温度/℃—5.24180.03顶部分离因数—55底部分离因数—104流股压力/MPa 0.0950.110.134表4 常压塔输入参数产品名称常顶气常顶油常一线常二线常三线常四线常底油采出类型气相顶油侧线1侧线2侧线3侧线4底油切割温度/℃—-1.39159.97239.32282.92401.69434.11顶部分离因数—53515303522底部分离因数—10101029810流股压力/MPa0.030.10.110.110.120.120.12表2 轻端组分分析序号1234567组分H 2N 2O 2COCO 2H 2SCH 4质量分数0.0000920.01030.0005750.0004020.006280.01390.00611序号891011121314组分C 2H 6C 3H 8NC 4IC 4NC 5C 2H 4C 3H 6质量分数0.03220.2890.4860.1490.00580.0000480.000031D 86温度/℃体积分数/%图4 初馏塔D86蒸馏曲线结果对比表1 原油TBP 蒸馏数据（质量基准，d 15.6/15.6重度为0.872）蒸馏曲线百分比/%05103050709095100温度/℃0.3847.7292.68214.38334.89476.51671.08773.09863.71··28242023年6月周磊等：基于分离因数法的简捷炼油塔模型开发及应用重，初馏点的计算值与实际值偏差稍大。
金融风险管理英文版本教材
金融风险管理英文版本教材Financial Risk Management TextbookTitle: Financial Risk Management: A Comprehensive Guide Author: [Your Name]Edition: 1st EditionPublisher: [Publishing Company]Publication Year: [Year]ISBN: [ISBN number]Table of Contents:1. Introduction to Financial Risk Management1.1 Definition and Importance of Financial Risk Management 1.2 Types of Financial Risks1.3 Objectives of Financial Risk Management2. Market Risk Management2.1 Concept and Measurement of Market Risk2.2 Market Risk Models (Value at Risk, Expected Shortfall)2.3 Hedging Techniques for Market Risk3. Credit Risk Management3.1 Introduction to Credit Risk3.2 Credit Risk Assessment and Evaluation3.3 Credit Risk Mitigation Techniques4. Liquidity Risk Management4.1 Understanding Liquidity Risk4.2 Liquidity Risk Measurement and Monitoring4.3 Liquidity Risk Management Strategies5. Operational Risk Management5.1 Overview of Operational Risk5.2 Identification and Assessment of Operational Risks5.3 Operational Risk Measurement and Control6. Interest Rate Risk Management6.1 Understanding Interest Rate Risk6.2 Measurement and Management of Interest Rate Risk6.3 Strategies for Interest Rate Risk Mitigation7. Foreign Exchange Risk Management7.1 Introduction to Foreign Exchange Risk7.2 Tools and Techniques for Foreign Exchange Risk Management7.3 Currency Hedging Strategies8. Enterprise Risk Management8.1 Overview of Enterprise Risk Management8.2 Framework for Implementing Enterprise Risk Management8.3 Integration of Different Risk Management Approaches9. Risk Management in Financial Institutions9.1 Risk Management in Banks9.2 Risk Management in Insurance Companies9.3 Risk Management in Investment Firms10. Regulatory and Legal Aspects of Financial Risk Management 10.1 Regulatory Environment for Risk Management10.2 Compliance and Legal Issues in Risk Management11. Case Studies in Financial Risk Management11.1 Real-life Risk Management Scenarios11.2 Analysis and Solutions for Risk Management Cases12. Emerging Trends and Challenges in Financial Risk Management12.1 Impact of Technology on Risk Management12.2 Future Challenges and OpportunitiesAppendix: Glossary of Financial Risk Management Terms BibliographyIndexNote: This textbook is intended for educational purposes and provides a comprehensive overview of various aspects of financial risk management. It covers key concepts, theories, and practical strategies to effectively manage and mitigate financial risks in different sectors. The case studies included further enhance the understanding and application of risk management principles.。
利率互换知识 IRS Market
隔夜shibor（o/n shibor) – 主要使用者为交易型机构；和部分对冲帐户，主要用来锁定短期的资金成本
3个月shibor(3m shibor) – 主要使用者为交易型机构；有不少对冲帐户也参与3m shibor市场，比如和shibor浮息债套期 1年定存(1y deposit rate)和1年贷款(1y lending rate)利率 – 主要是对冲型机构，如保险公司，银行资产负债管理部门，公司企业等
1年定存利率（黑色）和2年定存利率互换（红色）的走势（彭博）
利率互换交易策略 – 方向性交易
1年定存利率（黑色），7天回购的30日移动均值（红色）和2年shibor利率互换（绿色）的走势（彭博）
利率互换交易策略 – 曲线利差交易
决定曲线利差走势的主要因素 – 短端主要受当前货币政策和资金面的影响 – 长端主要受到对经济增长和通胀的预期
利率互换交易的风险管理 --市场风险管理
市场风险管理部门作为一个独立的风险控制部门： – 制定并执行连贯的政策和程序 – 全面的市场风险限额设定和监控能力 – 进行必要的市场风险集中管理和分析，包括风险/回报的特性 – 开展有效的压力测试分析 – 确保符合市场风险管理的监管要求 – 与监管机构，评级机构和董事会就独立市场风险控制就行交流和沟通
4000 3500
１年贷款
1年定存 隔夜回购 3月Shibor
3000 2500 2000 1500
1000 500 0
7天回购
单月IRS成交量（中国货币网）
产品介绍（3）
7天回购 (7d repo)利率 – 主要使用者为交易型机构(trading desks)，如银行和证券公司的交易台，海外的对冲基金等；部分风险对冲 账户(hedger)，如银行的债券投资部门，主要用来对冲市场利率（如债券头寸）的
财务管理专业英语词汇表
a profit and loss statement accelerated methodsaccounts payableaccounts payable turnover ratio accounts receivableaccounts receivableaccounts receivable turnover ratios accrrual accountingaccrued expenseaccumulated depreciation accumulated retained earnings acquireaffiliateagency costagency problemagency relationshipaging scheduleallocateallocationally efficient markets amortizationannuityannuity dueanomalyappreciatearbitrage pricing theory(APT)Asian currency optionasset management ratiosasset turnover ratioauthorized sharesautonomyaverage age of accounts receivable avreage rate currency optionbad debt loss ratiobalance sheetbalance sheetbank debtbankers'acceptancebankruptcybasic earnings per shareBaumol cash management model behavioral financebeta coefficientbond indenturebonding costbook valuebottom-up approachbreak-even analysiabrokerage feebusinessbusiness riskcapital asset pricing model(CAPM) capital asset pricing model(CAPM) capital budgetcapital budgetingcapital expenditurecapital leasecapital marketcapital rationingcapital structurecapital surpluscash conversion cyclecash dividendcash dividendscash Flow Coverage Ratiocash flow from financingcash flow from investingcash flow from operationscash offercash ratiocentralize payableschairpersoncheckchief executive officer(CEO)chief financial officer(CFO) chronologicalclaimclearing time floatclosely held corporation coefficientcollateralcommercial papercommon stockcommon stockcommon stockholder or shareholder company-specific factor compensating balancecomplex capital structure compound interestcompoundingconcentration bankingconstant dividend payout ratioconstant growth model consumer creditcontingent value rights controllerconversion premiumconversion ratioconvertible bondconvertible debtconvertible debtconvertible preferred stock convertible securities corporate annual reports correlation coefficientcost of capitalcost of capitalcovariancecreative accountingcredit and collectiong policy credit cardcredit periodcredit salecredit termcreditorcross-currency pooling system cross-currency quote cumulative votingcurrency forward contract currency futures contract currency optioncurrency riskcurrency swapcurrent assetcurrent liabilitycurrent liabilitycurrent market valuecurrent ratiocurrent yielddebt holderdebt instrumentdebt management ratiosdebt ratiodebt-to-equity ratiodebt-to-total-capital decision-makingdeclaration datedefault riskdeferred annuitydeferred taxdepreciatedepreciationdesired or target capital structure diluted earnings per sharedilution of controldilution of ownershipdilutivedirect methoddirect quotationdisbursementdiscount perioddiscount ratediscount ratediscounted cash flow(DCF)discounted payback perioddiscountingdiversifiable riskdiversifydividend discount modeldividend irrelevane theorydividend payoutdividend payout ratiodividend policydividend yielddividend-payout ratiodo-it-yourself dividenddufault riskDuPont Analysis of ROEearnings before interest and taxes (EBI earnings before interest and taxes(EBIT earnings per shareearnings per shareeconomic order quantity(EOQ)efficient market hypothesis（EMH) employee stock option program(ESOP) equity multiplierEuropean Economic AreaEuropean Economic CommunityEuropean unionexchange rateexchange-rate riskex-dividend dateexecutive directorexotic optionexpansion projectexpected returnexpected utility theoryexternal financingface valueFinancial Accounting Standards Board(FA financial analystfinancial distressfinancial distressfinancial economistfinancial flexibilityfinancial leveragefinancial managementfinancial marketfinancial ratiofinancial riskfinancial riskfinancial standardsfinancial statementfinancing cash flowsfinancing mixfinancing mixfinancing mixfirst-in ,first out (FIFO)Fitch Investor Servicesfixed exchange rate systemfloatfloatationfloatation costfloating exchange rate systemFortune 500forward discountforward marketforward premiumforward rateforward tradefree cash flow hypothesisfree tradefree-riding problemfuture contractfuture value(FV)general partnerGenerally Accepted Accounting Principle general-purpose assetsgo publicgoing concernGoldman Sachsgross profit margingrowth perpetuityhedginghistorical costhoard of directorshomemade dividendshurdle ratehurdle ratehybird securityhybridincentive stock optionincome statementincremental cash flows independent auditorindependent projectindirect methodindirect quotationinformation asymmetry informationally efficient markets initial public offering(IPO)initial public offering(IPO)initial public offerings institutional investorinstitutional investorintangible fixed assetsinterest coverage ratiointerest deductioninterest rate parityinterest rate riskinternal financinginternal rate of return(IRR) Internal Revenue Service(IRS) international corporation international financial management international Monetary Fund intrinsic valueinventoryinventoryinventory processing period inventory turnover ratioinvesting cash flowsinvestment bankinvestment bankerinvestor rationlityJanuary effectjeopardizejoint venturejust-in-time(JIT)systemlast-in ,first-out (LIFO)law of one pricelearning curveleaseleaselesseelessorleverage ratioslevered firmliabilitylimited partnerlimited partnershipline of creditliquidating dividendliquidationliquidity ratiolock box systemlong-term debt to total capital ratios long-term liabilitylong-term ratiolookback currency optionlow regular plus specially designated d mail floatmanagenment buyoutmanipulatemarket conversion valuemarket imperfectionmarket riskmarket shareMarketabilitymarketable securitiesmarketable securitiesmarketable securitymarketable securitymarket-to-book value ratioMaster of AccountingMaster of Business Administration(MBA) Master of Financial Managementmaterial requirement planning (MRP)syst maturitymean-variance frontiermean-variance worldMerrill LynchMiller-orr cash management modelmix of debt and equitymoderate approachModigliani and Miller(M&M)theorem Monday effectmoney marketmoney ordermonitoring costsMoody’s and Standard & Poor’sMoody's Investors Service,Inc.(Moody's) Morgan Stanley Dean Wittermortgagemultinational corporationmutual fundmutually exclusive projectnegotiable certificates of deposit(CDs) negotiate offernet incomenet present value(NPV)net present value(NPV)net profit marginnet working capticalNew York Stock Exchange(NYSE)New York Stork Exchangenewly listed companynon-executive directornormal distributionnormality assumptionnote payableoffering priceopen marketoperating cash flowsoperating incomeoperating income(loss)operating leaseoperating leverageoperating profit marginoperating profit marginoperationally efficient markets opportunity costopportunity costoptimal capital structureoption contractoption exchangeoption-like securityordinary annuityoutstandingoutstanding sharesoverheadover-the-counter marketowner’s equityP/E ratiopartnerpartnershippatentpayback period(PP)payment datepecking order theoryperfect capital marketperpetual inventory systemperpetuitypivotalportfolio theorypost-auditpost-earnings announcement drift precautionary motivepreemptive rightpreemptive rightpreferred stockpreferred stockpreferred stockholder or shareholder present value(PV)price takerprimary marketprincipalprincipal-agent or agency relationship private corporationprivate placementprivately held corporationprivileged subscriptionpro rataprobabilityprobability distributionprobability distribution function processing floatprocrastinationprofitprofitabilityprofitability index(PI)profitability ratioproperty dividendproperty,plant,and equipment(PPE)pros and consprospect theoryprotfoliopublic offerpublicly held companypublicly traded corporations publicly traded firmpurchasing power parityput optionput pricequick ratiorandom variablerate of returnrational behaviorreal assetsreal estaterecord dateregular dividendrelaxed or conservative approach replacement projectrepurchaserepurchaserepurchase agreementrequired rate of returnreserve borrowing capacityresidual claimresidual dividend policyresidual valuerestricted or aggressive approach restrictive covenanatsretail incestorretail investorreturnreturn on asset (ROA)return on common equity (ROCE) return on total equity (ROTE) return on total equity ratio (ROE) revenueright to proxyright to transfer ownershipright to voterights offerrisk aversionSalomon Smith Barneysaturation pointscenario analysisseasoned issuesecondary marketSecurities and Exchange Commission(SEC) semi-strong formsensitivity analysissensitivity analysisseparation of ownership and control share repurchaseshareholderside effectsimple capital structuresimple interstsimulationslowing disbursementsocial goodsole proprietorshipsolvencysource of cashspecial-purpose assetsspeculative motivespin-offsspot ratespot tradestable dollar dividend policy stakeholder theorystand-alone riskStandard & Poor's Corporation(S&P) standard deviationstatement of cash flowstatement of change in shareholders' eq statement of retained earningsstock buybackstock dividendsstock offeringstock offeringstock optionstock price appreciationstock repurchasestock splitstockholderstockholders'equitystraight or majority votingstraight-line depreciationstrong formsunk costswapsyndicate of underwritertakeovertangible fixed assetstarget capital structuretax exempt instrumenttax shieldteminal valuetender offertender offer(=takeover bid)term loantime value of moneytotal asset turnover ratiotrade credittrademarktradeofftradeoff theorytransaction costtransaction motivetreasurertreasury notestreasury sharetreasury stockunbiased forward rateunderlying common stockunderpricingunderpricingunderwriterunderwritingunlevered firmunseasoned issueUS Treasury Billuse of cashvalue effectvalue(wealth)maximizationvariable-rate debtvarianceventure capitalventure capitalistviabilityvice president of financevolatilityvolatilityvoting rightwarrantwarrantweak formweighted average cost of capital(WACC) well-beingwindow dressingwithdrawalworking capital management working captical management world Trade Organization yield to maturity (YTM) zero balance account(ZBA)加速折旧法应付账款应付账款周转率应收账款应收账款应收账款周转率应计制会计应计费用累计折旧累计留存收益获得，取得（在财务中有时指购买；名词形式是acquisition，意为收购）分支机构代理成本代理问题代理关系账龄表（资源，权利等)配置（名词形式是allocation，如capital allocation，意为资本配置）配置有效市场摊销年金先付年金异常（人或事物）升值套利定价理论亚式期权资产管理比率资产周转比率授权股自主权，自治应收账款平均账龄均价期权坏账损失率资产负债表资产负债表银行借款银行承兑汇票破产基本每股收益鲍莫尔现金管理模型行为财务贝塔系数债券契约契约成本账面价值盈亏平衡点分析经纪费企业，商务，业务经营风险资本资产定价模型资本资产定价模型资本预算资本预算资本支出融资性租赁资本市场资本限额资本结构资本盈余现金周转期现金股利现金股利现金流量保障比率筹资活动现金流投资活动现金流经营活动现金流现金收购现金比率集中支付主席（chairmanor chairwoman)支票首席执行官首席财务官按时间顺序排列的（根据权力提出）要求，要求权，主张，要求而得到的东西清算浮游量控股公司系数抵押商业票据普通股普通股普通股股东（也可以是ordinary stockholder or shareholder公司特有风险补偿性余额复杂资本结构复利复利计算集中银行法固定股利支付率政策固定增长率模型消费者信用或有价值权会计长转换溢价转换比率可转换债券可转债可转债可转换优先股可转换证券公司年报相关系数资本成本资本成本协方差创造性会计，寻机性会计信用与收款政策信用卡信用期限赊销信用条件债权人外汇交叉组合系统交叉标价累积投票制远期外汇合约货币期货合约货币期权外汇风险货币互换流动资产流动负债流动负债现行市场价值流动比率现行收益债权人（也可以是debtor,creditor)债务工具债务管理比率债务比率债务与权益比率债务与全部资本比率决策，决策的股利宣布日违约风险递延年金递延税款贬值折旧目标资本结构稀释的每股收益控制权稀释所有权稀释（公司股票）冲减每股收益的直接法直接标价支出、支付折扣期限折扣率折现率折现现金流折现回收期折现计算可分散风险多样化股利折现模型股利无关论股利支付率股利支付比率股利政策股利收益率股利支付比率自制股利违约风险权益报酬率的杜邦分析体系息税前盈余息税前盈余每股收益（盈余）每股盈余经济订货量有效市场假设员工股票期权计划权益乘数欧洲经济区协定欧洲经济共同体欧盟汇率汇率风险除息日执行董事特种期权扩充项目期望收益期望效用理论外部融资面值（美国）会计准则委员会财务分析师财务困境财务困境财务经济学家财务灵活性财务杠杆财务管理金融市场财务比率财务风险财务风险（有时也指金融风险）财务准则财务报表筹资现金流融资比率融资结构融资组合（指负债与所有者权益的比例关系）先进先出惠誉国际公司固定汇率制度浮游量、浮差发行证券；挂牌上市上市成本浮动汇率制度财富500指数远期贴水远期市场远期升水远期汇率远期交易自由现金流假说自由贸易搭便车问题期货合约未来值，终值一般合伙人公认会计原则一般目的资产公开上市持续的高盛公司毛利增长年金避险 套期保值历史成本董事会自制股利门坎利率，最低报酬率门槛利率，最低报酬率混合证券混合金融工具激励性股票期权利润表增量现金流量独立审计师独立项目间接法间接标价信息不对称信息有效市场首次公开发行股票首发股票首发股票机构投资者机构投资者无形固定资产利率保障比率利息抵减利率平价利息率风险内部融资内部收益率，内含报酬率美国国内税务署跨国公司国际财务管理国际货币基金组织内在价值存货存货存活周转期存货周转率投资现金流投资银行投资银行家投资者的理性一月效应危害合资企业即时制后进先出单一价格法则学习曲线租赁租赁承租人出租人杠杠比率杠杆企业负债有限责任合伙人有限合伙制企业贷款额度股利清算清算流动性比率锁箱系统长期债务与全部资本比率长期负债长期比率回顾试货币期权低正常股利加额外股利政策邮寄浮游量管理层收购操纵市场转换价值市场不完备性市场风险市场份额可销售性短期证券有价证券短期有价证券流动性证券，有价证券市场价值与账面价值的比率会计学硕士工商管理硕士财务管理专业硕士物料需求计划系统（债券、票据等）到期均值-方差有效边界均值-方差世界美林公司米勒-欧尔现金管理模型负债与股票的组合适中策略MM定理星期一效应拨款单，汇款单，汇票监督成本穆迪和标准普尔穆迪公司摩根士丹利-添惠公司抵押跨国公司共同基金互不相容项目大额可转让存单议价收购净利润净现值净现值净利润净营运资本纽约证券交易市场纽约股票交易所新上市公司非执行董事正态分布正态假设应付票据发行价格公开市场经营现金流经营收益经营收益（损失）经营性租赁经营杠杆经营利润市场价值比率运营有效市场机会成本机会成本最优资本结构期权合约期权交易类期权证券普通年金（证券等）发行在外的发行股制造费用场外交易市场所有者权益市盈率合伙制企业专利回收期股利支付日排序理论完美资本市场（存货）永续盘存制永续年金关键的，枢纽的组合理论期后审计期后盈余披露预防动机优先权优先认购权优先股优先股优先股股东（英国人用preference stockholder or shareholder)现值价格接受者一级市场本金委托-代理关系（代理关系）私募公司，未上市公司私募私人控股公司有特权的认购按比例，成比例概率概率分布概率分布函数内部处理浮游量延迟利润盈利能力现值指数盈利比率财产股利土地、厂房与设备正反两方面期望理论组合公开发行公众控股公司公开上市公司，公众公司，上市公司（其他的表达法如，listed corporation，public corporation，etc）公开上市公司购买力平价卖出期权卖出价格速动比率随机变量收益率理性行为实务资产房地产（有时也用real property,或者就用property表示）股权登记日正常股利稳健策略更新项目回购回购回购协议要求的报酬率保留借款能力剩余索取权剩余股利政策残余价值激进策略限制性条款散户投资者（为自己买卖证券而不是为任何公司或机构进行投资的个人投资者）个人投资者.散户投资者回报资产收益率普通权益报酬率全部权益报酬率权益报酬率收入代理权所有权转移权投票权认股权发行风险规避所罗门美邦投资公司饱和点情况分析适时发行、增发（seasoned是指新股稳定发行。
金融学专业术语 中英文
金融学专业术语中英文B 半强式效率semi-strong efficiency 指在证券价格充分反映了所有的公开信息（包括历史价格和交易情况，但不局限于此。
）半通货膨胀Semi-inflation 当经济逐渐接近充分就业时，货币供给增加所形成的过度总需求一方面使产出增加，另一方面又使价格逐渐上升。
保险合约insurance contract 是保险公司与被保险人之间签订的当某一事件发生时按约定的费率给予被保险人赔偿的合约。
本金principal 本期收益率current yield 本位币standard money 按照国家规定的金属、单位货币的名称和重量铸造的货币。
边际储蓄倾向Marginal Propensity to Save ,MPS 反映可支配收入每增加以单位时储蓄支出增加的数量。
边际消费倾向Marginal Propensity to Concume ,MPC 反映可支配收入每增加一个单位时小分支出增加的数量。
补偿性公共支出compensatory public spending 政府财政预算应于社会经济条件保持相同的步调，即政府应在萧条期间实施结构性预算赤字的政策，而在经济繁荣时，就要保持适当的盈余。
不动产信用控制real estate credit control 指中央银行对商业银行等金融机构向客户提供不动产抵押贷款的管理 措施。
C 财富效应wealth effect 财富变动对消费和储蓄倾向的影响。
财务担保guarantee 贷款人要求担保人为借款人的借款提供经济担保，当借款人无力偿还借款时，由担保人负责偿还的一种经济合同。
财务公司financial company 通过发行商业票据、股票或从银行借款获得资金，再利用这些资金对个人或企业进行小额贷款。
财政赤字论fiscal deficit theory 克鲁格曼（Krugman,1979）提出财政赤字导致货币危机的理论。
财政性通货膨胀理论fiscal inflation theory 通过财政政策来鼓励通货膨胀的理论。
国际财务管理课后习题答案
C H A P T E R8M A N A G E M E N T O F T R A N S A C T I O N E X P O S U R ESUGGESTED ANSWERS AND SOLUTIONS TO END-OF-CHAPTER QUESTIONS ANDPROBLEMSQUESTIONS1. How would you define transaction exposure How is it different from economic exposureAnswer: Transaction exposure is the sensitivity of realized domestic currency values of the firm’s contractual cash flows denominated in foreign currencies to unexpected changes in exchange rates. Unlike economic exposure, transaction exposure is well-defined and short-term.2. Discuss and compare hedging transaction exposure using the forward contract vs. money market instruments. When do the alternative hedging approaches produce the same resultAnswer: Hedging transaction exposure by a forward contract is achieved by selling or buying foreign currency receivables or payables forward. On the other hand, money market hedge is achieved by borrowing or lending the present value of foreign currency receivables or payables, thereby creating offsetting foreign currency positions. If the interest rate parity is holding, the two hedging methods are equivalent.3. Discuss and compare the costs of hedging via the forward contract and the options contract. Answer: There is no up-front cost of hedging by forward contracts. In the case of options hedging, however, hedgers should pay the premiums for the contracts up-front. The cost of forward hedging, however, may be realized ex post when the hedger regrets his/her hedging decision.4. What are the advantages of a currency options contract as a hedging tool compared with the forward contractAnswer: The main advantage of using options contracts for hedging is that the hedger can decide whether to exercise options upon observing the realized future exchange rate. Options thus provide a hedge against ex post regret that forward hedger might have to suffer. Hedgers can only eliminate the downside risk while retaining the upside potential.5. Suppose your company has purchased a put option on the German mark to manage exchange exposure associated with an account receivable denominated in that currency. In this case, your company can be said to have an ‘insurance’ policy on its receivable. Explain in what sense this is so.Answer: Your company in this case knows in advance that it will receive a certain minimum dollar amount no matter what might happen to the $/€exchange rate. Furthermore, if the German mark appreciates, your company will benefit from the rising euro.6. Recent surveys of corporate exchange risk management practices indicate that many U.S. firms simply do not hedge. How would you explain this resultAnswer: There can be many possible reasons for this. First, many firms may feel that they are not really exposed to exchange risk due to product diversification, diversified markets for their products, etc. Second, firms may be using self-insurance against exchange risk. Third, firms may feel that shareholders can diversify exchange risk themselves, rendering corporate risk management unnecessary.7. Should a firm hedge Why or why notAnswer: In a perfect capital market, firms may not need to hedge exchange risk. But firms can add to their value by hedging if markets are imperfect. First, if management knows about the firm’s exposure better than shareholders, the firm, not its shareholders, should hedge. Second, firms may be able to hedge at a lower cost. Third, if default costs are significant, corporate hedging can be justifiable because it reduces the probability of default. Fourth, if the firm faces progressive taxes, it can reduce tax obligations by hedging which stabilizes corporate earnings.8. Using an example, discuss the possible effect of hedging on a firm’s tax obligations.Answer: One can use an example similar to the one presented in the chapter.9. Explain contingent exposure and discuss the advantages of using currency options to manage this type of currency exposure.Answer: Companies may encounter a situation where they may or may not face currency exposure. In this situation, companies need options, not obligations, to buy or sell a given amount of foreign exchange they may or may not receive or have to pay. If companies either hedge using forward contracts or do not hedge at all, they may face definite currency exposure.10. Explain cross-hedging and discuss the factors determining its effectiveness.Answer: Cross-hedging involves hedging a position in one asset by taking a position in another asset. The effectiveness of cross-hedging would depend on the strength and stability of the relationship between the two assets.PROBLEMS1. Cray Research sold a super computer to the Max Planck Institute in Germany on credit and invoiced €10 million payable in six months. Currently, the six-month forward exchange rate is $€ and the foreign exchange advisor for Cray Research predicts that the spot rate is likely to be $€ in six months.(a) What is the expected gain/loss from the forward hedging(b) If you were the financial manager of Cray Research, would you recommend hedging this euro receivable Why or why not(c) Suppose the foreign exchange advisor predicts that the future spot rate will be the same as the forward exchange rate quoted today. Would you recommend hedging in this case Why or why not Solution: (a) Expected gain($) = 10,000,000 –= 10,000,000(.05)= $500,000.(b) I would recommend hedging because Cray Research can increase the expected dollar receipt by $500,000 and also eliminate the exchange risk.(c) Since I eliminate risk without sacrificing dollar receipt, I still would recommend hedging.2. IBM purchased computer chips from NEC, a Japanese electronics concern, and was billed ￥250 million payable in three months. Currently, the spot exchange rate is ￥105/$ and the three-month forward rate is ￥100/$. The three-month money market interest rate is 8 percent per annum in the U.S. and 7 percent per annum in Japan. The management of IBM decided to use the money market hedge to deal with this yen account payable.(a) Explain the process of a money market hedge and compute the dollar cost of meeting the yen obligation.(b) Conduct the cash flow analysis of the money market hedge.Solution: (a). Let’s first compute the PV of ￥250 million, .,250m/ = ￥245,700,So if the above yen amount is invested today at the Japanese interest rate for three months, the maturity value will be exactly equal to ￥25 million which is the amount of payable.To buy the above yen amount today, it will cost:$2,340, = ￥250,000,000/105.The dollar cost of meeting this yen obligation is $2,340, as of today.(b)___________________________________________________________________Transaction CF0 CF1____________________________________________________________________1. Buy yens spot -$2,340,with dollars ￥245,700,2. Invest in Japan - ￥245,700, ￥250,000,0003. Pay yens - ￥250,000,000Net cash flow - $2,340,____________________________________________________________________3. You plan to visit Geneva, Switzerland in three months to attend an international business conference.You expect to incur the total cost of SF 5,000 for lodging, meals and transportation during your stay. As of today, the spot exchange rate is $SF and the three-month forward rate is $SF. You can buy the three-month call option on SF with the exercise rate of $SF for the premium of $ per SF. Assume that your expected future spot exchange rate is the same as the forward rate. The three-month interest rate is 6 percent per annum in the United States and 4 percent per annum in Switzerland.(a) Calculate your expected dollar cost of buying SF5,000 if you choose to hedge via call option on SF.(b) Calculate the future dollar cost of meeting this SF obligation if you decide to hedge using a forward contract.(c) At what future spot exchange rate will you be indifferent between the forward and option market hedges(d) Illustrate the future dollar costs of meeting the SF payable against the future spot exchange rate under both the options and forward market hedges.Solution: (a) Total option premium = (.05)(5000) = $250. In three months, $250 is worth $ = $250. At the expected future spot rate of $SF, which is less than the exercise price, you don’t expect to exercise options. Rather, you expect to buy Swiss franc at $SF. Since you are going to buy SF5,000, you expect to spend $3,150 (=.63x5,000). Thus, the total expected cost of buying SF5,000 will be the sum of $3,150 and $, ., $3,.(b) $3,150 = (.63)(5,000).(c) $3,150 = 5,000x + , where x represents the break-even future spot rate. Solving for x, we obtain x = $SF. Note that at the break-even future spot rate, options will not be exercised.(d) If the Swiss franc appreciates beyond $SF, which is the exercise price of call option, you will exercise the option and buy SF5,000 for $3,200. The total cost of buying SF5,000 will be $3, = $3,200 + $.This is the maximum you will pay.4. Boeing just signed a contract to sell a Boeing 737 aircraft to Air France. Air France will be billed €20million which is payable in one year. The current spot exchange rate is $€ and the one -year forward rateis $€. The annual interest rate is % in the U.S. and % in France. Boeing is concerned with the volatile exchange rate between the dollar and the euro and would like to hedge exchange exposure.(a) It is considering two hedging alternatives: sell the euro proceeds from the sale forward or borrow euros from the Credit Lyonnaise against the euro receivable. Which alternative would you recommend Why(b) Other things being equal, at what forward exchange rate would Boeing be indifferent between the two hedging methodsSolution: (a) In the case of forward hedge, the future dollar proceeds will be (20,000,000) = $22,000,000. In the case of money market hedge (MMH), the firm has to first borrow the PV of its euro receivable, ., 20,000,000/ =€19,047,619. Then the firm should exchange this euro amount into dollars at the current spot rate to receive: (€19,047,619)($€) = $20,000,000, which can be in vested at the dollar interest rate for one year to yield:$20,000,000 = $21,200,000.Clearly, the firm can receive $800,000 more by using forward hedging.(b) According to IRP, F = S(1+i $)/(1+i F ). Thus the “indifferent” forward rate will be: F = / = $€.5. Suppose that Baltimore Machinery sold a drilling machine to a Swiss firm and gave the Swiss client a choice of paying either $10,000 or SF 15,000 in three months.(a) In the above example, Baltimore Machinery effectively gave the Swiss client a free option to buy up to $10,000 dollars using Swiss franc. What is the ‘implied’ exercise exchange rate(b) If the spot exchange rate turns out to be $SF, which currency do you think the Swiss client will choose to use for payment What is the value of this free option for the Swiss client (c) What is the best way for Baltimore Machinery to deal with the exchange exposure Solution: (a) The implied exercise (price) rate is: 10,000/15,000 = $SF .(b) If the Swiss client chooses to pay $10,000, it will cost SF16,129 (=10,000/.62). Since the Swiss client has an option to pay SF15,000, it will choose to do so. The value of this option is obviously SF1,129 (=SF16,129-SF15,000).(c) Baltimore Machinery faces a contingent exposure in the sense that it may or may not receive SF15,000 in the future. The firm thus can hedge this exposure by buying a put option on SF15,000. 6. Princess Cruise Company (PCC) purchased a ship from Mitsubishi Heavy Industry. PCC owes Mitsubishi Heavy Industry 500 million yen in one year. The current spot rate is 124 yen per dollar and the one-year forward rate is 110 yen per dollar. The annual interest rate is 5% in Japan and 8% in the .$ Cost Options hedgeForward hedge$3,$3,1500 (strike price)$/SF$PCC can also buy a one-year call option on yen at the strike price of $.0081 per yen for a premium of .014 cents per yen.(a) Compute the future dollar costs of meeting this obligation using the money market hedge and the forward hedges.(b) Assuming that the forward exchange rate is the best predictor of the future spot rate, compute the expected future dollar cost of meeting this obligation when the option hedge is used.(c) At what future spot rate do you think PCC may be indifferent between the option and forward hedge Solution: (a) In the case of forward hedge, the dollar cost will be 500,000,000/110 = $4,545,455. In the case of money market hedge, the future dollar cost will be: 500,000,000/(124)= $4,147,465.(b) The option premium is: (.014/100)(500,000,000) = $70,000. Its future value will be $70,000 = $75,600.At the expected future spot rate of $.0091(=1/110), which is higher than the exercise of $.0081, PCC will exercise its call option and buy ￥500,000,000 for $4,050,000 (=500,000,.The total expected cost will thus be $4,125,600, which is the sum of $75,600 and $4,050,000.(c) When t he option hedge is used, PCC will spend “at most” $4,125,000. On the other hand, when the forward hedging is used, PCC will have to spend $4,545,455 regardless of the future spot rate. This means that the options hedge dominates the forward hedge. At no future spot rate, PCC will be indifferent between forward and options hedges.7. Airbus sold an aircraft, A400, to Delta Airlines, a U.S. company, and billed $30 million payable in six months. Airbus is concerned with the euro proceeds from international sales and would like to control exchange risk. The current spot exchange rate is $€ and six-month forward exchange rate is $€ at the moment. Airbus can buy a six-month put option on . dollars with a strike price of €$ for a premium of € per . dollar. Currently, six-month interest rate is % in the euro zone and % in the U.S.pute the guaranteed euro proceeds from the American sale if Airbus decides to hedge using aforward contract.b.If Airbus decides to hedge using money market instruments, what action does Airbus need to takeWhat would be the guaranteed euro proceeds from the American sale in this casec.If Airbus decides to hedge using put options on . dollars, what would be the ‘expected’ europroceeds from the American sale Assume that Airbus regards the current forward exchange rate as an unbiased predictor of the future spot exchange rate.d.At what future spot exchange rate do you think Airbus will be indifferent between the option andmoney market hedgeSolution:a. Airbus will sell $30 million for ward for €27,272,727 = ($30,000,000) / ($€).b. Airbus will borrow the present value of the dollar receivable, ., $29,126,214 = $30,000,000/, and then sell the dollar proceeds spot for euros: €27,739,251. This is the euro amount that Airbus is going to ke ep.c. Since the expected future spot rate is less than the strike price of the put option, ., €< €, Airbus expects to exercise the option and receive €28,500,000 = ($30,000,000)(€$). This is gross proceeds. Airbus spent €600,000 (=,000,000) upfront for the option and its future cost is equal to €615,000 = €600,000 x . Thus the net europroceeds from the American sale is €27,885,000, which is the difference between the gross proceeds and the option costs.d. At the indifferent future spot rate, the following will hold:€28,432,732 = S T (30,000,000) - €615,000.Solving for S T, we obtain the “indifference” future spot exchange rate, ., €$, or $€. Note that €28,432,732 is the future value of the proceeds under money market hedging:€28,432,732 = (€27,739,251) .Suggested solution for Mini Case: Chase Options, Inc.[See Chapter 13 for the case text]Chase Options, Inc.Hedging Foreign Currency Exposure Through Currency OptionsHarvey A. PoniachekI. Case SummaryThis case reviews the foreign exchange options market and hedging. It presents various international transactions that require currency options hedging strategies by the corporations involved. Seven transactions under a variety of circumstances are introduced that require hedging by currency options. The transactions involve hedging of dividend remittances, portfolio investment exposure, and strategic economic competitiveness. Market quotations are provided for options (and options hedging ratios), forwards, and interest rates for various maturities.II. Case Objective.The case introduces the student to the principles of currency options market and hedging strategies. The transactions are of various types that often confront companies that are involved in extensive international business or multinational corporations. The case induces students to acquire hands-on experience in addressing specific exposure and hedging concerns, including how to apply various market quotations, which hedging strategy is most suitable, and how to address exposure in foreign currency through cross hedging policies.III. Proposed Assignment Solution1. The company expects DM100 million in repatriated profits, and does not want the DM/$ exchange rate at which they convert those profits to rise above . They can hedge this exposure using DM put options with a strike price of . If the spot rate rises above , they can exercise the option, while if that rate falls they can enjoy additional profits from favorable exchange rate movements.To purchase the options would require an up-front premium of:DM 100,000,000 x = DM 1,640,000.With a strike price of DM/$, this would assure the U.S. company of receiving at least:DM 100,000,000 – DM 1,640,000 x (1 + x 272/360)= DM 98,254,544/ DM/$ = $57,796,791by exercising the option if the DM depreciated. Note that the proceeds from the repatriated profits are reduced by the premium paid, which is further adjusted by the interest foregone on this amount. However, if the DM were to appreciate relative to the dollar, the company would allow the option to expire, and enjoy greater dollar proceeds from this increase.Should forward contracts be used to hedge this exposure, the proceeds received would be:DM100,000,000/ DM/$ = $59,790,732,regardless of the movement of the DM/$ exchange rate. While this amount is almost $2 million more than that realized using option hedges above, there is no flexibility regarding the exercise date; if this date differs from that at which the repatriate profits are available, the company may be exposed to additional further current exposure. Further, there is no opportunity to enjoy any appreciation in the DM. If the company were to buy DM puts as above, and sell an equivalent amount in calls with strike price , the premium paid would be exactly offset by the premium received. This would assure that the exchange rate realized would fall between and . If the rate rises above , the company will exercise its put option, and if it fell below , the other party would use its call; for any rate in between, both options would expire worthless. The proceeds realized would then fall between:DM 100,00,000/ DM/$ = $60,716,454andDM 100,000,000/ DM/$ = $58,823,529.This would allow the company some upside potential, while guaranteeing proceeds at least $1 million greater than the minimum for simply buying a put as above.Buy/Sell OptionsDM/$SpotPut Payoff “Put”Profits Call Payoff“Call”Profits Net Profit(1,742,846) 0 1,742,846 60,716,454 60,716,454 (1,742,846) 0 1,742,846 60,716,454 60,716,454 (1,742,846) 0 1,742,846 60,716,454 60,716,454 (1,742,846) 0 1,742,846 60,716,454 60,716,454 (1,742,846) 0 1,742,846 60,716,454 60,716,454 (1,742,846) 60,606,061 1,742,846 0 60,606,061 (1,742,846) 60,240,964 1,742,846 0 60,240,964 (1,742,846) 59,880,240 1,742,846 0 59,880,240 (1,742,846) 59,523,810 1,742,846 0 59,523,810 (1,742,846) 59,171,598 1,742,846 0 59,171,598 (1,742,846) 58,823,529 1,742,846 0 58,823,529 (1,742,846) 58,823,529 1,742,846 0 58,823,529 (1,742,846) 58,823,529 1,742,846 0 58,823,529 (1,742,846) 58,823,529 1,742,846 0 58,823,529 (1,742,846) 58,823,529 1,742,846 0 58,823,529 (1,742,846) 58,823,529 1,742,846 0 58,823,529 (1,742,846) 58,823,529 1,742,846 0 58,823,529 (1,742,846) 58,823,529 1,742,846 0 58,823,529 (1,742,846) 58,823,529 1,742,846 0 58,823,529 (1,742,846) 58,823,529 1,742,846 0 58,823,529(1,742,846) 58,823,529 1,742,846 0 58,823,529 (1,742,846) 58,823,529 1,742,846 0 58,823,529 (1,742,846) 58,823,529 1,742,846 0 58,823,529 (1,742,846) 58,823,529 1,742,846 0 58,823,529 (1,742,846) 58,823,529 1,742,846 0 58,823,529 (1,742,846) 58,823,529 1,742,846 0 58,823,529Since the firm believes that there is a good chance that the pound sterling will weaken, locking them into a forward contract would not be appropriate, because they would lose the opportunity to profit from this weakening. Their hedge strategy should follow for an upside potential to match their viewpoint. Therefore, they should purchase sterling call options, paying a premium of:5,000,000 STG x = 88,000 STG.If the dollar strengthens against the pound, the firm allows the option to expire, and buys sterling in the spot market at a cheaper price than they would have paid for a forward contract; otherwise, the sterling calls protect against unfavorable depreciation of the dollar.Because the fund manager is uncertain when he will sell the bonds, he requires a hedge which will allow flexibility as to the exercise date. Thus, options are the best instrument for him to use. He can buy A$ puts to lock in a floor of A$/$. Since he is willing to forego any further currency appreciation, he can sell A$ calls with a strike price of A$/$ to defray the cost of his hedge (in fact he earns a net premium of A$ 100,000,000 x –= A$ 2,300), while knowing that he can’t receive less than A$/$ when redeeming his investment, and can benefit from a small appreciation of the A$.Example #3:Problem: Hedge principal denominated in A$ into US$. Forgo upside potential to buy floor protection.I. Hedge by writing calls and buying puts1) Write calls for $/A$ @Buy puts for $/A$ @# contracts needed = Principal in A$/Contract size100,000,000A$/100,000 A$ = 1002) Revenue from sale of calls = (# contracts)(size of contract)(premium)$75,573 = (100)(100,000 A$)(.007234 $/A$)(1 + .0825 195/360)3) Total cost of puts = (# contracts)(size of contract)(premium)$75,332 = (100)(100,000 A$)(.007211 $/A$)(1 + .0825 195/360)4) Put payoffIf spot falls below , fund manager will exercise putIf spot rises above , fund manager will let put expire5) Call payoffIf spot rises above .8025, call will be exercised If spot falls below .8025, call will expire6) Net payoffSee following Table for net payoff Australian Dollar Bond HedgeStrikePrice Put Payoff “Put”Principal Call Payoff“Call”Principal Net Profit(75,332) 72,000,000 75,573 0 72,000,241(75,332) 72,000,000 75,573 0 72,000,241(75,332) 72,000,000 75,573 0 72,000,241(75,332) 72,000,000 75,573 0 72,000,241(75,332) 72,000,000 75,573 0 72,000,241(75,332) 72,000,000 75,573 0 72,000,241(75,332) 72,000,000 75,573 0 72,000,241(75,332) 72,000,000 75,573 0 72,000,241(75,332) 72,000,000 75,573 0 72,000,241(75,332) 72,000,000 75,573 0 72,000,241(75,332) 72,000,000 75,573 0 72,000,241(75,332) 72,000,000 75,573 0 72,000,241(75,332) 72,000,000 75,573 0 72,000,241(75,332) 73,000,000 75,573 0 73,000,241(75,332) 74,000,000 75,573 0 74,000,241(75,332) 75,000,000 75,573 0 75,000,241(75,332) 76,000,000 75,573 0 76,000,241(75,332) 77,000,000 75,573 0 77,000,241(75,332) 78,000,000 75,573 0 78,000,241(75,332) 79,000,000 75,573 0 79,000,241(75,332) 80,000,000 75,573 0 80,000,241(75,332) 0 75,573 80,250,000 80,250,241(75,332) 0 75,573 80,250,000 80,250,241(75,332) 0 75,573 80,250,000 80,250,241(75,332) 0 75,573 80,250,000 80,250,241(75,332) 0 75,573 80,250,000 80,250,241 4. The German company is bidding on a contract which they cannot be certain of winning. Thus, the need to execute a currency transaction is similarly uncertain, and using a forward or futures as a hedge is inappropriate, because it would force them to perform even if they do not win the contract.Using a sterling put option as a hedge for this transaction makes the most sense. For a premium of:12 million STG x = 193,200 STG,they can assure themselves that adverse movements in the pound sterling exchange rate will not diminish the profitability of the project (and hence the feasibility of their bid), while at the same time allowing the potential for gains from sterling appreciation.5. Since AMC in concerned about the adverse effects that a strengthening of the dollar would have on its business, we need to create a situation in which it will profit from such an appreciation. Purchasing a yen put or a dollar call will achieve this objective. The data in Exhibit 1, row 7 represent a 10 percent appreciation of the dollar strike vs. forward rate) and can be used to hedge against a similar appreciation of the dollar.For every million yen of hedging, the cost would be:Yen 100,000,000 x = 127 Yen.To determine the breakeven point, we need to compute the value of this option if the dollar appreciated 10 percent (spot rose to , and subtract from it the premium we paid. This profit would be compared with the profit earned on five to 10 percent of AMC’s sales (which would be lost as a result of the dollar appreciation). The number of options to be purchased which would equalize these two quantities would represent the breakeven point.Example #5:Hedge the economic cost of the depreciating Yen to AMC.If we assume that AMC sales fall in direct proportion to depreciation in the yen ., a 10 percent decline in yen and 10 percent decline in sales), then we can hedge the full value of AMC’s sales. I have assumed $100 million in sales.1) Buy yen puts# contracts needed = Expected Sales *Current ￥/$ Rate / Contract size9600 = ($100,000,000)(120￥/$) / ￥1,250,0002) Total Cost = (# contracts)(contract size)(premium)$1,524,000 = (9600)( ￥1,250,000)($￥)3) Floor rate = Exercise – Premium￥/$ = ￥/$ - $1,524,000/12,000,000,000￥4) The payoff changes depending on the level of the ￥/$ rate. The following table summarizes thepayoffs. An equilibrium is reached when the spot rate equals the floor rate.AMC ProfitabilityYen/$ Spot Put Payoff Sales Net Profit120 (1,524,990) 100,000,000 98,475,010121 (1,524,990) 99,173,664 97,648,564122 (1,524,990) 98,360,656 96,835,666123 (1,524,990) 97,560,976 86,035,986124 (1,524,990) 96,774,194 95,249,204125 (1,524,990) 96,000,000 94,475,010126 (1,524,990) 95,238,095 93,713,105127 (847,829) 94,488,189 93,640,360128 (109,640) 93,750,000 93,640,360129 617,104 93,023,256 93,640,360130 1,332,668 92,307,692 93,640,360131 2,037,307 91,603,053 93,640,360132 2,731,269 90,909,091 93,640,360133 3,414,796 90,225,664 93,640,360134 4,088,122 89,552,239 93,640,360135 4,751,431 88,888,889 93,640,360136 5,405,066 88,235,294 93,640,360137 6,049,118 87,591,241 93,640,360138 6,683,839 86,966,522 93,640,360139 7,308,425 86,330,936 93,640,360140 7,926,075 85,714,286 93,640,360141 8,533,977 85,106,383 93,640,360142 9,133,318 84,507,042 93,640,360143 9,724,276 83,916,084 93,640,360144 10,307,027 83,333,333 93,640,360145 10,881,740 82,758,621 93,640,360146 11,448,579 82,191,781 93,640,360147 12,007,707 81,632,653 93,640,360148 12,569,279 81,081,081 93,640,360149 13,103,448 80,536,913 93,640,360150 13,640,360 80,000,000 93,640,360The parent has a DM payable, and Lira receivable. It has several ways to cover its exposure; forwards, options, or swaps.The forward would be acceptable for the DM loan, because it has a known quantity and maturity, but the Lira exposure would retain some of its uncertainty because these factors are not assured.The parent could buy DM calls and Lira puts. This would allow them to take advantage of favorable。
金融英语专业术语I,J,K,L
金融英语专业术语I,J,K,L下面是店铺整理的金融英语专业术语，希望对大家有帮助。
idle capital 闲置资本idle cash (money) 闲散现金,游资idle demand deposits 闲置的活期存款immobilized capital 固定化的资产.immovable property 不动产.import regulation tax 进口调节税.imposition 征税;税;税款.imprest bank account 定额银行存款专户in force (法律上)有效的.in the tank 跳水inactive market 不活跃市场income in kind 实物所得.income tax liabilities 所得税责任,所得税债务.income taxes 所得税.indemnity 赔偿,补偿.indirect arbitrage 间接套汇indirect finance 间接金融.indirect hedging 间接套做.indirect leases 间接租赁(即:杠杆租赁).indirect rate 间接汇率indirect taxation 间接税.individual income regulation tax 个人调节税. individual income tax 个人所得税.individual savings 私人储蓄Industrial and Commercial Bank of China 中国工商银行industrial financing 工业融资.industrial-commercial consolidated tax 工商统一税.industrial-commercial income tax 工商所得税. industrial-commercial tax 工商税.inflation 通货膨胀inflation 通货膨胀inflation 通货膨胀inflation rate 通货膨胀率inflation rate 通货膨胀率inflation rate 通货膨胀率inflationary spiral 螺旋式上升的通货膨胀inflationary spiral 螺旋式上升的通货膨胀inflationary spiral 螺旋式上升的通货膨胀inflationary trends 通货膨胀趋势inflationary trends 通货膨胀趋势inflationary trends 通货膨胀趋势infrastructure bank 基本建设投资银行initial margin 初始保证金.initial margin 期初保证权.initial margins 初始保证金.initial reserve 初期准备金initial reserve 初期准备金initial reserve 初期准备金insider 内幕人installment savings 零存整取储蓄institution 机构投资者insurance appraiser 保险损失评价人. insurance broker 保险经纪人.insurance contract 保险契约,保险合同. insurance saleman 保险外勤.insurance services 保险业务insure against fire 保火险.insured 被保险人.interbank market 银行同业市场inter-business credit 同行放帐.interest on deposit 存款利息interest per annum 年息interest per month 月息interest rate futures contract 利率期货合约.interest rate policy 利率政策interest rate policy 利率政策interest rate policy 利率政策interest rate position 利率头寸.interest rate risk 利率风险.interest restriction 利息限制interest subsidy 利息补贴interest-rate risk 利息率风险.interim finance 中间金融.intermediary bank 中间银行intermediate account 中间帐户internal reserves 内部准备金internal reserves 内部准备金internal reserves 内部准备金international banking services 国际银行业务International Investment Bank (IIB) 国际投资银行international leasing 国际租赁.in-the-money 有内在价值的期权.intraday 日内intrinsic utility 内在效用.intrinsic value 实际价值,内部价值.inward documentary bill for collection 进口跟单汇票,进口押汇(汇票)isolation of risk 风险隔离.issue bank 发行银行JCB card JCB卡.joint financing 共同贷款.key risk 关键风险.kill a bet 终止赌博.land use tax 土地使用税.large deposit 大额存款large leases 大型租赁.latent inflation 潜在的通货膨胀latent inflation 潜在的通货膨胀latent inflation 潜在的通货膨胀lease agreement 租约.lease and release 租借和停租.lease broker 租赁经纪人.lease financing 租赁筹租.lease immovable 租借的不动产. lease in perpetuity 永租权.lease insurance 租赁保险.lease interest insurance 租赁权益保险. lease land 租赁土地.lease mortgage 租借抵押.lease out 租出.lease property 租赁财产.lease purchase 租借购买.lease rental 租赁费.lease territory 租借地.leaseback 回租.leasebroker 租赁经纪人.leased immovable 租借的不动产.leasehold 租赁土地.leasehold 租借期,租赁营业,租赁权. leasehold property 租赁财产. leasehold property 租赁财产. leaseholder 租赁人. leaseholder 承租人,租借人. leases agent 租赁代理.leases arrangement 租赁安排. leases company 租赁公司. leases structure 租赁结构. leasing 出租.leasing agreement 租赁协议. leasing amount 租赁金额. leasing asset 出租财产,租赁财产. leasing clauses 租赁条款. leasing consultant 租赁顾问. leasing contract 租赁合同. leasing cost 租赁成本.leasing country 承租国. leasing division 租赁部. leasing equipment 租赁设备. leasing industry 租赁业. leasing industry (trade) 租赁业. leasing money 租赁资金. leasing period 租赁期.leasing regulations 租赁条例. legal interest 法定利息legal tender 法定货币legal tender 本位货币,法定货币lessee 承租人,租户.lessor 出租人.letter of confirmation 确认书.letter transfer 信汇leveraged leases 杠杆租赁.lien 扣押权,抵押权.life insurance 人寿保险.life of assets 资产寿命.limit order 限价指令limited floating rate 有限浮动汇率line of business 行业,营业范围,经营种类. liquidation 清仓liquidity 流动性liquidity of bank 银行资产流动性liquidity of bank 银行资产流动性liquidity of bank 银行资产流动性listed stock 上市股票livestock transaction tax 牲畜交易税. loan account 贷款帐户loan amount 贷款额.loan at call 拆放.loan bank 放款银行loan volume 贷款额.loan-deposit ratio 存放款比率loan-deposit ratio 存放款比率loan-deposit ratio 存放款比率loans to financial institutions 金融机构贷款loans to government 政府贷款local bank 地方银行local income tax (local surtax) 地方所得税. local surtax 地方附加税.local tax 地方税.long arbitrage 多头套利.long position 多头头寸long position 多头寸;买进的期货合同. long-term certificate of deposit 长期存款单long-term credit bank 长期信用银行long-term finance 长期资金融通.loss leader 特价商品,亏损大项loss of profits insurance 收益损失保险. loss on exchange 汇兑损失low-currency dumping 低汇倾销low-currency dumping 低汇倾销.。
FRM 金融风险管理师考试大纲
Quantitative Analysis Readings:
1. Linda Allen, Jacob Boudoukh, Anthony Saunders, Understanding Market, Credit and Operational Risk: The Value At Risk Approach (Oxford: Blackwell Publishing, 2004). Chapter 2 – Quantifying Volatility in VaR Models th John Hull, Options, Futures, and Other Derivatives, 6 ed. (New York: Prentice Hall, 2006). Chapter 19 – Estimating volatilities and correlations rd Philippe Jorion, Value at Risk: The New Benchmark for Managing Financial Risk, 3 ed. (New York: McGraw-Hill, 2007). Chapter 9 – Forecasting risk and correlations Chapter 12 – Monte Carlo Methods Lampros Kalyvas and Ioannis Akkizidis, Integrated Market, Credit and Operational Risk: A Complete Guide for Bankers and Risk Professionals (London: Risk Books, 2006). Chapter 4 – Extreme Value Theory and in Risk Management Murray R. Spiegel, John Schiller, and R. Alu Srinivasan, Probability and Statistics, Schaum’s Outlines, 2nd ed. (New York: McGraw-Hill, 2000). Chapter 1 – Basic Probability Chapter 2 – Random Variables and Probability Distributions Chapter 3 – Mathematical Expectation Chapter 4 – Special Probability Distributions Chapter 5 – Sampling Theory Chapter 6 – Estimation Theory Chapter 7 – Tests of Hypotheses and Significance Chapter 8 – Curve Fitting, Regression, and Correlation NOTE: Candidates should not memorize formulas of distributions but should understand when it is appropriate to use a particular type of distribution.
国际金融计算公式
国际金融计算公式1. 投资回报率（Rate of Return）公式：投资回报率是衡量一项投资的盈利能力的指标。
它可以通过以下公式计算：Rate of Return = (Ending Value - Beginning Value + Dividends) / Beginning Value2. 资本资产定价模型（Capital Asset Pricing Model，CAPM）：资本资产定价模型是用来衡量资产预期回报的理论模型。
CAPM模型可以使用以下公式计算：Expected Return = Risk-free Rate + Beta * (Market Return - Risk-free Rate)3. 随机游走模型（Random Walk Model）：随机游走模型是一种金融市场价格变动的模型。
它认为价格走势是随机波动的，无法预测。
随机游走模型可以使用以下公式计算：4. 贴现现金流量（Discounted Cash Flow，DCF）模型：贴现现金流量模型是一种计算投资项目的净现值的方法。
它可以使用以下公式计算：Net Present Value = ∑(Cas h Flow / (1 + Discount Rate)^t)5. 黑-斯科尔斯公式（Black-Scholes Formula）：黑-斯科尔斯公式是用于计算期权定价的基本公式。
它可以使用以下公式计算：Call Option Price = S * N(d1) - X * e^(-r * T) * N(d2)Put Option Price = X * e^(-r * T) * N(-d2) - S * N(-d1)d1 = (ln(S/X) + (r + σ^2/2) * T) / (σ * √T)d2=d1-σ*√T这些公式是国际金融计算中常用的一些公式，用于计算投资回报率、资产定价、价格变动、现金流量和期权定价等。
它们可以帮助从业人员进行金融分析、风险管理和投资决策。
信用风险专业术语解释词汇解析
信用风险专业术语解释词汇解析信用风险专业术语解释内部融资率(1 nternal financing ratio)内部融资率衡量企业资本费用中有多少来自于经营性现金流量。
违约事件(Event 0f Default)借款人不履行契约。
现金流量分析(Cash flow analysis)衡量企业以现金偿还贷款和其他债务能力的分析方法。
对现金流量比率的分析方法有：比较比率自身的变化趋势;和其他企业的比率作比较。
有时候也可以和销售比率的最大值或最小值进行比较。
信用机构(Credit Bureau)为客户提供企业信用信息的机构。
一级资本(Tier 1 Capital)银行的核心资本，包括股本金和准备金，但不包括评估增值储备(revaluation reserves)。
营运资本(Working capital)企业在流动资产上的投资。
对营运资本的恰当定义是存货加上债权减去流动负债。
企业所需营运资本的数量经常波动，有时会巨幅波动。
对营运资本的需要与企业的商业循环周期、现金循环周期相关。
逾期应收款报告(Aged DebtorsReport)列明逾期应收款和过期时间长度的报告。
SWOT分析(SWOT analysis) 分析经营风险的方法。
即对企业的优势(strengths)、弱点(weaknesses)、机会(opportunities)、威胁(threats)列表分析。
Z值(Z Score)指对企业财务状况、破产可能性的量化评估。
Z 值主要利用核心的财务指标进行评估，它是由企业破产预测模型得出。
Z值模型(Z score models)用少量关键指标衡量企业破产风险的模型。
每一个z值模型都有自己的关键指标。
不同的z值模型适用于不同的行业和不同的国家。
巴塞尔协议(Basle Agreement)由各国中央银行、国际清算银行成员签订的国际协议，主要是关于银行最小资本充足的要求。
它也被称为BIS规则(BIS rules)。
商业银行管理学习题7
商业银行管理学习题7Chapter 7Risk Management for Changing Interest Rates: Asset-Liability Management and Duration TechniquesFill in the Blank Questions1. The ___________________ view of assets and liabilities held that the amount and types of depositswas primarily determined by customers and hence the key decision a bank needed to make waswith the assets.Answer: asset management 资产管理2. Recent decades have ushered in dramatic changes in banking. The goal of __________________was simply to gain control of the bank's sources of funds.Answer: liability management 负债管理4. __________________________ are those assets which mature or must be repriced within theplanning period.Answer: Interest-sensitive assets 利率敏感性资产5. __________________________ is the difference between interest-sensitive assets andinterest-sensitive liabilities.Answer: Dollar interest-sensitive gap6. A(n)__________________________ means that the bank has more interest-sensitive liabilitiesthan interest-sensitive assets.Answer: negative interest-sensitive gap (liability sensitive)7. The bank's__________________________ takes into account the idea that the speed (sensitivity)of interest rate changes will differ for different types of assets and liabilities.Answer: weighted interest-sensitive gap 加权利率敏感性缺口8. __________________________ is the risk due to changes in market interest rates which canadversely affect the bank's net interest margin, assets and equity.Answer: Interest rate risk9. The__________________________ is the rate of return on a financial instrument using a 360 dayyear relative to the instrument's face value.Answer: bank discount rate10. The __________________________ component of interest rates is the risk premium风险溢价 dueto the probability that the borrower will miss some payments or will not repay the loan.Answer: default risk premium 违约风险溢价11. __________________ is the weighted average maturity for a stream of future cash flows. It is adirect measure of price risk.Answer: Duration12. __________________________ is the difference between the dollar-weighted duration of the assetportfolio and the dollar-weighted duration of the liability portfolio.Answer: Duration gap13. A(n)__________________________ duration gap means that fora parallel increase in all interestrates the market value of net worth will tend to decline.Answer: positive14. A(n)__________________________ duration gap means that fora parallel increase in all interestrates the market value of net worth will tend to increase.Answer: negative15. When a bank has a positive duration gap a parallel increase in the interest rates on the assets andliabilities of the bank will lead to a(n) __________________ in the bank's net worth.Answer: decrease16. When a bank has a negative duration gap a parallel decrease in the interest rates on the assets andliabilities of the bank will lead to a(n)_________________________ in the bank's net worth.Answer: decrease17. U.S. banks tend to do better when the yield curve is upward-sloping because they tend to have____________ maturity gap positions.Answer: positive18.When a borrower has the right to pay off a loan early which reduced the lender’s expected rate ofreturn it is called .Answer: call risk 赎回风险19.Interest sensitive assets less interest sensitive liabilities divided by total assets of the bank is knownas .Answer: relative interest sensitive gap相对利率敏感性缺口20.Interest sensitive assets divided by interest sensitive liabilities is known as .Answer: Interest sensitivity ratio 灵敏度率True/False QuestionsT F 1. Asset management strategy in banking assumes that the amount and kinds of deposits and other borrowed funds a bank attracts are determined largely by its management.Answer: FalseT F 2. If interest rates fall when a bank is in an asset-sensitive position资产敏感性银行 its net interest margin will rise.Answer: FalseT F 3. A liability-sensitive ban 敏感性银行k will experience an increase in its net interest margin if interest rates rise.Answer: FalseT F 5. Short-term interest rates tend to rise more slowly than long-term interest rates and to fall more slowly when all interest rates in the market are headed down.Answer: FalseT F 6. A financial institution is liability sensitive if its interest-sensitive liabilities are less than its interest-sensitive assets.Answer: FalseT F 7. If a bank's interest-sensitive assets and liabilities are equal than its interest revenues from assets and funding costs from liabilities will change at the same rate.Answer: TrueT F 8. Banks with a positive cumulative interest-sensitive gap will benefit if interest rates rise, but lose income if interest rates decline.Answer: TrueT F 9. Banks with a negative cumulative interest-sensitive gap will benefit if interest rates rise, but lose income if interest rates decline.Answer: FalseT F 10. For most banks interest rates paid on liabilities tendto move more slowly than interest rates earned on assets.Answer: FalseT F 11. Interest-sensitive gap techniques do not consider the impact of changing interest rates on stockholders equity.Answer: TrueT F 12. Interest-sensitive gap, relative interest-sensitive gap and the interest-sensitivity ratio will often reach different conclusions as to whether the bank is asset or liability sensitive.Answer: FalseT F 16. Weighted interest-sensitive gap is less accurate than interest-sensitive gap in determining the affect of changes in interest rates on net interest margin.Answer: FalseT F 17. A bank with a positive duration gap experiencing a rise in interest rates will experience an increase in its net worth.Answer: FalseT F 18. A bank with a negative duration gap experiencing a rise in interest rates will experience an increase in its net worth.Answer: TrueT F 21. A bank with a negative duration gap experiencing a decrease in interest rates will experience an increase in its net worth.Answer: FalseT F 23. Duration is a direct measure of the price risk of a bond.Answer: TrueT F 24. A bond with a greater duration will have a smaller price change in percentage terms when interest rates change.Answer: FalseMultiple Choice Questions1.According to the textbook, the maturing of the liabilitymanagement techniques, coupled withmore volatile interest rates, gave birth to the __________________ approach which dominates banking today. The term that correctly fills in the blank in the preceding sentence is:A) Liability managementB) Asset managementC) Risk managementD) Funds managementE) None of the above.Answer: D2.The principal goal of interest-rate hedging strategy规避利率风险 is to hold fixed a bank's:A) Net interest marginB) Net income before taxesC) Value of loans and securitiesD) Noninterest spreadE) None of the above.Answer: A3. A bank is asset sensitive资产敏感性银行 if its:A) Loans and securities are affected by changes in interest rates.B) Interest-sensitive assets exceed its interest-sensitive liabilities.C) Interest-sensitive liabilities exceed its interest-sensitive assets.D) Deposits and borrowings are affected by changes in interest rates.E) None of the above.Answer: B4. A bank with a negative interest-sensitive GAP:A) Has a greater dollar volume of interest-sensitive liabilities than interest-sensitive assets.B) Will generate a higher interest margin if interest rates rise.C) Will generate a higher interest margin if interest rates fall.D) A and B.E) A and C.Answer: E5.The fact that a consumer who purchases a particular basket of goods for $100 today has to pay $105next year for the same basket of goods is an example of which of the following risks:A) Inflation riskB) Default riskC) Liquidity riskD) Price riskE) Maturity riskAnswer: A6.If a bank has a positive GAP, an increase in interest rates will cause interest income to __________,interest expense to__________, and net interest income to __________.A)Increase, increase, increaseB)Increase, decrease, increaseC)Increase, increase, decreaseD)Decrease, decrease, decreaseE)Decrease, increase, increaseAnswer: A7.If a bank has a negative GAP, a decrease in interest rates will cause interest income to __________,interest expense to__________, and net interest income to__________.A)Increase, increase, increaseB)Increase, decrease, increaseC)Increase, increase, decreaseD)Decrease, decrease, decreaseE)Decrease, decrease, increaseAnswer: E8. If Fifth National Bank's asset duration exceeds its liability duration and interest rates rise, this willtend to __________________ the market value of the bank's net worth.A) LowerB) RaiseC) StabilizeD) Not affectE) None of the aboveAnswer: A9. A bank has an average asset duration of 4.7 years and an average liability duration of 3.3 years. Thisbank has $750 million in total assets and $500 million in total liabilities. This bank has:A) A positive duration gap of 8.0 years.B) A negative duration gap of 2.5 years.C) A positive duration gap of 1.4 years.D) A positive duration gap of 2.5 years.E) None of the above.Answer: D10.A bank has an average asset duration of 1.15 years and an average liability duration of 2.70 years.This bank has $250 million in total assets and $225 million intotal liabilities. This bank has:A) A negative duration gap of 1.55 years.B) A positive duration gap of 1.28 years.C) A negative duration gap of 3.85 years.D) A negative duration gap of 1.28 years.E) None of the above.Answer: D11.The duration of a bond is the weighted average maturity of the future cash flows expected to bereceived on a bond. Which of the following is a true statement concerning duration?A) The longer the time to maturity, the greater the durationB) The higher the coupon rate, the higher the durationC) The shorter the duration, the greater the price volatilityD) All of the above are trueE) None of the above are trueAnswer: A12.A bond has a duration of 7.5 years. Its current market price is $1125. Interest rates in the market are7% today. It has been forecasted that interest rates will rise to 9% over the next couple of weeks.How will this bank's price change in percentage terms?A) This bond's price will rise by 2 percent.B) This bond's price will fall by 2 percent.C) This bond's price will fall by 14 .02 percentD) This bond's price will rise by 14.02 percentE) This bond's price will not changeAnswer: C。
EffectiveHedging...
Effective Hedging Under IAS 39Jeffrey B. Wallace Managing PartnerGreenwich Treasury Advisors© 2004 by Greenwich Treasury Advisors LLC. All rights reserved worldwide. May 6, 2004Executive SummaryAfter a review of the general IAS 39 effectiveness testing rules, including critical terms, this article discusses how to achieve hedge accounting for these common corporate hedges: 1. Interest rate swaps (IRS).2. Cross-currency interest rate swaps (CCIRS).3. Forecast interco flows.4. Foreign currency interco loans.5. Netting of offsetting cash flow exposures.6. Options.General Effectiveness Testing Rules IAS 39.AG105 requires that any hedges atinception must be expected to almost fully offset changes in expected cash flows or fair value of the hedged item. As explained in IAS 39.BC136 and the Guidance on Implementing IAS 39 (IG) F.4.6, deliberate underhedging of the exposure, a FAS 133 technique that can minimize reported ineffectiveness, is disallowed in IAS 39. As with FAS 133, the prospective expectation that the hedge will almost fully offset the hedged item can be justified in any number of ways, inclu-ding statistical testing, as described at IG F.4.4. IAS 39.AG108 does state that if the critical terms of the hedge instrument and the hedged item are the same, then the hedging relationship is likely to be an effective hedge. This is also re-peated in IAS 39.BC35, which states the Board’s opinion that in many cases no ineffectiveness would be recognized for a single currency IRS whose critical terms match the hedged item’s. Thus, critical terms can be used to justify theprospective expectation that the hedge will almost fully offset the hedged item.However, unlike FAS 133, if critical terms are the same, one still has to do the retrospective effectiveness test. IAS 39.AG105 requires that all hedges must do retrospective testing using the dollar offset ratio method and fall between 80-125%. This is more stringent than FAS 133, which also allows retrospective statistical methods. It seems that the Board feels that testing is necessary due risk of adverse counter-party credit changes, which could affect the change in the hedge instrument’s fair value. Of course, in the common situation where critical terms remain the same with no counter-party credit deterioration, then the hedge will be 100% effective when the dollar offset ratio is calculated.Swap HedgingIAS 39.76 explicitly allows CCIRS hedging, with an example given in IG F.1.12. However, FAS 133’s shortcut treatment for perfect singlecurrency IRS was considered by the Board in IAS 39.BC132-135 and rejected.This is not really a problem because IG F.5.5 shows the use of the hypothetical derivative method for effectiveness testing. Thus, as with FAS 133, one can justify documenting effective-ness tests in which the changes in the fair value of the hedge item are modeled as if the hedged item were a hypothetical derivative perfectly matching the terms of the hedged item. Then, this proxy calculation is used with the changes in the fair value of the actual hedging instrument in calculating the retrospective dollar offset ratio test and any P&L ineffectiveness.Putting everything together, perfect cash flow or fair value IRS hedging of debt or invest-ments can be justified as highly effective on a prospective basis because critical terms are the same. Retrospective testing is done in the usual way by calculating the ratio of the change in the fair value of the hedging swap with the change in the fair value of a hypothetical perfect swap modeling the hedged item.Since the terms of the real swap and the hypothetical swap exactly offset each other by definition, the dollar offset ratio is 100% and there is no ineffectiveness. Please note that this hypothetical derivative methodology can also be used for effectiveness testing of imperfect IRS and, as we will see, imperfect CCIRS hedges.Similarly, the hypothetical derivative method can also be used to show 100% effective-ness for perfect CCIRS hedging from of external debt or investments from fixed to fixed or floating to fixed.As with FAS 133, if one desires to go from floating loan to floating loan, one should do a floating-to-floating swap, but not designate it as hedge instrument. The mark-to-market on an AA-rated floating-to-floating swap will only have small valuation around zero due to interest rate changes, but will have an FX change in value sufficient to offset the IAS 21 spot-to-spot revaluation on the foreign currency loan. The net P&L impact of both items should be acceptably small.As we will discuss in more detail below, these same CCIRS hedging rules will also apply to hedging foreign entity interco loans. Hedging Foreign Entity Interco Flows Hedging interco flows under IAS 39 requires an understanding of IAS 21, The Effects of Changes in Foreign Exchange Rates. IAS 21 is the coun-terpart to FAS 52, describing how foreign unit financial statements are consolidated with the parent results into the parent reporting currency.Unlike FAS 52, IAS 21 distinguishes between foreign subs that are “integral to the operations of the reporting enterprise” and those that are “foreign entities.” IAS 39 uses this categorization to allow hedging of only foreign entity interco FX exposures.Per IAS 21.23, “A foreign operation that is integral to the operations of the reporting en-terprise carries on its business as if it were an extension of the reporting enterprise’s operations.”In such cases, IAS 21.27 requires that “The financial statements of the foreign operation ... should be translated … as if all its transactions had been entered into by the reporting enterprise itself,” i.e., its functional currency is the parent’s reporting currency.A foreign entity, as described in IAS 21.27, “… accumulates cash and other monetary items, incurs expenses, generates income and perhaps arranges borrowings, all substantially in its local currency… the change in the exchange rate affects the reporting enterprise’s net investment in the foreign entity rather than the individual monetary and non-monetary items held by the foreign entity.” Here, the consolidated accounting is identical to FAS 52 in which the functional currency is the local currency.IAS 21.26 lists five factors for classifying foreign subs. A pure importer of parent products would be integral. A pure local sub with 100% local revenues and costs would be a foreign entity. However, a large manufacturing and importing foreign sub would be a foreign entity.Regarding interco hedging, IAS 39.80 is inadvertently ambiguous:“As an exception, the foreign currencyrisk of an intragroup monetary item (eg apayable/receivable between two sub-sidiaries) may qualify as a hedged item inthe consolidated financial statements ifit results in an exposure to foreignexchange rate gains or losses that are notfully eliminated in consolidation underIAS 21 …” [author’s emphasis]This happens between two subs qualifying as foreign entities. The text appears to allow hed-ging of only recognized intragroup monetary items, not forecast items. However, the clear intent of the Board is that all FX risks associated with such kinds of interco monetary items are hedgeable, including forecasted interco sales, purchases, interest, fees, etc., allowing cash flow hedge accounting. The Board may clarify their intent in the next several months.Thus, if a foreign subsidiary is a foreign entity, then IAS 39.80 does allow hedging of forecast interco flows, just as FAS 133 does. However, if the foreign sub is an integral or branch operation under IAS 21, then forecast interco flows are not hedgeable. In this case, then all of the external foreign currency flows of the integral sub are hedgeable in accordance with the usual rules, just as if the sub’s foreign currency flows were actual flows of the parent.•+1-203-622-6900•**********************************Hedging Interco LoansIAS 39 is unequivocal that the interest rate risk of an interco loan is not a hedgeable item. If a Central Treasury wants to lend floating and use an interest rate swap to achieve the economic impact of fixed rate debt, then Central Treasury must identify a suitable external debt to receive hedge accounting on the swap. Please note that there are numerous discussions in IAS 39 and in the IG questions showing acceptable techniques for effectively hedging various kinds of intra-group interest rate risk.As discussed, for foreign entities per IAS 21, IAS 39.80 allows foreign currency intragroup monetary items as eligible FX risk hedge items. Thus, any cross-currency interest rate swap on an interco monetary item must be used as a pure FX hedge, not as a mixed FX and interest rate hedge (see IG F.1.12.).As discussed with CCIRS hedges of external items, one could achieve a fixed rate interco loan by lending a fixed rate interco loan in one currency and swapping with a fixed-fixed CCIRS into another currency or by lending an interco floating in one currency and swapping into fixed currency in another currency. Floating-to-floating is best done by accepting the net mark-to-market on the swap and the interco item without hedge accounting.Netting Offsetting FX Cash Flow Exposures Unlike FAS 133, IAS 39 does not allow the net-ting of eligible offsetting cash flow exposures with internal contracts. However, IG F.1.4, IG F.1.5 and IG F.1.6 show how netting can be effectively achieved with some additional work.First, any entity in the group can hedge, on an after-tax basis if desired, any other group entity’s FX, interest rate, commodity or credit risk. Parenthetically, this is a very useful difference from FAS 133.Second, while hedge accounting for internal contracts is not allowed for the consolidated reports, it is allowed for individual unit financial statements and for segment reporting of the consolidated group. However, if done, the hedging entries must be reversed in the final consolidation.With suitable documentation, a foreign unit can receive hedge accounting for an internal for-ward with a treasury center (TC) for the foreign unit’s own financials. The TC executes an off-setting external contract, and also documents it as a hedge of the foreign unit’s exposure. Then, the group will receive hedge accounting at the consolidated level. If hedge accounting is not needed at the foreign unit level or for segment reporting, then only the TC’s hedge document-ation is needed.As IG F.1.6 describes in some detail, one can achieve the effect of netting offsetting exposures by doing internal contracts and then designating the net residual as a hedge of the larger exposure. For example, Sub A and B are euro functional entities, and Sub A forecasts $500 in dollar reve-nues and B forecasts $300 in dollar expenses. Both do internal contracts with a TC and both do the documentation qualifying for hedge accounting on their own stand-alone financials. The TC sells $200 forward with an external party and documents this as an IAS 39 cash flow exposure of A’s first $200 in forecast revenue.A perhaps easier solution is to have the bank write two simultaneous contracts with the TC, one selling $500 and the other buying $300, and use both as separate IAS 39 cash flow hedges for Subs A and B, where both will receive hedge accounting at the consolidated level. This “gross basis” hedging is approved in IG F2.15. Option HedgingNeither IAS 39 nor the IG explicitly allow FAS 133’s G20’s 100% effectiveness for perfect Euro-pean option hedging. IAS 39 does discuss how option hedges can be effective by excluding the option’s time value, which will result in unpredictable and often unacceptable P&L volatility since excluded time value goes directly to P&L.However, IAS 39 specifically does not require any single effectiveness test for any particular hedging instrument. In my opinion, sound theoretical arguments can be made to justify 100% effectiveness with perfect European option hedges using the hypothetical derivative effective method.•+1-203-622-6900•**********************************ConclusionsThis short paper is not intended to be an exhaustive description of hedging under IAS 39. For example, it does not discuss interest rate portfolio hedging, which has new rules issued in March 2004. Nor does it focus on other dif-ferences between IAS 39 and FAS 133, e.g., the acceptable use under IAS 39, subject to certain restrictions, of balance sheet exposures as hedging instruments in cash flow hedging, something that is not allowed under FAS 133. FAS 133 provides for a 60 day “grace period” for forecast error, which is not mentioned anywhere in IAS 39 or the IG, but probably will be accep-table to most auditors for IAS 39.In my opinion, for common corporate (i.e.,non-financial institution) hedging, nearly all reasonable, non-exotic hedges that are effective under FAS 133 will be effective under IAS 39, and vice versa. How one may document these hedges may differ under the two GAAPs, and there may be additional work involved in that documentation, but the IASB has done an ad-mirable job in developing a readable standard that in many ways is more flexible and more reasonable than FAS 133, and generates nearly the same results.Any person wishing to become more know-ledgeable about IAS 39 hedger is advised to order the “FAS 133 Green Book” from the FASB. This 850 page book is the current version of FAS 133 with all amendments, and includes over 175 “DIG Issues,” which answer common questions about how to implement FAS 133. Many of these DIG Issues provide substantial insight and, per-haps, authoritative guidance acceptable to your auditors, for implementing IAS 39. About the AuthorJeff Wallace is Managing Director of Greenwich Treasury Advisors LLC, a Greenwich, CT USA treasury consulting firm that he founded in 1992. He is the author of the FAS 133 chapter in the International Finance and Accounting Hand-book (2003, John Wiley & Sons) as well as of The Group of 31 Report: Core Principles for Managing Multinational Foreign Exchange Risk (1999, Association for Finance Professionals). These and other useful treasury articles may be downloaded at:/articles/.His corporate experience includes being Vice President – International Treasury at American Express, and was Assistant Treasurer at both Seagram and Dun & Bradstreet. Jeff was also a CPA at Price Waterhouse.For more information on the firm’s expertise in developing GAAP-effective hedging strategies for US, International and Canadian GAAP, visit:/services/gaap/. Jeff‘s email address is:**********************************. Greenwich Treasury Advisors has just announced that it has agreed to merge with Treasury Alliance LLC, where Jeff Wallace will be a partner. Jeff may be also reached at*********************************.•+1-203-622-6900•**********************************。
hedging
hedgingHedging: An Essential Risk Management StrategyIntroductionIn today's dynamic and volatile business environment, organizations face numerous risks that can significantly impact their financial performance and stability. From fluctuations in currency exchange rates to changes in interest rates and commodity prices, these risks can pose serious threats to a company's profitability. As a result, businesses have turned to various risk management strategies to protect themselves against adverse market movements. One such strategy is hedging. This document aims to provide a comprehensive understanding of hedging, its benefits, and different hedging techniques.What is Hedging?Hedging, in the context of finance and investment, refers to a risk management strategy used to offset potential losses resulting from adverse market movements. It involves taking an opposing position in a related asset or financialinstrument to reduce or eliminate the impact of unfavorable price fluctuations. The primary objective of hedging is not to generate profits but to protect against potential losses.Benefits of HedgingOne of the significant benefits of hedging is the ability to minimize or eliminate the impact of market volatility on a company's financial position. By hedging, businesses can ensure a more predictable and stable cash flow, safeguarding their profitability even in turbulent market conditions. Additionally, hedging can provide protection against unexpected events that can impact the value of assets or liabilities, such as natural disasters or political turmoil.Hedging Techniques1. Forward Contracts:Forward contracts are one of the most commonly used hedging techniques in international trade. It involves entering into a contract to buy or sell a specific asset at a predetermined price on a future date. By doing so, businesses can lock in a future price, effectively hedging against adverse changes in exchange rates or commodity prices.2. Options:Options provide the right, but not the obligation, to buy or sell an asset at a predetermined price within a specified period. Hedging with options allows businesses to limit downside risk while still having the opportunity to benefit from favorable market movements. This flexibility makes options an attractive hedging tool for managing volatile markets.3. Futures Contracts:Similar to forward contracts, futures contracts are agreements to buy or sell an asset at a predetermined price on a specific future date. Futures contracts are standardized and traded on exchanges, making them more liquid than forward contracts. They provide businesses with a transparent and efficient hedging mechanism.4. Swaps:Swaps involve the exchange of cash flows between two parties based on specified terms and conditions. Hedging with swaps allows companies to manage interest rate risk, currency risk, or commodity price risk effectively. For example, a company with a variable interest rate loan can enter into aswap agreement to convert it into a fixed interest rate, protecting against potential rate hikes.Risk ConsiderationsWhile hedging is an effective risk management strategy, it is essential to understand that it also carries certain risks. Incorrect hedging decisions or market movements contrary to a company's expectations can result in losses. Moreover, hedging instruments may come with additional costs, such as transaction fees or premiums paid for options. Therefore, it is crucial for businesses to carefully analyze their risk exposure, evaluate the appropriateness of different hedging techniques, and seek expert advice when necessary.ConclusionIn a rapidly changing business landscape, hedging has emerged as an indispensable risk management strategy. By employing various hedging techniques, businesses can mitigate the impact of adverse market movements and protect their financial well-being. While it is crucial to understand the risks associated with hedging, when implemented correctly, it can provide companies with the confidence and stability necessary to navigate uncertainmarket conditions. As businesses continue to face an ever-increasing level of market volatility, incorporating hedging as part of a comprehensive risk management strategy is essential for long-term success.。
HedgingStrategie...
Chapter4Hedging Strategies Using Futures and Options4.1Basic Strategies Using FuturesWhile the use of short and long hedges can reduce(or eliminate in some cases -as below)both downside and upside risk.The reduction of upside risk is certaintly a limation of using futures to hedge.4.1.1Short HedgesA short hedge is one where a short position is taken on a futures contract.It is typically appropriate for a hedger to use when an asset is expected to be sold in the future.Alternatively,it can be used by a speculator who anticipates that the price of a contract will decrease.1.For example,assume a cattle rancher plans to sell a pen of feeder cattlein March based on the spot prices at that time.The rancher can hedge in the following manner.Currently,2425•A March futures contract is purchases for a price of$150•For simplicity,assume the rancher antipates(and does sell)selling50,000pounds(1contract)•Spot prices are currently$155•What happens when the spot price is March decreases to$140?–Rancher loses$10per100pounds on the sale from the decreased price–Rancher gains$10by selling the futures contract for$150and immediately buying(to close out)for$140–Effective price of the sale is$150•What happens when the spot price is March increases to$160?–Rancher gains$10per100pounds on the sale from the increased price–Rancher loses$10by buying the futures contract for$150and immediately selling(to close out)for$160–Effective price of the sale is$150•The seller has effectively locked in on the price prior to the sale byoffsetting gains/losses2.Now assume the same for a speculator who takes a short position on aMarch futures contract at$150•If the price falls to$140,the speculator sells for$150and immediatelybuys for$140,leading to a gain of$10per100pounds[$5,000gainin value for one contract]•If the price increases to$160,the speculator loses$5,000264.1.2Long HedgesA long hedge is one where a long position is taken on a futures contract.It is typically appropriate for a hedger to use when an asset is expected to be bought in the future.Alternatively,it can be used by a speculator who anticipates that the price of a contract will increase.1.For example,assume an oil producer plans on purchasing2,000barrels ofcrude oil in August for a price equal to the spot price at the time.The producer can hedge in the following manner by using crude oil futures from the NYMEX.Currently,•An August oil futures contract is purchases for a price of$59perbarrel•Spot prices are currently$60•What happens when the spot price in August decreases to$55?–Producer gains$4per barrel on the purchase from the decreased price–Producer loses$4by buying the futures contract for$59and immediately selling(to close out)for$55–Effective price of the sale is$59•What happens when the spot price in August increases to$65?–Producer loses$6per barrel on the purchase from the increased price–Producer gains$6by selling the futures contract for$59and immediately buying(to close out)for$65–Effective price of the sale is$59•The producer has effectively locked in on the price prior to the saleby offsetting gains/losses272.Now assume the same for a speculator who takes a long position on aMarch futures contract at$59•If the price increases to$65,the speculator sells for$59and imme-diately buys for$65,leading to a gain of$6per barrel[$12,000gainin value forfive contracts]•If the price increases to$55,the speculator loses$12,0004.2Basis RiskIn practice,hedges are often not as straightforward as has been assumed in this course due to the following reasons1.The asset to be hedged might not be exactly the same as the asset under-lying the futures contract•actual commodity,weight,quality,or amount might differ2.The hedger might not be exactly certain of the when the asset will bebought or sold3.Futures contract might need to be closed out before its delivery month•many commodities do not have12deliery monthsBasis is the difference between the cash price for the asset to be hedged and the futures price.If the hedged asset is identical to the commodity underlying the futures contract,the cash price and futures price should converge as delivery nears.Changes in basis price do not impact the futures contract but do impact the sales price for the producted to be hedged.Below is afigure of the basis prices associated with Montana beef cows. Notice the following:28Ͳ$10Ͳ$5$0$5$10$15$20$25Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Average Monthly Basis, By Cwt Steers, Billings 2000to 2010500Ͳ600 lbs 600Ͳ700 lbs 700Ͳ800 lbs•Basis prices have strong seasonal patterns•Basis prices are not known and provide an additional layer of risk above and beyond price in the futures market•Basis risk is often be hedged through the use of forward contracts •Basis volatility is relatively small compared to price volatility4.3Cross-HedgingIn the case when an asset is looking to be hedged and there is not an exact replication in the futures/options market,cross hedging can be employed.For example,if an airline is concerned with hedging against the price of jef fuel,but jet fuel futures are not actively traded,they might consider the use of29heating oil futures contracts.•Hedge ratio-The ratio of the size of a position in a hedging instrument to the size of the position being hedged.–When an asset to be hedged is exactly the same as the asset under-lying the futures contract,the hedge ratio is equal to1.0–The existence of basis risk often prevents this from happening–It is not always optimal to cross hedge(not is it usually possible)to hedge such that the hedge ratio equals1.0•Mimimum Variance Hedge ratio-The hedge ratio where the variance of the value of the hedged position is minimized–For example,in the case of using heating oil futures(HOF)to hedge jet fuel prices(JFP)–The optimal hedge ratio(h∗)can be computed ash∗=ρσJF PσHOF(4.1)whereρ=corr(ΔHOF,ΔJF P)(4.2)σJF P=stdev(ΔJF P)(4.3)σHOF=stdev(ΔHOF)(4.4)ΔJF P=JF P t−JF P t−1(4.5)ΔHOF=HOF t−HOF t−1(4.6)∗What is the MVHR whenρ=0.928,σJF P=0.0263,σHOF=0.0313?0.77830∗This implies that the airline should hedge by taking a positionin heating oil futures that corresponds to77.8%of its exposure.–The Optimal number of contracts(N∗)can be computed asN∗=h∗Q JF PQ HOF(4.7)where Q JF P=size of position being heged(Jet Fuel Prices)and Q HOF=sizeof futures contract(Heating oil futures).∗heating oil contracts on NYMEX include42,000gallons∗assume the airline has exposure on2Million gallons of jet fuel.∗What is N∗37.034.4An Aside on StatisticsFor these statistical measures,assume we have two variables where x1=(5,7,5,4,9,6) and x2=420,630,330,380,800,500)•Mean¯x1=1nx1i=16(5+7+5+4+9+6)=6(4.8)In excel,use AVERAGE function •Standard Deviationσx1=x1i−¯x12n−1=1+1+1+4+9+05=1.789(4.9)In excel,use STDEV function •Correlationρ=(x1i−¯x1)(x2i−¯x2)(x1i−¯x1)2(x2i−¯x2)2=0.962(4.10)31In excel,use CORREL function•Linear RegressionTo determine the intercept(a)and slope(b)in y=a+bx,use INTER-CEPT and SLOPE functions in excel.Note:R2from the regression is equal to the correlation,ρ.4.5Trading Strategies Using OptionsBasic trading strategies include the use of the following:•Take a position in the option and the underlying stock•Spread:Take a position in2or more options of the same type(bull,bear, box,butterfly,calendar,and diagonal)•Combination:Position in a mixture of calls and puts(straddle,strips,and straps)4.5.1Trading Strategies Involving Options•A long position in a futures contract plus a short postiion in a call option (covered call)(a)The long position“covers”the investor from the payoffon writing the short call that becomes necessary if prices increase.Downside risk remains if prices drop.•A short position in a futures contract plus a long postiion in a call option(b)•A long position in a futures contract plus a long position in a put option (protective put)(c)32•A short position in a put option witha short position in a futures contract (d)The profits payoffs from these strategies is shown below.Fundamentals of Futures and Options Markets, 7th Ed, Ch 11, Copyright © John C. Hull 2010Positions in an Option & theUnderlying (Figure 11.1, page 250)Profit S T KProfitS TKProfit S TKProfit S TK (a)(b)(c)(d)Notice the similarities with these plots and that of the simple put and call strategies discussed in chapter 9.To illustrate,we define the put-call parity according to the equation below:p +S 0=c +K exp −rt +D (4.11)where p is the price of a European put,S 0is the futures price,c is the price of a European call,K is the strike price for the call and put,and r is the risk-free interest rate,T is the time to maturity of both call and put,and D is the present value of the divends anticipated during the life of the options.33rl Price Range Total PayoffS T4.5.2Spreads•Bull Spreads-Long and Short positions on a call option where strike price is higher on the short position(K2>K1).–Investor collects when prices increase somewhere between K1and K2–This strartegy limits the investor’s upside and downside risk–In return for giving up some upside risk,the investor sells a call option–Both options have the same expiration date–The value of the option sold is always less than the value of the option bought Note:Recall,a call price always decreases asthe strike price increases–There are three types of bull spreads:1.Both calls are initially out of the money(lowest cost,most ag-gressive)2.Only One call is initially in the money3.Both calls are intially in the money(highest cost,most conser-vative)•Bear Spreads-An investor hoping that the price will decline may benefit from a bear spread.Basic strategy is to buy and put with strike price(K1) and sell another put with strike price(K2),where K1>K2.–In contrast,the strike price of the purchased put will cost more than the option that is sold.34Bull Spread Using Calls(Figure 11.2, page 251)ProfitS TK1K2Fundamentals of Futures and Options Markets, 7th Ed, Ch 11, Copyright © John C. Hull 2010–Limit upside protfit potential and downside risk–Another type of bear spread involves buying a call with a high strike price and selling a call with a lower strike price.•Box Spreads-A combination of a bull call spread with strike prices K1 and K2and a bear put spread with the same two strike prices–The total payoffis always K2−K1.The value of the spread is alwaysthe present value of that gap,(K2−K1)e−rt–If there is a different value(not equal to the present value),then there is an arbitrage opportunity354.5.3Combinations•Straddle-Involves buying a call and put with the same strike price and expiration date–The bundle leads to a loss when the price is close to the strike price–The bundle leads to a gain when the price moves sufficiently in either direction•Strips and Straps–Both of these strategies reward prices that deviate far from the strike price–Strip-a long position in a call and two puts with teh same strike price and expiration dateA strip is a bet on a big move where a decrease in price is more likely–Strap-a long position in two calls and one put with teh same strike price and expiration dateA strap is a bet on a big move where an increase in price is morelikely•Strangles-A put and a call with the same expiration date and different strike prices,with put strike price K1and a call strike price K2,where K2>K1.–Similar shape compared to straddle,however prices need to deviate more in a strangle in order for gains to be found–The farther apart the strike prices,the less the downside risk and the farther the price has to move for a gain to be realized。
cfa一级公式
Quantitative1010365/:D 360360:==360:1360A :(1)1Continuously compounded rate of re BD BD MM BD t P P CF Holding Period Yield HPY P FV P Bank Discount Yield r F t FV tr Money Market Yield r HPY t t r Effective nnual Yield EAY HPY -+ =- ⨯⨯ =⨯=-⨯ =+-()12turn: r ln ln 1cc s HPR s ⎛⎫==+ ⎪⎝⎭23653651111(1)(1)21;;);1t tTime weighted Money weighted nini Arithmetic Weighted i i Geometric Geometric Arithmetic Harmonic ni i iy BEY HPY EAY R R IRR Xn X X W X X X X X n X L ⨯--===+=+=+=====<==∑∑∑(1)100y n +⨯2222111[()]2Excess kurtosis = Sample kurtosis - 3()();:;:;111nnniiii i i x X ks Range MaxValue MinValue XXXX MAD PopulationVariance SampleVariance s MAD n nn P k Coefficient of Variat μμσσ===-≤= ----===<-≥- ∑∑∑切比雪夫不等式：:;xp fpsion CV XR R Sharp Ratio σ=- =越大越好Excess Kurtosis=Sample Kurtosis 3()1()Odds of event=;Odds against of event=1()()()(|)()(|)();()()()()()=0()()()()(|)()P E P E P E P E P AB P A B P B P B A P A P AorB P A P B P AB P AB P AorB P A P B P AB P B A P A ---=⨯=⨯=+-=+=一般条件：互斥事件：；贝叶斯公式：(|)()()(1)()x x n xn P A B P B P x C P P P A -⨯=⋅⋅-=;贝努力实验：2221,2121,21111222212221122121,21;()[()()][()()]()[()()][()()]()();290% Confidence interval for X is 1.65 ; 95% for 1.96A B A B n p p i i i Cov Cov P A B P A E r P B E r P A B P A E r P B E r E R w E R w w w w Cov X s X s ρσσσσσ===⋅-⋅-+⋅-⋅-=⋅=++±±∑2) ; 95% for 2.58~(,),;()1()(Roy's Safety-first Ratio=;Minimum Acceptable Returnp LL pX sx X N Z F z F z E R R R μμσσσ±-=-=--=/2/20000000000Confidence interval: point Estimate;One tail:,;,;Two tail:,Reject :;F X Z X Z X Z H H H H H H H test statistic critical value αααααμμμμμμ=±≥<≤>== >中心极限定理：0ail to reject ::~(0,1);:~(1)H test statistic critical value X X Z test Z N t test t t n < -=-=-22221121222212121/222212121(1) :~(1);:(S S )~(1,1)Test for equality of means: t-statistic=(Sample Variances assumed unequal);t-statistic=PPs n s chi Square test x x n F test F F n n s x x x x s s s s n n n σ--=--=>----⎛⎫++ ⎪⎝⎭条件：1/222(equal)n ⎛⎫ ⎪⎝⎭Portfolio Management22221,21212221122121,2,,2()()():()[()]pM f p f pM i mkti i i mkt mktmkti f i M f p fpCov w w w w Cov E R R CML E R R Total Risk systematic Risk unsystematic RiskCov SML CAPM E R R E R R R R Sharpe Ratio ρσσσσσσσσβρσσβσ==++-⎡⎤:=+⎢⎥⎣⎦= + ==⨯=+-- =;()();'()()Mp f M f pp fp p f p M f pM Squared R R R R R R Treynor Measure Jensen s R CAPM R R R R σσαββ-=---- ==-=---Economics%;1,;1,%Pr %;0,normal good(0<<1,necessity good;>1,Luxury);e 0,inferior good%%%Price of related g p p i i i i QOwn price elasticity e elastic e inelasticice QIncome elasticity e e e IncomeQCross elasticity ∆- =><∆∆ =><∆∆ =∆;0,;0,oodbreakeven point if AR=ATC(Perfect competition);TR=TC(imperfect competition)shutdown point if AR<AVC(Perfect competition);TR<TVC(imperfect competition)TR=P Q;AR=TR/Q;c c e substitute e complement><⨯MR=TR/QTC=TFC+TVC;MC=TC/QAccounting profit = total revenue - total accounting costsEconomic profit = Accounting profit-implicit opportunity costs=total revenue-explicit costs-implicit costs Normal p ∆∆∆1110rofit = accounting profit - economic profit=;x y x nyNominal GDPGDP deflator=Real GDP ()()()();Fiscal budget deficit=Excess over dome xy yMRS n xQ P Base BaseQ P GDP C I G X M C S TG T S I X M ∆=-∆⨯⨯=⨯⨯=+++-=++-=---用替代，用1替代currentBase PeriodRe [stic investment+trade balance Price CPI=100Price 1Money multiplier =Reserve MV=PY;Real money supply Velocity of money=Price level Real GDP :Nom al Inflati requirementFisher Effect R R E ⨯ ⨯⨯ =+]1Fiscal multiplier =;Marginal propensity to consume1(1)Real Exchange Rate(d/f)=nominal forex rate 1domestic interst (d/f):(d/f)on MPC MPC t foreign CPIdomestic CPIForward No Arbitrage Forex Rate Spot =-- ⨯+- =rate 3601foreign interest rate 360tt ⨯+⨯Equity001111Trigger Price();Trigger ()11Pr ice Weighted Index=number of stocksPrice-changeEqual Weighted Index =(1+) Equal Weighted In ni i nii Arithmetic IM IMLong P price Short P MM MMPinitial index valuen==-+=⨯=⨯-+⨯∑∑1110dex current total market valueMarket capitalization-weighted index=base year index valuebase year total market valueOne-year DDM:;Multiple-y 11Geometric n ps pss s X initial index valueD P k D P P k k ⨯⨯==+++12020ear DDM:...1(1)(1)(1)FCFE=CFO-FCInv+net borrowing;FCFF=CFO-FCInv+Int(1-t)CFO=NI+Dep-Increase in working capital;net borrowing -debt principal+new debt issues P (1n n n ns s s s ns D P D D P k k k k FCFE k =++++++++==+0110100000111) :;(1);(1);:[()](1)///;/nni s s f i M f D DGordon Growth Model P D D g g RR ROE payout ratio ROE payout ratio k g EPSCAPM k R E R R P P D g E D E Payout Ratio Payout Leading P E Trailing P E E k g k g E k g β===⨯+=⨯=- ⨯ =-=+-+ === ===---∑(1)Enterprise Value=MV of common stock+MV of Pre-stock+MV of Debt-Cash and Investment Market Value of equity/;Common equity=total asset-total liabilities-pref Book Value of equityRatio g k g P B Ratio MV ⨯+- ==erred stockAlternativeNAV Per Share Assets - Per Share LiabilitiesProb (1)Appraisal price NOI /Market cap rate;NOI=Income-Operating Expense Market cap rate Benchmark NOI /Benchmark trans nSuccess nCF Venture Capital NPV CF i = =⨯-+==()()()()action price After Tax Net Income NOI D INT *1t After Tax Cash Flow ATNI D PRN principal repayment NOI TAX PRN INT =---=+-=--+Derivative()()floating rate at settlement forward rate 360notional principal 39361+floating rate at settlement 360 rincipal ( )360Option v days FRA FRA days daysNet Fixed Rate Payment P Fixed rate LIBOR ⎡⎤-⨯⎢⎥=⨯=⎢⎥⎢⎥⨯⎣⎦=⨯-⨯；期前，期后()0000alue intrinsic value time value /1covered call S ;Breakeven=S c;Maximum Gain= X (S c)protective put S ;Breakeven=S ;Maximum Loss= X (S )Tfc X R S pp p p =+++=+=---=++-+－cFixed Income112n tt=1t 0Full Price Clean PriceAccrued Interest Accrued interestt PVCF Macaulay duration=PVCF ()Macaulay duration Modified duration=1+periodic market yield Effective Duration=T CouponT T P P P P y+0/2Δy 21absolute yield spread Absolute yield spread =high yield-low yield;Relative yield spread=benchmark bond yieldsubject Yield ratioOptionbondoptionfree bondPut Call OptionP V V V STRIPS Maturity 10111(1)1 bond yield benchmark bond yieldTax Free YieldTax equivalent yield1tax rateOAS Z-spread - Option cost(Z-spread > Nominal Spread, if spot Yield is upward sloping)(1)(1)(1)(1);TT T S f f ff 00n 2N MRT 2Face valueZero coupon bond value=(interest rate risk )(1+)2Reinvestment Income=PV (1+r )-FV-Coupon Total percentage price change=duration effect + convexity effect [MD ()][Conv ()S i Py y P最大]Dollar duration duration bond price 1%(100)PVBPduration bond price 0.01%(1) [Duration PV ]bp bp 不求，算出两个相减也可计算FSAA=L+E; E=CC+R/E; R/E R/E +NI-Div; A=L+CC+R/E +Revenue-Expense-Div current assets Current ratio =current liabilitiescash + marketable securities + A/RQuick ratio =current liabilitiescash Cash ratio =E B B =+ marketable securitiescurrent liabilitiescash + marketable securities + A/RDefensive interval=Average daily expend annual salesReceivables turnover =A/R Inventory turnover =Payables turn COGSInventory over =A/P365Average receivables collection period =receivable turnover365Average inventory processing period =inventory turnover 365Average payment period =payable Cash conversion c turn yc overPurchasePretax margin =total debt total debtD/E ratio=;D/A le = collection period + inve ratio=Equtiy AssetRevenueWorking Capital turno ntory period - payme ver=;Working Ca Average Working Capital nt period EBT Sales pital=Current Asset-Current LiabilityInterest Coverage EBIT+Lease PaymentFixed Charge Coverage=Interest+Leasr Payment Return on assets (ROA) =Return on equity(ROE) Net =ROE=EBITInterestNIAsset NIEquity=Profit Margin Asset Turnover Financial Leverage Tax burden Interest burden EBIT Margin Asset Turnover Financial Leverage =ROE=EBT NI Sales AssetSales Asset EquityNI EBIT Sales Asset EBT EBIT Sales Asset Equit ⨯⨯⨯⨯⨯⨯⨯⨯=⨯⨯⨯⨯LIFO Reserve COGS LIFO Reserve taxable income tax rate=tax payableIncome tax expense=tax payable+DTL-DTAReported effec END BGN FIFO LIFO FIFO LIFO yInventory Inventory Purchase COGS Inventory Inventory COGS =+-=+=-∆⨯∆∆income tax expensetive tax rate=pretax incometax payableeffective tax rate=pretax incomeCorporate Finance120120101100...(1)(1)(1)(1)1(1):();;(1);nnniii d d ps ps c spsps s f m f s s Asse CF CF CF NPV CF k k k CF CF IRR NPVPI CF WACC W k t W k W k D k PCAPM k R R R D D D k g P g RR ROE payout ratio ROE payout ratio P k g EPSββ==+++++++=+=+=⨯-+⨯+⨯==+-=+==⨯=- ⨯ =-∑Pr ;[1(1)]1(1)cost of capital change :Break Point=weight of capital structure()();()()(Equityt oject Asset D t EDt EMCC Q P V S TVC EBIT Q P V FDOL DFL Q P V F S TVC F EBIT Interest Q P V F IQ P DTL DOL DFL βββ==⨯+-⋅+-⋅----====--------=⨯=)();365365365;//Net working capital=Current Asset-Current Liabilitie Breakeven OperatingBE V S TVCQ P V F I S TVC F IF I FQ Q P V P VCash Conversion Cycle Purchase Inv COGSCOGS Sales Purchase Inventory A R A PC --=------+==-- =+-=∆+365/()(1)11tdiscount ost of trade credit EAR discount=+--史上最全的CFA复习笔记，爱不释手T-bill rates是nominal risk-free ratesnominal risk-free rate= real risk-free rate + expected inflation ra te风险种类：default risk违约风险liquidity risk 流动性风险maturity risk 久期风险（利率风险）EAR=e^t-1贴现率=opportunity cost，required rate of return，cost of capital ordinary annuity在期末产生现金流annuity due在期初产生现金流永续年金perpetuity PV=PMT/(I/Y)对于同一个项目IRR和NPV结论相同：IRR大于必要收益率则NPV为正，否则NPV为负如果公司目标是权益所有人财富最大化，那么始终选择NPV（通常都是这样）HPR(持有期回报）=（期末值-期初值）/期末值或者（期末值-期初值+现金）/期末值Time-weighted rate of return时间的加权平均值，（1+HPR1)(1+HPR2)…即几何平均数如果组合处于高上涨期，时间加权平均会比金钱加权平均小，反之则大。
分期付款回望期权定价
周静：分期付款回望期权定价分期付款回望期权定价硕士研究生:周静导师:邓国和专业:概率论与数理统计研究方向:金融工程年级:2007摘要期权是买卖双方所签订的一种合约,此合约赋予持有者在未来某一时刻以确定的价格买入或卖出某项资产的权利,而非义务.期权定价问题已经成为金融理论与实务研究领域内一个重要内容.众所周知,常规的期权合约是买方在合约签订日一次性向卖方支付清期权金后,获得实施该期权的权利.如果选择实施权利的时刻在合约到期日,那么该期权为欧式的.如果在期权到期日之前任何时候实施权利,那么该期权成为美式的.目前市场存在一种分期付款合约,其该合约的期权金并不是在合约签订日时完全支付清,而是先支付一小部分费用,再在随后分期支付余下期权金,从而获得继续拥有下一个单位时间的权利.期权持有人可以选择在期权有效期内的任何时间实施或放弃该合约,从而停止分期付款的支付.在经典Black-Scholes模型下,本文研究一类将分期付款特征嵌入回望期权的定价问题,即分期付款回望期权定价.主要研究内容包括:第一章介绍期权,回望期权以及分期付款期权定价的理论与研究背景.第二章在标的股票满足经典Black-Scholes模型下,考查离散型分期付款标准回望看涨期权的定价.用改进二叉树方法给出数值结果及最佳停止边界.第三章在标的股票满足经典Black-Scholes模型下,考虑连续分期付款支付方式嵌入标准回望期权的定价问题.给出了期权价格函数及最佳终止边界的性质,并利用Kim积分分解方法获得了浮动执行价格的连续分期付款回望期权的价格函数,期权最佳终止边界的拟解析式.基于Kim积分分解方法建立了看跌期权最佳终止边界的非线性方程,利用推广的积分方程法(EIE),用简单阶梯函数近似最佳边界,获得它们的递归式,并利用最小二乘原理或Newton-Raphson迭代法求解最佳停止边界,以此获得看跌期权价格的数值算法.最后分析了付款率对期权价格及最佳停止边界的影响.第四章在第三章的基础上,进一步讨论了连续分期付款的美式回望期权定价问题.同样采用Kim积分分解方法建立了看跌期权最佳实施边界和最佳终止边界的非线性方程组,利用推广的积分方程法(EIE),用简单阶梯函数近似最佳边界,获得它们的递归式,并利用最小二乘原理或Newton-Raphson迭代法求解最佳实施边界和最佳停止边界,以此获得看跌期权价格的数值算法.最后分析了付款率对期权价格及最佳边界的影响.第五章总结了论文研究结论以及未来需进一步研究的一些课题.关键词：回望期权,分期付款期权,数值方法广西师范大学硕士学位论文Valuation for Lookback Options Embedded with InstallmentPayingPostgraduate:zhou jing Supervisor:Deng GuoheSpecialty:Probability Theory and Mathematical StatisticsResearch Fields:Financial Engineering Grade:2007AbstractOption is a contract signed by the seller and the buyer,which gives the holder a right but no a obligation to buy or sell the underlying asset by a certain date in the future for a certain price. Option pricing problem has become an important research topic infinancial engineering.It is well known that the conventional option product is that when the buyer pays the seller all the money today he can acquires the right to exercise the option at the option maturity date. When the holder chooses the option exercising date only on the expiration date,the option is called a European-style.When the holder chooses the option exercising date at any time up to the expiration date,the option is called an American-style.Today there exists a traded contract embedded with installment paying on exchanges in which the buyer pays a smaller up-front pre-mium and then a constant stream of installments at a certain rate per unit time.The buyer has the right of choosing at any time up to the maturity to stop making installment payments by either exercising the option or stopping the option contract.Based on the assumptions of the classical Black-Scholes model,this thesis considers pricing the Lookback options embedded with install-ment paying called installment lookback options.This thesis is organized as follows: Chapter1introduces simply the pricing theories and studied literatures for options,the look-back options and installment options.In Chapter2,based on the assumption of the underlying stock’s price satisfying the classical Black-Scholes model,we consider the pricing for the standard Lookback call option with discrete-installment paying.Some numerical results and the optimal stopping boundary with improved CRR method are provided in the end.In Chapter3,based on the assumption of the underlying stock’s price satisfying the classi-cal Black-Scholes model,the standard Lookback options embedded with continuous-installment paying is considered.Some properties of both the options price function and the optimal stopping boundary are proved.The quasi-analytical formulas for both the option value and the optimal stop-ping boundary for the continuous-installment Lookback put options withfloating strike prices are obtained by using the decomposition technique which is used to make a nonlinear integral equa-周静：分期付款回望期权定价tion of optimal stopping ing the extension of the above integral equation(EIE)and approximating the optimal stopping boundary as step functions,we obtain the iterative schemes for the optimal boundary with the Least-square or Newton-Raphson method,and then have the option price based on this approaches.Some numerical examples are provided to indicate the effects on the option price of the installment payments and practical significance of the optimal stopping boundary.Under the same market model in Chapter3,pricing an American continuous-installment Lookback option are further considered in Chapter4.Same arguments in Chapter3,we ob-tain also two nonlinear integral equations for both optimal exercising boundary and the optimal stopping boundary which provide two iterative schemes to obtain these optimal boundaries.We provide also some numerical examples to indicate the effects on the option price of the installment payments and practical significance of the optimal boundaries.Conclusions and some future research works are proposed in Chapter5.Key Words:Lookback options,Installment options,Numerical methods广西师范大学硕士学位论文目录中文摘要 (I)ABSTRACT (II)第一章绪论 (1)§1.1研究意义和必要性 (1)§1.2国内外研究现状 (2)1.2.1期权及回望期权定价的研究现状 (2)1.2.2分期付款期权的研究现状 (3)§1.3论文结构 (5)第二章离散型分期付款标准回望期权 (6)§2.1市场模型 (6)§2.2离散型分期付款标准回望期权定价 (6)§2.3二叉树方法 (8)§2.4数值结果 (10)第三章连续型分期付款标准回望期权 (14)§3.1预备知识 (14)§3.2连续型分期付款标准回望看跌期权定价 (15)§3.3连续型分期付款标准回望看涨期权定价 (20)§3.4算法及数值结果 (21)第四章美式连续型分期付款回望期权 (24)§4.1美式连续型分期付款回望看跌期权的定价 (24)§4.2美式连续型分期付款回望看涨期权定价 (29)§4.3数值算法 (31)§4.4计算实例与结果分析 (34)第五章结论 (36)§5.1本文主要结论 (36)§5.2进一步研究课题 (36)参考文献 (37)附录 (41)致谢 (49)第一章绪论期权是20世纪国际金融市场创新的一个成功典范,它的诞生对现代金融学理论与实践带来了巨大的冲击和影响.期权定价理论作为现代金融学的核心研究内容之一,在理论和实践上具有非常重要的学术价值和社会经济意义.本章主要论述期权及回望期权定价的研究意义和必要性,介绍回望期权及分期付款期权的研究状况,由此提出本论文主要研究内容.§1.1研究意义和必要性期权(Options)是一种金融衍生工具(Financial Derivatives)(见Hull[1]).期权的持有人(买方)在签订合约时支付一定数额的权利金(给卖方)后,可拥有在期权合约有效期内以一定价格买卖一定数量的相关商品合约的权利.同时期权卖方在收到权利金(premium)后,就要承担着在规定时间内履行该合约的义务.在期权有效期内,只要持有人要求行使权利,卖方就必须无条件的履行合约规定的义务.当然,对期权持有人来说这种权利是可以选择的,既可以根据规定实施该期权的权利,也可以放弃这种权利.因此,为了保证交易双方的利益公平,确定合约的权利金就显得非常重要.这个权利金(也称期权费或期权价格)影响双方能否顺利达成合约的关键,是期权定价研究的中心.显然,期权价格依赖于合约标的资产价格的变化,而标的资产是一种风险资产,其价格变化是随机的,不同的标的资产所受的市场不确定因素也不尽相同,其价格的波动行为也不一样.因此,研究期权定价的理论和方法是非常有理论价值和实际意义的课题.期权合约达成的交易协议集中体现了来自套期保值(hedging),套利(arbitrage),投机(speculation)等各方面的需求,是各种市场信息和对未来预期的综合反应,有助于促进市场的价格发现.其价格水平的变动可以为各金融机构,央行等部门的货币政策提供重要参考.按执行时间的不同,期权主要可以分为两种:欧式期权(European Options)和美式期权(American Options).这两种期权又称为标准期权(Standard/Plain Vanilla Options).欧式期权是指只有在合约到期日才能被允许执行的期权,大部分在场外交易中被采用;美式期权是指可以在成交后有效期内任何时刻被执行的期权,多为场内交易所采用.场内交易的期权合约均为美式风格的,很受投资者欢迎,但投资风险要高于欧式期权.为了更有效的适应国际贸易、基金管理公司、保险公司和企业控制风险,锁定成本的需要,金融工程师们运用期权定价理论和分析方法,创造设计了许多不同特征的奇异期权(Exotic options),如:回望期权(Lookback options)、亚式期权(Asian options)、障碍期权(Barrier options)、一篮子期权(Basket options)、重置期权(Reset options)等.目前,奇异期权在市场上交易品种已达2000种,交易量和交易金额所占的比例非常大,是期权市场交易的主角.回望期权是一种路径依赖型期权(Path-Dependent Options),它的最终收益依赖于合约有效期内标的资产价格的最大(小)值,也就是期权持有人可以回望有效期内标的资产价广西师范大学硕士学位论文格变化的整个历程.回望期权的执行价格有两种设定形式:一种是浮动执行价格回望期权(floating strike lookback options),也是最常见的标准回望期权(standard lookback options),他的执行价格事先不设定,而是在期权到期日通过回顾标的资产价格变动的路径,找出最低价格(对于看涨期权)或最高价格(对于看跌期权)作为执行价格.然后再计算其与标的资产S t最终价格之间的差额作为收益,其收益函数定义为:C fl(S,J,T)=S T−J T,J T=min0 t T S t,(1.1)P fl(S,J,T)=J T−S T,J T=max0 t T S t.(1.2)人们也把它称为“买进按低价,卖出按高价”的期权(详见Conze[2],Goldman[3]).另一种回望期权是执行价格固定的回望期权(fixed strike lookback options),这种回望期权的执行价格从一开始就固定下来,在合约的执行日,再根据合约有效期内曾经达到过的最高水平(看涨期权)或最低水平(看跌期权)来计算两者间的差额以确定收益,其收益函数定义为:C fix(S,K,T)=(J T−K)+,J T=max0 t T S t,(1.3)P fix(S,K,T)=(K−J T)+,J T=min0 t T S t.(1.4)浮动执行价格回望期权的出现解决了资产管理中的两个难题,即:最高价格与最低价格如何确定?如何把握?也就是“市场进入时”(timing of market entry)问题和“市场退出时”(timing of market exit)问题.这类期权既有欧式的,也有美式的.回望期权适合对资产价格波动幅度较有把握,但是对到期价格把握不大的投资者,保证了投资者可以得到一段时期内的最优价格,使投资者处于最有利的位置,期权绝不会处于虚值状态(OTM,out of the money).所以这类期权的收益高,其价格也十分昂贵,投资风险也大.为了降低投资者风险和投资成本,本文引入一类分期付款特征的回望期权(Lookback Options embedded with Installment paying).§1.2国内外研究现状1.2.1期权及回望期权定价的研究现状期权定价的革命性变革发生于1973年Fisher Black和Myron Scholes[4]发表的《期权定价与公司债务》博士论文,开创了期权定价理论研究的新里程碑,即Black-Scholes期权定价公式,因这一伟大贡献获得1997年诺贝尔经济学奖.无论是从商业上还是学术上来说,这个模型都是非常成功的.但是理论模型中的假设:交易成本为零,无风险利率r,红利率q和标的资产收益的标准差σ都是常数等,这些假设同现实金融市场的情况比较存在较大差异.为了减少这个差异,使之更符合实际情况,许多专家学者推广和拓展了Black-Scholes 模型,主要有:带交易费用模型[5];随机利率模型([6],[7]);局部波动率模型或CEV模型(王利伟[8],Achdon[9],Detemple[10]);跳扩散模型(Jump-Diffusion)([11],[12]);Levy模型周静：分期付款回望期权定价[13];随机波动率模型(SV)([14],[15]);分数次布朗运动模型(FBM)([16],[17])等.期权定价的方法可以分为两种:一种是理论方法,主要有鞅方法(如Harrion和Kreps[18],Pliska[19]),倒向随机微分方程理论(彭实戈[20])等;另一种是数值方法,主要有逼近估价法(如Gesk[21],Johnson[22],Kim[23]等),二叉树法(如Cox[24],Cheuk[25],Dai[26]),蒙特卡罗法(Boyle[27]),有限差分法[28],带约束边界条件的PDF法(Jaillet[29],Zvan[30])等.这些方法在确定期权价格方面发挥许多重要作用,对开展期权的套期保值及风险管理有实际意义.回望期权是一种路径依赖型期权,国内外许多学者对其进行了大量研究.1979年Gold-man([3],[31])首次引入,并在标的股价满足几何布朗运动的假设下(即经典Balck-Scholes 模型)得到封闭式解.为了满足投资者对事后投资的愿望,Conze and Vishwanathan[2]1991年引进了固定执行价的看涨期权(1.3)及看跌期权(1.4)并给出了它们的封闭解,除此之外还提出了限定回望期的回望期权(Limited Risk Lookback Options)和部分回望期权(Partial Lookback Options),并分别给出它们的封闭解.1998年He[32]提出并研究了双回望期权(double lookback options).另外,还有一些学者对回望期权进行拓展研究,如王利伟[8]在CEV模型下得到有交易费用回望期权的定价,并用二叉树方法得到数值解;陈盛双等人[33]在双指数跳扩散模型下给出回望期权的解析解;Nguyerr ngoc[13]在一般Levy过程下研究了路径依赖型期权的定价问题,推出了障碍期权和回望期权的解析解;冯德育[34]在分数布朗运动模型下研究回望期权的定价,并利用Monte Carlo方法求出期权的数值解;范奇[35]把回望期权和一篮子期权结合起来,组合为一篮子回望期权,给出欧式一篮子回望期权的解析解等.美式回望期权具有在期权有效期内提前实施的权利,这一性质决定了美式回望期权具有最佳实施边界,没有解析解,只能用数值方法求其近似解.因此美式回望期权的定价非常复杂,难度也比较大,也是国内外金融数学专家研究的热点和难点之一.这方面的研究成果主要有:姜礼尚[28]给出美式回望期权的变分不等式及自由边界问题;戴民[36]用二叉树方法对美式回望期权的一些性质进行数值分析;You-lan Zhu等人[37]用奇点分离法(singularity-separating)给美式回望期权和障碍期权定价,得到精确的数值结果;Tze Leung Lai([38],[39])利用时空转换法(space-time transformation)近似计算美式固定及浮动执行价格回望期权的价格及最佳实施边界等.1.2.2分期付款期权的研究现状分期付款(Installment Paying)是一种广泛应用于金融实际的支付形式,如住房按揭贷款、人寿保险、教育基金保险、重大工程项目、养老金计划、医疗保健等都是分期付款,也可以投资.分期付款为投资者提供了方便灵活的投资策略,降低了投资者的投资风险,同时也可以减少投资者一次性支付的资金,缓解投资者的资金紧张压力.将分期付款引入到金融衍生工具中,构造出分期付款期权,可以为投资者提供灵活的进入与退出机制,让期权持有人有足够的时间来评估标的资产的真实价值和未来走势,为投资决策提供有利的依据.广西师范大学硕士学位论文而对于卖方来说,当标的资产的价值下降时,也可以避免损失太大.IO是在组合投资策略的流动性管理上注入了一种灵活性比较强的金融创新工具,可以减少市场的流动性风险.Karsenty和Sikorav[40]是最早介绍该期权的学者.对其定价的研究是最近几年的工作,Davis等人[41]分析了由确定时间点支付的离散型分期付款期权(discrete-installment options).在标的股价满足Black-Scholes模型下,他们应用鞅方法给出无套利情形下分期付款期权的初始期权金,建立了静态套期保值策略并与动态套期保值策略比较.还给出离散分期付款期权的极限形式也就是连续分期付款期权及它的价值函数:V(t,S)=supτ∈Tt E t,S{e−r(T−t)[S T−K]+Iτ=T−qr(1−e−r(τ−t))}.(1.5)所满足的变分不等式:L V−q≤0,(1.6)V≥0,(1.7)V(L V−q)=0,(1.8)V(T,S)=[S T−K]+.(1.9)其中q是固定的连续分期付款率,L V=∂V∂t+rS∂V∂S+12σ2S2∂2V∂S2−rV.(1.10)最后把分期付款期权表示为一个欧式看涨期权加上关于这个欧式期权的一个美式看跌期权之和,即V0+qTe−rs ds=C E(T,S0)+supτ∈T0,TE Q(Vτ).(1.11)Wystup U等人[42]用股票价格的马尔科夫性较详细的证明了这个结论.Davis等人[43]还分析了实物分期付款期权,把风险资本(VC)合约作为一个分期付款期权,用欧式期权的静态投资组合考察了分期付款期权的无套利界限.在国内对分期付款类型的实物期权进行研究的有吕学斌等人[44]的分期付款期权在基于教育基金保险的期权中的应用.这些成果主要针对离散型分期付款期权,其数值计算主要采用二叉树方法.对于连续分期付款期权的定价与计算是个难点,这方面的研究相对较少.如Alobaidi等人[45]对欧式风格的分期付款价值(1.5)式实施拉普拉斯变换;Mallier等人[46]应用PDF 的渐进展开手段研究了期权的自由边界在到期日附近变化趋势;Ben-Ameur等人[47]用分片线性插值法给出ASX(the Australian Stock Exchange)分期付款认股权证的价格;Fahuai Yi[48],Zhou Yang[49]分别讨论了欧式连续分期付款看涨、看跌期权定价引起的变分不等式问题,并且证明了这个问题的解的存在性和唯一性,进一步讨论了自由边界的一些性质,最终用二叉树方法给出数值解.同时,也有学者开展美式风格的连续分期付款定价研究.由于美式连续分期付款期权(American Continuous-Installment Options,ACIO)是新型美式期权,与标准美式期权不同.它不仅具有提前实施期权合约的权利,而且具有灵活的分期付款方式,期权持有人可以选择在期权有效期内的任何时间实施或放弃该合约,从而停止分期付款的支付.所以,ACIO 的定价研究比较复杂.Ciurlia和Roko[50]应用标准美式期权定价的Kim[23]期权分解技术给出美式连续分期付款的定价和Ju[51]的分片指数函数法(Multipiece Exponenttial Function.MEF)来近似最佳边界函数.Zhou Yang,Fahuai Yi[52]讨论了有美式连续分期付款看涨期权定价产生的有两个边界的变分不等式,并且证明了这个问题解的存在性和唯一性,进一步获得两个自由边界的单调性和光滑性,最后用二叉树法给出数值结果.坚雄飞、易法槐[53]考虑常数利率条件下的分期付款购房模型,该文给出了分期付款购房合约定价的偏微分方程方法,得到一个一维抛物障碍问题,同时给出了贷款合约价格函数所联系的自由边界,并讨论了自由边界的单调性与有界性.高扬[54]在文章中建立了连续支付美式分期付款期权的关于偏微分方程变分问题的模型,然后用有限差分法进行数值计算,并分析最佳终止边界和最佳实施边界的位置和性质.邓国和[55]分别讨论了美式障碍及债券型的分期付款期权等.目前分期付款期权交易比较活跃,如LIFFE(the London International Financial Futures Exchange)交易的期货类型的保证金期权,澳大利亚股票交易所(ASX)挂牌交易的ASX股票分期付款认股权证,Deutsche银行发行的10年到期9年分期付款权证,2005年北京西奥中心写字楼的“以租代售”地产期权等.随着金融衍生产品作为主要套期保值工具被人们所认识,以分期付款为基础的金融工具将会不断创新出来,满足市场的需要.从而研究这些产品的定价与风险管理显得十分重要.§1.3论文结构本文从理论上研究离散及连续分期付款回望期权的定价.通过引入分期付款的支付方式,讨论这种新型回望期权的价格及最佳边界的性质.研究内容如下:第二章在经典Black-Scholes模型下,讨论离散型分期付款标准回望看涨期权的定价问题,用二叉树方法给出数值解及最佳停止边界,并与标准回望期权相比较.第三章在经典Black-Scholes模型下,分析连续型分期付款标准回望期权的定价问题,给出浮动执行价格回望期权的价格函数及最佳停止边界的性质.并采用Kim积分表达方法,用阶梯函数(Step Function)近似最佳停止边界,建立连续型分期付款回望看跌期权的初始价格计算方法,并给出数值解及最佳停止边界.类似第三章,第四章在经典Black-Scholes模型下,分析美式连续型分期付款回望期权的定价问题,给出浮动执行价格回望期权的价格函数及最佳实施和停止边界的性质.并采用Kim积分表达方法,用阶梯函数(Step Function)近似最佳停止边界及最佳实施边界,建立美式连续型分期付款回望看跌期权的初始价格计算方法,并给出数值解及最佳实施边界和停止边界.第五章总结论文研究内容及提出有待进一步研究的问题.第二章离散型分期付款标准回望期权本章在经典的Black-Scholes模型下讨论离散型分期付款标准回望期权的定价,并用二叉树方法给出数值解,分析自由边界的变化情况.然后与欧式标准回望期权进行比较.§2.1市场模型考虑一个连续交易、无套利机会的完全金融市场M,T是交易期限.假设市场M仅包括两种可任意选择的资产:一种无风险资产(如债券,银行帐户)B=(B t)0≤t≤T;另一种是风险资产(如股票)S=(S t)0≤t≤T.给定一个满足通常条件的σ−代数流F={F t,0≤t≤T}及完备概率空间(Ω,F,P).市场M中的所有不确定性源均定义于这个概率空间,且可以由一个一维标准布朗运动W=(W t)0≤t≤T来描述.由于市场M的完全性,风险中性概率测度P存在且唯一.记E t(·)=E(·|F t)是P下条件期望.设债券B的价格变化满足dB t=rB t dt,B0=1,(2.1)其中r为常数利率.股票价格S连续支付红利,红利率为常数δ(δ≥0),并且价格变化在风险中性概率P下满足SDE:dS tS t=(r−δ)dt+σdW t,S0>0,(2.2)其中常数σ为股票的波动率.在模型(2.2)下欧式回望期权(1.1)∼(1.4)式的封闭解的推导见[28].§2.2离散型分期付款标准回望期权定价现考虑有效期为[0,T]的标准回望期权,然后把它嵌入到离散型分期付款期权中.假设初始期权费为q0,以后各期支付的费为q i(i=1,2,...,n−1).我们要解决的问题是已知q i,如何确定初始期权费q0,或者已知q0如何确定后期支付的期权费用q i.定义1离散型分期付款回望期权(Discrete-Installment Lookback Options)是一种回望期权合约.该合约规定期权持有人在初始时刻支付初始期权金q0,然后在期权有效期内的n−1个确定时间点分别支付q i(i=1,2,...,n−1)来继续持有该期权,否者就视为放弃该期权.当支付完所有期权金后,期权持有人完全拥有该期权的实施权.对于美式离散分期付款回望期权,持有者还拥有提前实施该合约的权利.以标准回望看涨期权为例,现设区间[0,T]有n个等距离的时间点:0=t0<t1< ...<t n−1<t n=T,t i=iT/n,并且q i(i=1,2,...,n−1)=q1的情形,如图2.1所示.记V(t i,S ti ,J i;q1)表示在时刻t i标的资产价格为S ti期权的净现值,那么在到期日T,V n=V(t n,S tn,J n;q1)=S tn−J n,J n=min0≤t≤t nS t.(2.3)5010015020025030035040045050020406080100120140图2.1n 期分期付款回望期权对于分期付款期权在t i (i =1,2,...,n −1)时刻,或者放弃或者支付q 1继续持有该期权到下一个支付期t i +1.此时持有价值为E t i ,S (t i )[e −r (t i +1−t i )V (t i +1,S t i +1,J i +1;q 1)].(2.4)故t i 时刻,记期权的净值为V (t i ,S t i ,J i ;q 1)=max(0,E t i ,S (t i )[e −r (t i +1−t i )V (t i +1,S t i +1,J i +1;q 1)]−q 1).(2.5)利用公式(2.5)采取倒推法,可得到无套利初始期权费q 0的递推计算公式,q 0=V (t 0,S t 0,J 0;q 1)=E t 0,S 0[e −r (t 1−t 0)V (t 1,S t 1,J 1;q 1)].(2.6)值得注意的是V (t n −1,S t n −1,J n −1;q 1)=max(0,V (t n −1,S t n −1,J n −1)−q 1),V (t n −1,S t n −1,J n −1)是标准回望看涨期权在t n −1时刻的Black-Scholes 定价公式.Wystup U 等人[37]利用n 元正态分布给出了n 期标准付款期权的封闭解.本文要解决的是回望期权的定价,涉及到最值问题,要求出q 0的封闭解非常困难.为了解决这个问题,本章采用二叉树方法给出数值结果.下面首先讨论该期权的收敛性.对于离散型分期付款标准回望看涨期权,对∀t ≥0把区间[t,T ]等分为2n 份,除初始期权费外,把各期分期付款费用现值之和记为q T t (n ),则q T t (n )=q 1 2n −1k =1e−rk T −t 2n .当分割区间很小时,分期付款费q 1用分期付款率q 近似表示,即q 1=q T−t 2n .并且定义D n t=[t,T ]∩{k 2−n T,k =0,1,...,2n },T n t ={τ∈T t,T :P (τ∈D n t )=1},T t,T 是取值于时间区间[t,T ]的停时构成的集合.在极限情况下可得到如下结论.定理2.1对于离散分期付款标准回望看涨期权,分期付款费q T t (n )和该期权的价格函数V n t 的收敛性如下:(1)lim n →+∞q T t (n )=q r (1−e −r (T −t )).(2.7)(2)lim n →+∞V n t =sup τ∈T t,TE t {e −r (τ−t )(S τ−J τ)I (τ=T )−q r [1−e −r (τ−t )]}.(2.8)其中V n t =sup τ∈T n t E t {e −r (τ−t )(S τ−J τ)I τ=T −q τt(n )}.。
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PT Notional Max[ K FQT , 0] (90 / 360) PT Notional Max[iT iC , 0] (90 / 360)
A put on Eurodollar futures is equivalent to a caplet on LIBOR.
$1million (0.055 0.05)(184 / 360) $2,555.56
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6 Hedging Nonlinear Risk – Interest Rate Derivatives
μ-r γσ2
Floor and Collar
A floor is a put option on interest rates with value
PT Max[ K iT , 0]
A collar is a combination of buying a cap and selling a floor.
Long cap(iC K ) Short floor(iF K ) Long pay fixed swap c c j
PT M a x [V ( iT ) V ( K ), 0 ]
6
6 Hedging Nonlinear Risk – Interest Rate Derivatives
μ-r γσ2
Terminologies
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6 Hedging Nonlinear Risk – Interest Rate Derivatives
CT Notional Max[FT K ,0]
An investor who bets the rates will fall, or the bond market y could buy y a call on T-Bond futures. will rally
j 1 N
($1) ) c j [FN (d1 ) KN (d2 )]PV ($
4
6 Hedging Nonlinear Risk – Interest Rate Derivatives
μ-r γσ2
Exercise of Cap aonlinear Risk – Interest Rate Derivatives
1
6 Hedging Nonlinear Risk – Interest Rate Derivatives
μ-r γσ2
6 Hedging Nonlinear Risk – Interest Rate Derivatives
Fangyi Jin
Chinese Academy of Finance and Development Central University of Finance and Economics fangyi jin@cufe edu cn fangyi.jin@
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6 Hedging Nonlinear Risk – Interest Rate Derivatives
μ-r γσ2
Caps
A cap is a call option on interest rates with unit value
CT Max[iT K , 0]
In practice, caps are purchased jointly with the issuance of FRNs – Caplets. Example: a one-year cap on a notional of $1 million and a six-month six month LIBOR cap rate of 5%. Starting from Jan 15 and reset on Jul 15. On Jul 15, LIBOR = 5.5%. The payment on the following Jan 15 is
μ-r γσ2
Options on Eurodollar Futures
Options on Eurodollar futures give the owner the right to enter a long or short position in Eurodollar futures at a fixed price. Payoff of a put
μ-r γσ2
Swaptions
Swaptions are OTC options that give the buyer the right to enter a swap at a fixed point in time.
European: a “1Y × 5Y” swaption gives the owner the right to enter in one year a long or short position in a five-year swap. A fixed-term American swaption: exercisable on any date during the exercise period for a fixed-term swap. A contingent American swaption: a prespecified termination date date. Bermudan: exercisable on a specific set of dates during the life of the option.
8
6 Hedging Nonlinear Risk – Interest Rate Derivatives
μ-r γσ2
Options on T T-Bond Bond Futures
Options on T-Bond futures give the owner the right to g or short position p in futures at a fixed price. p enter a long Payoff of a call