Copyright 2009 Pearson Education, Inc. Publishing as Prentice Hall,1,第11章： 对冲、保险和分散化,目标 解释为实施对冲和保险 而设的市场机制,Copyright 2009 Pearson Education, Inc. Publishing as Prentice Hall,2,内容,11.1 用远期和期货合约对冲风险 11.2 用互换合约对冲外汇风险 11.3 通过对负债匹配资产对冲缺口风险 11.4 最小化对冲成本 11.5 投保与对冲,11.6 保险合约的基本特征 11.7 金融担保 11.8 利率上限和下限 11.9 作为保险的期权 11.10 分散化原理 11.11 为分散化投资组合保险,Copyright 2009 Pearson Education, Inc. Publishing as Prentice Hall,3,11.1用远期和期货合约对冲风险,远期合约（Forward Contract） 双方达成的协议，在约定时间、以约定价格交换约定数量的某物 此协议对双方都是义务 注意将远期与一方交换某物的权利而非义务进行区分 为取消合约，需协商订立二次合约，结算双方的现金盈亏并支付,Copyright 2009 Pearson Education, Inc. Publishing as Prentice Hall,4,术语的定义,远期价格（Forward Price） 一件在未来特定日期购买并支付的物品的（今天一致同意的）价格 即期价格（Spot Price） 一件立即购买并支付的物品的（今天一致同意的）价格 面值（Face Value） 交割数量乘以远期价格,Copyright 2009 Pearson Education, Inc. Publishing as Prentice Hall,5,术语的定义,多头头寸（Long Position） 同意购买标的物【数量】（从持空头头寸者手里） 空头头寸（Short Position） 同意卖出标的物【数量】（给持多头头寸者）,Copyright 2009 Pearson Education, Inc. Publishing as Prentice Hall,6,用远期和期货合约对冲风险,传统上，直到交割日（settlement date）远期合约约定的支付才得以进行 如果远期合约的一方不相信另一方，则增加条款以 提供担保给利益相关者 通过按合约的当前市场价值结算其现金价值，定期使合约价值清零【类似期货盯市制】,Copyright 2009 Pearson Education, Inc. Publishing as Prentice Hall,7,用远期和期货合约对冲风险：期货合约,商品和金融产品期货合约包括这类条款以预防信用风险，我们将相关细节留到第14章讨论 为了叙述的清晰，以下例子将期货如纯远期合约一般看待,Copyright 2009 Pearson Education, Inc. Publishing as Prentice Hall,8,农场主和面包师（例）,Jamela是一位农场主，有10万蒲式耳小麦将在一个月后收获 Mohammed是一位面包师，需要为来年重置其小麦存货,Copyright 2009 Pearson Education, Inc. Publishing as Prentice Hall,9,农场主和面包师,Jamela和Mohammed希望减少价格不确定性，因为： Jamela的农场有一个抵押贷款要付，担心下个月小麦价格会跌 Mohammed希望履行与超市的供货协议来年以固定价格向其提供面包,Copyright 2009 Pearson Education, Inc. Publishing as Prentice Hall,10,农场主和面包师,Jamela和Mohammed一致同意一个远期合约 Jamela同意一个月后以2美元/蒲式耳交割10万蒲式耳小麦，而Mohammed同意届时见货即付20万美元 假定庄稼不会歉收，双方都能对冲其义务【导致的风险】,Copyright 2009 Pearson Education, Inc. Publishing as Prentice Hall,11,农场主和面包师：结论,通过远期合约，农场主和面包师均消除了特定风险,Copyright 2009 Pearson Education, Inc. Publishing as Prentice Hall,12,Farmers Total Cash Flows from Hedging with Futures,Copyright 2009 Pearson Education, Inc. Publishing as Prentice Hall,13,风险转移：三个要点,交易减少还是增加风险，依赖于交易进行所处的特定环境 一项风险减少交易的双方都能获利。而回顾起来，似乎一方的利得正是另一方的亏损 即使总产出和总风险都没有改变，重新分配双方承担的风险【从风险自担到我为你担你为我担】也能改善所有各方的福利,Copyright 2009 Pearson Education, Inc. Publishing as Prentice Hall,14,11.2 Hedging Foreign-Exchange Risk with Swap Contracts,Swap Contract an agreement between two parties to exchange a series of cash flows, at specific intervals, over a specified period of time the swap payments are based on an agreed principal amount (the notional amount) there is no immediate payment of money to either party as compensation for entering the contract,Copyright 2009 Pearson Education, Inc. Publishing as Prentice Hall,15,Hedging Foreign-Exchange Risk with Swap Contracts,A swap may call for the exchange of anything, but most swaps are for the exchange of commodities currencies securities returns,Copyright 2009 Pearson Education, Inc. Publishing as Prentice Hall,16,Currency Swap Example,You have an agreement with a German software distributor for them to market the German language version of your financial derivative pricing program for a payment of DM100,000/year for 10 years To hedge foreign exchange risk, immunize your future DM to $US transactions using a currency swap agreement,Copyright 2009 Pearson Education, Inc. Publishing as Prentice Hall,17,Currency Swap Example,This swap arrangement is equivalent to a series of forward foreign exchange contracts The notional amount in the swap contract corresponds to the face value of the implied forward contracts,Copyright 2009 Pearson Education, Inc. Publishing as Prentice Hall,18,Currency Swap Example,You are still at risk after the swap Default: There is a probability that the German company will default on its agreement, either by going bankrupt, or by exercising a performance clause in the contract Default driven Exchange Risk: Should default occur, you reacquire exchange risk through the residual swap agreement,Copyright 2009 Pearson Education, Inc. Publishing as Prentice Hall,19,Currency Swap Example,Suppose the spot exchange rate is $0.50/DM You and the counterparty agree that the forward exchange rates should decline from the current spot by 2% per year (rounded) for 5 years, and then remain static,Copyright 2009 Pearson Education, Inc. Publishing as Prentice Hall,20,Currency Swap Example,The forward rates are then agreed to be: 0.49, 0.48, 0.47, 0.46, 0.45, 0.45, 0.45, 0.45, 0.45, 0.45 Assume the actual spot rates are: 0.50, 0.51, 0.53, 0.51, 0.49, 0.48, 0.48, 0.47, 0.45, 0.43 The flows from/ to the counterparty are computed as (Forward - Spot)*notional amount,Copyright 2009 Pearson Education, Inc. Publishing as Prentice Hall,21,Currency Swap Example,(0.49 $/DM -0.50 $/DM )*100,000 DM = $1,000 (Year 1) (0.48 $/DM -0.51 $/DM )*100,000 DM = $3,000 (Year 2) (0.47 $/DM -0.53 $/DM )*100,000 DM = $6,000 (Year 3) (0.46 $/DM -0.51 $/DM )*100,000 DM = $5,000 (Year 4) (0.45 $/DM -0.49 $/DM )*100,000 DM = $4,000 (Year 5) (0.45 $/DM -0.48 $/DM )*100,000 DM = $3,000 (Year 6) (0.45 $/DM -0.48 $/DM )*100,000 DM = $3,000 (Year 7) (0.45 $/DM -0.47 $/DM )*100,000 DM = $2,000 (Year 8) (0.45 $/DM -0.45 $/DM )*100,000 DM = $0,000 (Year 9) (0.45 $/DM -0.43 $/DM )*100,000 DM = $2,000 (Year 10),