金融市场学英文版ppt
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金融市场英文课件 (18)
the price of a fixed-income security cannot exceed the undiscounted value of the cash flow
the price of an interest rate option will change as interest rates change
Time premium
amount by which the option price exceeds the intrinsic value
Put-Call Parity
Relationship between the price of a call, and the price of a put
ud 1r ud 1r
Assumptions of Binomial Model
Price of the security can take on any positive value with some probability
Short-term interest rate is constant over the life of the option
P
C
X Dt (1 rf )t
S
where: P = Put option price C = Call option price X = Strike price
Dt = Cash distribution S = Price of underlying asset rf = Riskfree rate
Alternative Models
Yield curve option pricing models Arbitrage-free option pricing models
the price of an interest rate option will change as interest rates change
Time premium
amount by which the option price exceeds the intrinsic value
Put-Call Parity
Relationship between the price of a call, and the price of a put
ud 1r ud 1r
Assumptions of Binomial Model
Price of the security can take on any positive value with some probability
Short-term interest rate is constant over the life of the option
P
C
X Dt (1 rf )t
S
where: P = Put option price C = Call option price X = Strike price
Dt = Cash distribution S = Price of underlying asset rf = Riskfree rate
Alternative Models
Yield curve option pricing models Arbitrage-free option pricing models
金融市场英文课件 (10)
Quote driven markets
Intermediaries, e.g., specialists of NYSE
Hybrid markets
NYSE Nasdaq
Evolution of Exchanges
Changes to US Stock Markets
Market structures of exchanges Trading mechanisms of exchanges Consolidation among different types of assets Growth and diversity of off-exchange markets Consolidation internationally
Markets for Common Stock: Structure and Organization
Exchanges
Exchange is market where intermediaries meet to execute trades
Two models of stock trading
Quote driven markets
Intermediaries, e.g., specialists of NYSE
Hybrid markets
NYSE Nasdaq
Features of Markets
Order driven markets
Continuous market Call auction
Big Picture
Exchanges
National exchanges
NewYork Stock Exchange American Stock Exchange
Intermediaries, e.g., specialists of NYSE
Hybrid markets
NYSE Nasdaq
Evolution of Exchanges
Changes to US Stock Markets
Market structures of exchanges Trading mechanisms of exchanges Consolidation among different types of assets Growth and diversity of off-exchange markets Consolidation internationally
Markets for Common Stock: Structure and Organization
Exchanges
Exchange is market where intermediaries meet to execute trades
Two models of stock trading
Quote driven markets
Intermediaries, e.g., specialists of NYSE
Hybrid markets
NYSE Nasdaq
Features of Markets
Order driven markets
Continuous market Call auction
Big Picture
Exchanges
National exchanges
NewYork Stock Exchange American Stock Exchange
金融市场英文课件 (21)
investors
Foundations of the Mortgage Market
Federal Home Loan Banks (FHLBs) Federal Housing Administration (FHA) Federal National Mortgage Association (FNMA) Fannie Mae Ginnie Mae
Issuers of Nonagency PassThroughs
Commercial Banks Investment Banking Firms Others
Investor Risk
Prepayment risk Contraction risk Extension risk
Residential Mortgage-Backed Securities Market
Mortgage-Backed Securities
Mortgage Pass-Through Securities Pool of mortgages and sell shares in the pool More liquidity Securitized Derivative Mortgage-Backed Securities Collateralized Mortgage Obligations Stripped Mortgage-Backed Securities
Credit Enhancements
Corporate guarantees Pool insurance from a mortgage insurance
company Bank letter of credit Senior/subordinated interests
金融市场英文课件 (22)
Estimating Beta
Use regression analysis on historical data to estimate the market model
The estimated slope of the market model is the beta estimate
Total Risk
Systematic or market-related risk, which is nondiversifiable
Unsystematic or company-specific risk, which is diversifiable
Systemic and Unsystemic Risk
Risk/Return and Asset Pricing Models
Investment Return
Change in market value of the portfolio plus cash distributions received.
Rp
V1
V0 V0
D1
Where: V1 = portfolio market value at end of interval
Beta
Beta for a portfolio consisting of all stocks in the market is 1.0; it has average risk
If a stock’s beta > 1.0, it has above average risk If a stock’s beta < 1.0, it has below average risk
金融市场学双语课件C06-Powerpoint Slides
Money Market Securities
■
Estimating commercial paper yields
Par – PP PP
YCP =
×
360 n
YCP = Commercial paper yield Par = Face value at maturity PP = Purchase price n = number of days to maturity
◆ Yield
based on the difference between price paid for T-bill and selling price adjusted for time
Money Market Securities
■
Calculating T-Bill Annualized Yield
■
Money Market Securities
■
Treasury bills
● It-term needs of the U.S. government ● Attractive to investors
◆ Minimal
default risk—backed by Federal Government ◆ Excellent liquidity for investors
■
Money Market Securities
Negotiable certificates of deposits certificates of deposit (CD) is a time deposit with a bank. ● The banks pay interest and principal to the depositor only at the end of the fixed term of the CD. ● CDs issued in denominations greater than $100,000 are usually negotiable. ● CDs are treated as bank deposits by the Federal Deposit Insurance Corporation. ■ Federal funds Funds in the bank’s reserve account are called federal funds. ● Funds deposited to regional Federal Reserve Banks by commercial banks, including funds in excess of reserve requirements.
金融市场学英文版ppt
1.1 1.2 1.3 1.4 1.5 1.6 1.7 Introduction Functions of the Financial System Financial Instruments Financial Markets Impact of Globalisation Financial Institutions Summary
1
Chapter 1
The Financial System
Copyright 2003 McGraw-Hill Australia Pty Ltd PPTs t/a Financial Accounting by Willis Slides prepared by Kaye Watson
2
Learning Objectives
financial markets • Categorise the main types of financial institutions • Understand the impact of a financial crisis on a financial system and a real economy
Copyright 2003 McGraw-Hill Australia Pty Ltd PPTs t/a Financial Accounting by Willis Slides prepared by Kaye Watson
13
1.2 Functions of the Financial System (cont.)
• An efficient financial system – Encourages savings – Savings flow to the most efficient users – Implements the monetary policy of governments by influencing interest rates – The combination of assets and liabilities comprising the desired attributes of return, risk, liquidity and timing of cash flows
1
Chapter 1
The Financial System
Copyright 2003 McGraw-Hill Australia Pty Ltd PPTs t/a Financial Accounting by Willis Slides prepared by Kaye Watson
2
Learning Objectives
financial markets • Categorise the main types of financial institutions • Understand the impact of a financial crisis on a financial system and a real economy
Copyright 2003 McGraw-Hill Australia Pty Ltd PPTs t/a Financial Accounting by Willis Slides prepared by Kaye Watson
13
1.2 Functions of the Financial System (cont.)
• An efficient financial system – Encourages savings – Savings flow to the most efficient users – Implements the monetary policy of governments by influencing interest rates – The combination of assets and liabilities comprising the desired attributes of return, risk, liquidity and timing of cash flows
金融市场与金融机构英文课件ppt.ppt
─ Mutual Savings Banks ─ Savings and Loan Associations ─ Savings and Loans in Trouble: The Thrift Crisis ─ Political Economy of the Savings and Loan Crisis
篮球比赛是根据运动队在规定的比赛 时间里 得分多 少来决 定胜负 的，因 此，篮 球比赛 的计时 计分系 统是一 种得分 类型的 系统ຫໍສະໝຸດ Chapter Preview
Consumer banking was almost non-existent in the early 1800s. Commercial banks were common, but their business was primarily restricted to commercial loans and services. But, in the late 1800s, a new type of institution opened—the savings and loan association. This is the topic of chapter 25.
Mutual Savings Banks
▪ Depositors are the owners of the firm
▪ Stock in the bank is not sold or issued, but rather depositors own a share of the bank in proportion to their deposits
© 2012 Pearson Education. All rights reserved.
篮球比赛是根据运动队在规定的比赛 时间里 得分多 少来决 定胜负 的，因 此，篮 球比赛 的计时 计分系 统是一 种得分 类型的 系统ຫໍສະໝຸດ Chapter Preview
Consumer banking was almost non-existent in the early 1800s. Commercial banks were common, but their business was primarily restricted to commercial loans and services. But, in the late 1800s, a new type of institution opened—the savings and loan association. This is the topic of chapter 25.
Mutual Savings Banks
▪ Depositors are the owners of the firm
▪ Stock in the bank is not sold or issued, but rather depositors own a share of the bank in proportion to their deposits
© 2012 Pearson Education. All rights reserved.
金融市场英文课件 (13)
Decrease rate of growth in money supply by supplying fewer reserves to banking system
Conflicts between monetary policies and monetary goals
Monetary Goals and Targets
Whether the Fed should be the regulator of last resort
Monetarist Experiment: 1979-1982
Fed’s Target: Non-borrowed reserves
Use of open market operations
Intermediate Target: Monetary aggregates Operating Target: Quantity of non-borrowed
Main Policy Tool: Fed funds rate
Transition from Greenspan to Bernanke
Continued policies under Greenspan More openness in communications Housing and credit crisis Questions of the Fed’s role in housing crisis
Plaza Agreement in September 1985 Louvre Accord in February 1987
Stability in Financial Markets
Stock market crash in October 1987
Conflicts between monetary policies and monetary goals
Monetary Goals and Targets
Whether the Fed should be the regulator of last resort
Monetarist Experiment: 1979-1982
Fed’s Target: Non-borrowed reserves
Use of open market operations
Intermediate Target: Monetary aggregates Operating Target: Quantity of non-borrowed
Main Policy Tool: Fed funds rate
Transition from Greenspan to Bernanke
Continued policies under Greenspan More openness in communications Housing and credit crisis Questions of the Fed’s role in housing crisis
Plaza Agreement in September 1985 Louvre Accord in February 1987
Stability in Financial Markets
Stock market crash in October 1987
金融市场英文课件 (20)
After-Tax Discount Rate = Pretax Discount Rate x (1 Marginal Tax Rate)
If the marginal tax rate is expected to increase, the after-tax discount rate will decrease
P
CF1 (1 r)1
CF2 (1 r)2
CF3 (1 r)3
...
CFN (1 r)N
where: P = the price of the financial asset CFt = cash flow at end of year t (t=1,2,…,N) N = maturity of the financial asset r = appropriate discount rate
Example: Determining Duration
Modified Duration and Effective Duration
Modified Duration
Assumes future cash flows from an asset do not change with changes in interest rates
More expensive the asset, investor will receive less yield
Sensitivity of price to a change in required yield differ among assets
Changes in the required yield are measured in terms of basis points
If the marginal tax rate is expected to increase, the after-tax discount rate will decrease
P
CF1 (1 r)1
CF2 (1 r)2
CF3 (1 r)3
...
CFN (1 r)N
where: P = the price of the financial asset CFt = cash flow at end of year t (t=1,2,…,N) N = maturity of the financial asset r = appropriate discount rate
Example: Determining Duration
Modified Duration and Effective Duration
Modified Duration
Assumes future cash flows from an asset do not change with changes in interest rates
More expensive the asset, investor will receive less yield
Sensitivity of price to a change in required yield differ among assets
Changes in the required yield are measured in terms of basis points
金融市场学双语课件C10-Powerpoint Slides
Public Placement of Stock
s
Secondary stock offerings
q New
stock issued by firm that already has shares outstanding
s
Shelf Registration
q 1982
SEC rule q Allows firms to place securities without the time lag associated with registering with SEC
q Short
sales
x Borrow
stock and sell x Repay stock loan, hopefully at a lower price x Investor able to have potential profit from decline in stock price
statement to SEC (Securities and Exchange Commission) x Prospectus x Firm is assisted by an investment banker
q Performance
x Price
of IPOs
generally rises on first day x Longer-term performance of IPOs is poor
Regulation of Trading on Stock Exchanges
sSecurities Act
Of 1933 and 1934 Exchange Commission Of Securities Dealers
金融市场学双语课件C07-Powerpoint Slides
q q
The YTM is the investor’s expected rate of return if the bond is held to maturity The actual YTM may vary from the expected because of risks assumed by the investors
s
Corporate Bonds
s
When corporations want to borrow for longterm periods they issue corporate bonds
q Usually
pay semiannual interest q Most have maturities between 10-30 years q Public offering vs. private placement q Limited exchange, larger OTC secondary market q Investors seek safety of principal and steady income
U. S. Treasury Bonds
Issued by the U.S. Treasury to finance federal government expenditures s Maturity
s
q Notes,
< 10 Years q Bonds, > 10 to 30 Years
Active OTC Secondary Market s Semiannual Interest Payments s Benchmark Debt Security for Any Maturity
The YTM is the investor’s expected rate of return if the bond is held to maturity The actual YTM may vary from the expected because of risks assumed by the investors
s
Corporate Bonds
s
When corporations want to borrow for longterm periods they issue corporate bonds
q Usually
pay semiannual interest q Most have maturities between 10-30 years q Public offering vs. private placement q Limited exchange, larger OTC secondary market q Investors seek safety of principal and steady income
U. S. Treasury Bonds
Issued by the U.S. Treasury to finance federal government expenditures s Maturity
s
q Notes,
< 10 Years q Bonds, > 10 to 30 Years
Active OTC Secondary Market s Semiannual Interest Payments s Benchmark Debt Security for Any Maturity
[]金融市场学双语课件C02-Powerpoint Slides
![[]金融市场学双语课件C02-Powerpoint Slides](https://img.taocdn.com/s3/m/2e22804f700abb68a982fbd1.png)
Loanable Funds Theory
Business Demand for Loanable Funds
l There is an inverse relationship between interest rates and the quantity of loanable funds demanded
n Demand = borrowers, issuers of securities, deficit spending unit
n Supply = lenders, financial investors, buyers of securities, surplus spending unit
n Explains how economic and other factors influence interest rate changes
n Interest rates determined by demand and supply for loanable funds
Loanable Funds Theory, cont.
Net Present Value is calculated as follows:
n
NPV =
–INV +
t= 1
CFt (1 + k)t
Loanable Funds Theory
Business Demand for Loanable Funds
l Projects with a positive NPV are accepted because the present value of their benefits outweighs their costs
Chapter1ThePaymentSystem(金融市场学)
for value (I.e.money ).
Without a payment system,what shall we do?
Without a payment system,what shall we do?
Without a payment system, goods and services would have to be exchanged for each other in order to allow people to consume things that they have not produced for themselves . Barter system
The financial system is that part of the economy that provides services and products . Here it is divided into 3parts --the payment system The financing system The financial market risk management system.
The Campbell Committee (2)
By the mid-1980s , Australia’s financial system had been deregulated,resulting in the conversion of the many nonbanks into banks and the amalgamation of non-banks into the operations of their bank owners.
Financial institutions and financial markets undertake the work of a financial system. Global financial system in1970s and 1980s. Australia’s financial system is principally domestic.
Without a payment system,what shall we do?
Without a payment system,what shall we do?
Without a payment system, goods and services would have to be exchanged for each other in order to allow people to consume things that they have not produced for themselves . Barter system
The financial system is that part of the economy that provides services and products . Here it is divided into 3parts --the payment system The financing system The financial market risk management system.
The Campbell Committee (2)
By the mid-1980s , Australia’s financial system had been deregulated,resulting in the conversion of the many nonbanks into banks and the amalgamation of non-banks into the operations of their bank owners.
Financial institutions and financial markets undertake the work of a financial system. Global financial system in1970s and 1980s. Australia’s financial system is principally domestic.
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政承诺并继续持规定的未来现金流
Flow of funds资金周转
–
Movement of funds through the financial system between savers and borrowers giving rise to financial instruments
Copyright 2003 McGraw-Hill Australia Pty Ltd PPTs t/a Financial Accounting by Willis Slides prepared by Kaye Watson
• The financial system facilitates portfolio
restructuring制度促进了结构调整计划
–
The combination of assets and liabilities comprising the desired attributes of return, risk, liquidity and timing of cash flows
Copyright 2003 McGraw-Hill Australia Pty Ltd PPTs t/a Financial Accounting by Willis Slides prepared by Kaye Watson
11
1.2 Functions of the Financial System
• An efficient financial system – Encourages savings – Savings flow to the most efficient users – Implements the monetary policy of governments by influencing interest rates – The combination of assets and liabilities comprising the desired attributes of return, risk, liquidity and timing of cash flows
Copyright 2003 McGraw-Hill Australia Pty Ltd PPTs t/a Financial Accounting by Willis Slides prepared by Kaye Watson
4
Chapter Organisation
1.1 1.2 1.3 1.4 1.5 1.6 1.7 Introduction Functions of the Financial System Financial Instruments Financial Markets Impact of Globalisation Financial Institutions Summary
• Liquidity
–
Ability to sell an asset within reasonable time at current market prices and for reasonable transaction costs
• Time-pattern of the cash flows时间的现金流动模式
Hale Waihona Puke financial markets • Categorise the main types of financial institutions • Understand the impact of a financial crisis on a financial system and a real economy
Financial Institutions, Instruments and Markets
Qian li (潜力）
Copyright 2003 McGraw-Hill Australia Pty Ltd PPTs t/a Financial Accounting by Willis Slides prepared by Kaye Watson
• Explain the functions of a financial system • Describe the main classes of financial
instruments issued in a financial system • Distinguish between various types of financial markets according to function • Discuss the flow of funds between savers and borrowers, including direct and intermediated finance
8
1.1 Introduction (cont.)
• Financial system – Financial institutions, instruments and markets facilitating transactions for goods and services and financial transactions – Overcomes difficulty of
Copyright 2003 McGraw-Hill Australia Pty Ltd PPTs t/a Financial Accounting by Willis Slides prepared by Kaye Watson
13
1.2 Functions of the Financial System (cont.)
Copyright 2003 McGraw-Hill Australia Pty Ltd PPTs t/a Financial Accounting by Willis Slides prepared by Kaye Watson
3
Learning Objectives (cont.)
• Appreciate the influence of globalisation on
–
When the expected cash flows from a financial asset are to be received by the investor or lender
• Individuals and businesses may be categorized as
being risk averse风险保守, risk neutral 风险中等or risk take冒险家
–
Risk
Copyright 2003 McGraw-Hill Australia Pty Ltd PPTs t/a Financial Accounting by Willis Slides prepared by Kaye Watson
12
1.2 Functions of the Financial System (cont.)
Copyright 2003 McGraw-Hill Australia Pty Ltd PPTs t/a Financial Accounting by Willis Slides prepared by Kaye Watson
7
1.1 Introduction (cont.)
• Financial instrument – Issued by a party raising funds, acknowledging a financial commitment and entitling holder to specified future cash flows一方筹集资金，提出的财
• Role of markets – Facilitate exchange by便利交换
Bringing opposite parties together使各方一道对面 Establishing rates of exchange建立汇率, i.e. prices
• Surplus units剩余单位 – Savers of funds available for lending储户的资金 可用于贷款 • Deficit units赤字单位 – Borrowers of funds for capital investment and consumption
9
1.1 Introduction (cont.)
Copyright 2003 McGraw-Hill Australia Pty Ltd PPTs t/a Financial Accounting by Willis Slides prepared by Kaye Watson
10
Chapter Organisation
1.1 1.2 1.3 1.4 1.5 1.6 1.7 Introduction Functions of the Financial System Financial Instruments Financial Markets Impact of Globalisation Financial Institutions Summary
Copyright 2003 McGraw-Hill Australia Pty Ltd PPTs t/a Financial Accounting by Willis Slides prepared by Kaye Watson
14
1.2 Functions of the Financial System (cont.)
• Attributes of financial assets金融资产的属性 – Return or yield
Total financial compensation received from an investment expressed as a percentage of the amount invested Probability that actual return on an investment will vary from the expected return
Flow of funds资金周转
–
Movement of funds through the financial system between savers and borrowers giving rise to financial instruments
Copyright 2003 McGraw-Hill Australia Pty Ltd PPTs t/a Financial Accounting by Willis Slides prepared by Kaye Watson
• The financial system facilitates portfolio
restructuring制度促进了结构调整计划
–
The combination of assets and liabilities comprising the desired attributes of return, risk, liquidity and timing of cash flows
Copyright 2003 McGraw-Hill Australia Pty Ltd PPTs t/a Financial Accounting by Willis Slides prepared by Kaye Watson
11
1.2 Functions of the Financial System
• An efficient financial system – Encourages savings – Savings flow to the most efficient users – Implements the monetary policy of governments by influencing interest rates – The combination of assets and liabilities comprising the desired attributes of return, risk, liquidity and timing of cash flows
Copyright 2003 McGraw-Hill Australia Pty Ltd PPTs t/a Financial Accounting by Willis Slides prepared by Kaye Watson
4
Chapter Organisation
1.1 1.2 1.3 1.4 1.5 1.6 1.7 Introduction Functions of the Financial System Financial Instruments Financial Markets Impact of Globalisation Financial Institutions Summary
• Liquidity
–
Ability to sell an asset within reasonable time at current market prices and for reasonable transaction costs
• Time-pattern of the cash flows时间的现金流动模式
Hale Waihona Puke financial markets • Categorise the main types of financial institutions • Understand the impact of a financial crisis on a financial system and a real economy
Financial Institutions, Instruments and Markets
Qian li (潜力）
Copyright 2003 McGraw-Hill Australia Pty Ltd PPTs t/a Financial Accounting by Willis Slides prepared by Kaye Watson
• Explain the functions of a financial system • Describe the main classes of financial
instruments issued in a financial system • Distinguish between various types of financial markets according to function • Discuss the flow of funds between savers and borrowers, including direct and intermediated finance
8
1.1 Introduction (cont.)
• Financial system – Financial institutions, instruments and markets facilitating transactions for goods and services and financial transactions – Overcomes difficulty of
Copyright 2003 McGraw-Hill Australia Pty Ltd PPTs t/a Financial Accounting by Willis Slides prepared by Kaye Watson
13
1.2 Functions of the Financial System (cont.)
Copyright 2003 McGraw-Hill Australia Pty Ltd PPTs t/a Financial Accounting by Willis Slides prepared by Kaye Watson
3
Learning Objectives (cont.)
• Appreciate the influence of globalisation on
–
When the expected cash flows from a financial asset are to be received by the investor or lender
• Individuals and businesses may be categorized as
being risk averse风险保守, risk neutral 风险中等or risk take冒险家
–
Risk
Copyright 2003 McGraw-Hill Australia Pty Ltd PPTs t/a Financial Accounting by Willis Slides prepared by Kaye Watson
12
1.2 Functions of the Financial System (cont.)
Copyright 2003 McGraw-Hill Australia Pty Ltd PPTs t/a Financial Accounting by Willis Slides prepared by Kaye Watson
7
1.1 Introduction (cont.)
• Financial instrument – Issued by a party raising funds, acknowledging a financial commitment and entitling holder to specified future cash flows一方筹集资金，提出的财
• Role of markets – Facilitate exchange by便利交换
Bringing opposite parties together使各方一道对面 Establishing rates of exchange建立汇率, i.e. prices
• Surplus units剩余单位 – Savers of funds available for lending储户的资金 可用于贷款 • Deficit units赤字单位 – Borrowers of funds for capital investment and consumption
9
1.1 Introduction (cont.)
Copyright 2003 McGraw-Hill Australia Pty Ltd PPTs t/a Financial Accounting by Willis Slides prepared by Kaye Watson
10
Chapter Organisation
1.1 1.2 1.3 1.4 1.5 1.6 1.7 Introduction Functions of the Financial System Financial Instruments Financial Markets Impact of Globalisation Financial Institutions Summary
Copyright 2003 McGraw-Hill Australia Pty Ltd PPTs t/a Financial Accounting by Willis Slides prepared by Kaye Watson
14
1.2 Functions of the Financial System (cont.)
• Attributes of financial assets金融资产的属性 – Return or yield
Total financial compensation received from an investment expressed as a percentage of the amount invested Probability that actual return on an investment will vary from the expected return