08_远期期货与风险管理综述.ppt

风险管理的市场操作 远期合约和期货合约 期权、利率上限、下限和利率上下限 互换 衍生金融工具与风险管理 远期合约和期货合约 远期和期货合约 利率风险的套期保值 外汇风险的套期保值 信用风险的套期保值 远期合约与期货合约 现货合约 Spot Contract Agreement at t=0 for immediate delivery and immediate payment. 远期合约 Forward Contract Agreement to exchange an asset at a specified future date for a price which is set at t=0. Counterparty risk 期货合约 Futures Contract Marked to market Exchange traded Standardized contracts Lower default risk than forward contracts. 合约的时间轴 远期合约与利率风险规避 1 000 000面值的20年期债券； 在时期0，债券价值总计970 000,该债券的久期为9年; 预期利率三个月内将上升2%，即从8%上升到10%. 远期合约与利率风险规避 套保策略：卖出三个月远期 Hedged by selling 3 months fo