金融机构管理09 远期期货与风险管理.ppt

Futures and Forwards 期货与远期交易 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 Derivative and risk management 衍生金融工具与风险管理 FORWARD and FUTURE CONTRACTS远期合约和期货合约 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 FIs hedge interest rate risk and foreign exchange risk either at the micro level (called microhedging) or at the macro level (called macrohedging) and they engage in either routine hedging or selective hedging. 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. Contract time line 合约的时间轴 Forward contract and hedging远期合约与利率风险规避 (1-2) 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%. Forward contract and hedging远期合约与利率风险规避 (2-2) 套保策略：卖出三个月远期 Hedged by selling 3 months forward at forward price of $970,000. 假设利率实现 8%上升到10%. $970,000 - $808,333 = $161,667 (forward price) (spot price at t=3 months) 抵消表内损失 Exactly offsets the on-balance-sheet loss. 实现免疫 Immunized. Future Contract and Hedging期货合约与利率风险规避 局部风险规避 Microhedging 特定资产或者负债的风险规避 整体风险规避 Macrohedging 资产负债表有效期缺口的风险规避 The effects of hedging on risk and return风险规避对风险和收益的影响 Macrohedging with Future以期货合约进行整体风险规避 Number of future contract 出售合约的数量 NF Macrohedging with Future以期货合约进行整体风险规避 假设DA=5 ; DL=3 预期下一年的利率将从10%上升到11% 利率期货合约 Profit or loss on a future position 长期国债期货头寸的损益状况 Basis Risk 基差风险 (2-3) Basis Risk 基差风险 (3-3) 解： 1、持续期缺口=10?(860/950)(2)= 8.19 years 2、面临利率上升的风险，如果市场利率上升1%，其权益市场价值下降 ?E = -8.19(950,000)(.01) = ?$77,805 3、卖出远期或者期货进行整体风险规避，如果所有的利率都上升1%, ? F = ? 9(96,000)(.01)= ?$8,640 /每张合约 4、$77,805/8,640 = 9.005 大约9张 5、[?Rf/(1+Rf) ? ?R/(1+R)] = 0.90，即br=0.90，表明现货市场利率变动超过期货市场，即期货价格对利率的敏感度较现货价格差，金融机构需要更多的合约回避风险。 Hedging foreign exchange risk 外汇风险 Forward 出售英镑远期对英镑资产多头套保 Futur