金融机构管理09 远期期货和风险管理.pptVIP

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 远期和期货 利率风险 期权、科上下限 外汇风险 互换 信用风险 芝加哥期货交易所CME芝加哥商品交易所 LIFFE伦敦国际金融期货交易所 SIMEX新加坡国际货币期货交易所HKFE香港期货交易所 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 n现货合约 Spot Contract o Agreement at t=0 for immediate delivery and immediate payment n远期合约 Forward contract o 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 o Marked to market 日 Xchange tradeo o Standardized contracts o lower default risk than forward contracts Contract time line合约的时间轴 二 ontract Time lines 3 Months between buyer and seller Bonds delivered by Price agreed/ paid seller to buye 3 Months Pnce agroad Buyer pays forward etween buyer and seller delivers bonds Marking to market every day Futures 3 Months Buyer Forward contract and hedging 远期合约与利率风险规避(1-2) 100000值的20年期债券; 在时期0,债券价值总计97000,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% AP △R D P 1+R △P 0 02 9 970000 1+8% △P=-9×970000X8%-1616667 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 selling3 months forward at forward price of $970,000 假设利率实现8%上升到10% S970,000-S808,333=S161,667 (forward price) (spot price at t=3 months) 抵消表内损失 Exactly offsets the on-balance-sheet los 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 口整体风险规避 Macrohedging ■资产负债表有效期缺口的风险规避 Future Contract and Hedging 期货合约与利率风险规避 口常规避险( Routine versus) 将利率和其他风险敞口降低到可能达到的最低水平 低风险低收益( Low risk- low return) 口选择性避险( Selective Hedging) 选择性地保留一些风险敞口 The effects of hedging on risk and return 风险规避对风险和收益的影响 收率 未进行网险规避 选择性风险规避 长亮全性风险规避 ÷过度风险规避 风险 最低风险的资产组合