博迪投资学第八版课件Chap023.pptVIP

CHAPTER 23 Futures, Swaps, and Risk Management Figure 23.8 Forward Contracts versus Swaps Credit Default Swaps Payment on a CDS is tied to the financial status of or more reference firms Allows two counterparties to take positions on the credit risk of those firms Indexes of CDS have now been introduced Commodity Futures Pricing General principles that apply to stock apply to commodities Carrying costs are more for commodities Spoilage is a concern Where; F0 = futures price P0 = cash price of the asset C = Carrying cost c = C/P0 Figure 23.9 Typical Agricultural Price Pattern over the Season Table 23.3 Commodity Betas 23-* Bodie, Kane and Marcus Slides by Susan Hine McGraw-Hill/Irwin Copyright ? 2009 by The McGraw-Hill Companies, Inc. All rights reserved. Futures markets Chicago Mercantile (International Monetary Market) London International Financial Futures Exchange MidAmerica Commodity Exchange Active forward market Differences between futures and forward markets Foreign Exchange Futures Interest rate parity theorem Developed using the US Dollar and British Pound where F0 is the forward price E0 is the current exchange rate Pricing on Foreign Exchange Futures Text Pricing Example rus = 4% ruk = 5% E0 = $2.00 per pound T = 1 yr If the futures price varies from $1.981 per pound arbitrage opportunities will be present Figure 23.1 Spot and Forward Prices in Foreign Exchange Figure 23.2 Foreign Exchange Futures Direct Versus Indirect Quotes Direct exchange rate quote: The exchange rate is expressed as dollars per the foreign currency Indirect exchange rate quote: The exchange rate is expressed as the foreign currency per the dollar Hedging Foreign Exchange Risk A US firm wants to protect against a decline in profit that would result from a decline in the pound Estimated profit loss of $200,000 if the pound declines by $.10 Short or sell pounds for future delivery to avoid the exposure Hedge Ratio for Foreign Exchange Example Hedge Ratio in po