金融市场与金融机构chp11-derivative.pptVIP

Chapter 11 Derivatives Markets The Collapse of Barings Nicholas Leeson The son of a plasterer from the London suburb of Watford 28-year-old trader who never graduated from college Gained knowledge through numerous investment establishment positions Fantasy: Leeson is a genius – Created 50% of Barings’ 1994 profits 当他认为日经指数期货将要上涨时，不惜伪造文件筹集资金，通过私设账户大量买进日经股票指数期货头寸，从事自营投机活动。 然而，日本关西大地震打破了李森的美梦，日经指数不涨反跌，李森持有的头寸损失巨大。 若此时他能当机立断斩仓，损失还是能得到控制，但过于自负的李森在1995年1月26日以后，又大幅增仓，导致损失进一步加大。 1995年2月23日，李森突然失踪，其所在的巴林新加坡分行持有的日经 225股票指数期货合约超过6万张，占市场总仓量的30％以上，预计损失逾10亿美元之巨。 这项损失，已完全超过巴林银行约5．41亿美元的全部净资产值， 英格兰银行于2月26日宣告巴林银行破产。3月6日，英国高等法院裁决，巴林银行集团由荷兰商业银行收购。 这笔数字，是巴林银行全部资本及储备金的1.2倍。 January 17, 1995 Kobe Earthquake Nikkei dropped sharply as people took cash out A derivative is an instrument whose value depends on the values of other more basic underlying variables 全球各类衍生性商品交易量排名 Ways Derivatives are Used To hedge risks To speculate (take a view on the future direction of the market) To lock in an arbitrage profit To change the nature of a liability To change the nature of an investment without incurring the costs of selling one portfolio buying another Chapter Outline Forward Contracts? Example: A highly prized St. Bernard has just given birth to a litter of pups. A buyer agrees to buy one pup for $400. The exchange cannot take place for 6 weeks. The buyer and seller agree to exchange (sell) the pup in 6 weeks for $400. This is a forward contract; both parties are obligated to go through with the deal. Forward (远期) Contracts A forward contract is an agreement to buy or sell an asset at a certain time in the future for a certain price (the delivery price) It can be contrasted with a spot contract which is an agreement to buy or sell immediately It is traded in the OTC market Example: Foreign Exchange Quotes on Aug 16, 2001 Forward Price The forward price for a contract is the delivery price that would be applicable to