[管理学]《金融机构风险管理》第七版Chap022.pptVIP

Federal Reserve CME Group CFTC FDIC FASB OCC SEC Pertinent Websites CHAPTER 22 Futures and Forwards Copyright ? 2011 by The McGraw-Hill Companies, Inc. All Rights Reserved. McGraw-Hill/Irwin Overview Derivative securities have become increasingly important as FIs seek methods to hedge risk exposures. The growth of derivative usage is not without controversy since misuse can increase risk. This chapter explores the role of futures and forwards in managing interest rate risk, FX risk, credit risk, and catastrophe risk. Futures and Forwards Third largest group of interest rate derivatives in terms of notional contract volumes Swaps are the largest Options second largest Contracts are held not only for hedging purposes, but FIs also serve as counterparty for other firms wishing to hedge on balance sheet risks Derivatives Rapid growth of derivatives use has been controversial Bankers Trust, Allfirst Bank (Allied Irish) As of 2000, FASB requires that derivatives be marked to market Transparency of losses and gains on financial statements Late 2000s, major changes: Federal regulation and policing by SEC Web Resources For further information on financial accounting standards, visit: FASB Spot and Forward Contracts Spot contract Agreement at t = 0 for immediate delivery and immediate payment Forward contract Agreement between two parties to exchange an asset at a specified future date for a price which is set at t = 0 Counterparty risk OTC, but secondary markets have developed for forward contracts Futures Contracts Futures contract similar to a forward contract except: Marked to market Standardized contracts Smaller denomination than forward Exchange traded Rapid growth of off market trading systems Lower default risk than forward contracts Delivery of underlying asset seldom occurs Off-market Trading Terms of futures contracts traded in the U.S. are subject to regulatory approval of Commodities Futures