衍生工具和风险管理-ch12.ppt

D. M. Chance An Introduction to Derivatives and Risk Management, 6th ed. Chapter 12: Financial Risk Management: Techniques and Applications Risk management is akin to a dialysis machine. It it doesn’t work, you might have a noble obituary, but you’re dead. Ben Golub Derivatives Strategy, October, 2000, p. 26 Important Concepts in Chapter 15 The concept and practice of risk management The benefits of risk management The difference between market and credit risk How market risk is managed using delta, gamma, vega, and Value-at-Risk How credit risk is managed, including credit derivatives Risks other than market and credit risk Definition of risk management: the practice of defining the risk level a firm desires, identifying the risk level it currently has, and using derivatives or other financial instruments to adjust the actual risk level to the desired risk level. Why Practice Risk Management? The Impetus for Risk Management Firms practice risk management for several reasons: Interest rates, exchange rates and stock prices are more volatile today than in the past. Significant losses incurred by firms that did not practice risk management Improvements in information technology Favorable regulatory environment Sometimes we call this activity financial risk management. Why Practice Risk Management? (continued) The Benefits of Risk Management What are the benefits of risk management, in light of the Modigliani-Miller principle that corporate financial decisions provide no value because shareholders can execute these transactions themselves? Firms can practice risk management more effectively. There may tax advantages from the progressive tax system. Risk management reduces bankruptcy costs. Managers are trying to reduce their own risk. Why Practice Risk Management? (continued) The Benefits of Risk Management (continued) By protecting a firm’s cash flow, it increases the likelihood that the firm will generate enough cash to allow it to engage in profitable