博迪教學(xué)課件11

Chapter11:

Hedging,Insuring, andDiversifyingObjectiveExplainmarketmechanismsforimplementinghedgesandinsurance1Copyright?2009PearsonEducation,Inc.PublishingasPrenticeHallChapter11Contents11.1UsingForward&FuturesContractstoHedgeRisks11.2HedgingForeign-ExchangeRiskwithSwapContracts11.3HedgingShortfall-RiskbyMatchingAssetstoLiabilities11.4MinimizingtheCostofHedging11.5InsuringversusHedging11.6BasicFeaturesofInsuranceContracts11.7FinancialGuarantees11.8Caps&FloorsonInterestRates11.9OptionsasInsurance11.10TheDiversificationPrinciple11.11InsuringaDiversifiedPortfolio2Copyright?2009PearsonEducation,Inc.PublishingasPrenticeHall11.1UsingForwardandFuturesContractstoHedgeRisksForwardContractanagreementbetweentwopartiestoexchangesomethingataspecifiedpriceandtimeThisisanobligationonbothpartiesDistinguishthisfromaright,butnottheobligation,ofapartytoexchangesomethingTonullifythecontract,youtrytonegotiatesecondcontractfora+/-cashconsideration3Copyright?2009PearsonEducation,Inc.PublishingasPrenticeHallDefinitionsofTermsForwardPricePrice(agreedtotoday)ofanitemtobepurchased,andpaidfor,atagivenfuturedate

SpotPricePrice(agreedtotoday)ofanitemtobepurchased(andpaidfor)immediatelyFaceValue‘Quantityofdeliverable’times‘forwardprice’4Copyright?2009PearsonEducation,Inc.PublishingasPrenticeHallDefinitionsofTermsLongPositionTheagreementtobuytheitem(fromthepersontakingtheshortposition)ShortPositionTheagreementtoselltheitem(tothepersontakingthelongposition)5Copyright?2009PearsonEducation,Inc.PublishingasPrenticeHallUsingForwardandFuturesContractstoHedgeRisksTraditionally,nopaymentismadeonaforwardcontractuntilthesettlementdateIfthepartiestoaforwardcontractdonottrusttheother,thenaddclausestoprovideasuretiestoastakeholderperiodicallyrendercontractvaluelessbymakingcashsettlementequaltoitscurrentmarketvalue6Copyright?2009PearsonEducation,Inc.PublishingasPrenticeHallUsingForwardandFuturesContractstoHedgeRisks:FuturesContractsFuturescontractsforcommoditiesandfinancialproductsincludessuchclausestoprotectagainstunknowncreditrisks,andweleavethedetailsofthistoChapter14Forclarity,thefollowingexampletreatsfuturesasiftheywerepureforwardcontracts7Copyright?2009PearsonEducation,Inc.PublishingasPrenticeHallTheFarmerandtheBaker(Example)Jamelaisafarmerwithawheatcropofabout100,000bushels,1-monthfromharvestMohammedisabakerwhowillneedtorestockhisinventoryofwheatforthecomingyear8Copyright?2009PearsonEducation,Inc.PublishingasPrenticeHallTheFarmerandtheBakerJamelaandMohammedwishtoreducepriceuncertaintybecause:Jamelahasamortgagetopayonherfarm,andisconcernedaboutwheatpricesfallinginthenextmonthMohammedwishestocloseanagreementwithasupermarkettosupplybreadatafixedpriceforthecomingyear9Copyright?2009PearsonEducation,Inc.PublishingasPrenticeHallTheFarmerandtheBakerJamelaandMohammedagreetoaforwardcontractJamelaagreestodeliver100,000bushelsofwheatat$2.00abushelinonemonth,andMohammedagreestopaythe$200,000ondeliveryAssumingthecropdoesn'tfail,bothpartieshavehedgedtheirobligations10Copyright?2009PearsonEducation,Inc.PublishingasPrenticeHallTheFarmerandtheBakerAssumethatJamelaandMohammedlivemilesapart,anddon’tknoweachotherJamelawritesaforwardcontractwithMs.Distributorat$1.99/bushelMohammedwritesaforwardcontractswithMr.Supplierat$2.01/bushelMs.Distributor,Mr.Supplier,andDr.Anotherhedgewithforwardcontractsat$2.00/bushel11Copyright?2009PearsonEducation,Inc.PublishingasPrenticeHallTheFarmerandtheBakerMoveforwardamonthWheatpricesarenot$2.00abushel,but$2.20,duetowetconditionsinothergeographicregions12Copyright?2009PearsonEducation,Inc.PublishingasPrenticeHallTheFarmerandtheBakerJamela’scropis110,000bushels,anditalsoexceedsthecontractedqualityShedeliversthecontracted100,000bfortheagreed$2.00/bushel,andreceives$200,000Shesellshersurplus10,000bat$2.20+$0.10(aqualitypremium)toalocalbaker,andreceives$23,000Thetotal=$223,00013Copyright?2009PearsonEducation,Inc.PublishingasPrenticeHallTheFarmerandtheBaker:

AlternativeStrategyJamelabuys100,000Bushelsofdeliverablequalitywheat@$2.2/bfor-$220,000,deliversittoMs.Distributor,andreceivestheagreed$200,000.Lossof$20,000Shesellsher110,000bat$2.20+$0.10qualitypremiumtoalocalbakerandreceives$253,000Thetotal=$233,000($10,000more)14Copyright?2009PearsonEducation,Inc.PublishingasPrenticeHallTheFarmerandtheBaker:

AlternativeStrategyTheproducttobedeliveredwastomeetorexceedacertainqualityJamelawouldhavebeenfoolishtodeliverherwheatwhenalowerqualitywheatwasavailablefordeliveryatalowerprice15Copyright?2009PearsonEducation,Inc.PublishingasPrenticeHallTheFarmerandtheBaker:

AlternativeStrategyMohammedbakesapremiumbreadHetoocoulddeviseastrategytoreduceriskusingtheforwardcontract,butalsoreceivepremiumqualitywheat16Copyright?2009PearsonEducation,Inc.PublishingasPrenticeHallTheFarmerandtheBaker:

NextDevelopmentTheforwardcontractsalwaysspecifytheminimumdeliverablequality,andoftenaformulafordeliveringotherqualitiesAmarketinforwardcontractsmaybedevisedthatencouragescashsettlement,anddiscouragesphysicaldelivery17Copyright?2009PearsonEducation,Inc.PublishingasPrenticeHallTheFarmerandtheBaker:

NextDevelopmentJamelasellsforward200,000bfor1-monthdelivery@2.00/bushelThisshorthasnomonetaryvalueatthistimeAmonthlater,thespotpriceofdeliverablewheatis$2.20/b,andtheforwardisabouttoexpire,andsoisalsotradingat$2.20/bThecontractnowhasamonetaryvalue.Thelongpositionisworth$(2.20-2.00)/bushelJamelasettlesherpositionbypaying$20,00018Copyright?2009PearsonEducation,Inc.PublishingasPrenticeHallTheFarmerandtheBaker:

NextDevelopmentJamelahasmadealossof$20,000onhertradeinthehypotheticalwheatforwardsmarketSherecoversthislosswhenshesellsherwheatThisisatruehedge.Shehaslosttheopportunitytoparticipateinariseinthepriceofwheatinreturnfordown-sideprotection19Copyright?2009PearsonEducation,Inc.PublishingasPrenticeHallTheFarmerandtheBaker:

NextDevelopmentThebaker’shedgeintheforwardmarketresultedinasettlementof$20,000Whenhetakesphysicaldelivery,heexactlyoffsetshigherspotpriceswiththis$20,000HetradedtheopportunityoflowerwheatpricesforaknownpriceBothgained!Mohammed’sgain(atJamelaexpense)is20/20hindsight,andshouldbeirrelevanttobothofthem20Copyright?2009PearsonEducation,Inc.PublishingasPrenticeHallTheFarmerandtheBaker:

NextDevelopmentOmarisrich,andwantstogetricherHepurchasesforward100,000bofwheat@$2.00/bushel,fordeliveryin1-monthAtmaturity,deliverablewheatcosts$2.20/bandhemakesacashsettlement,gaining$20,000Omarisaspeculatorprofitingfromhispurportedunderstandingofthemarket21Copyright?2009PearsonEducation,Inc.PublishingasPrenticeHallTheFarmerandtheBaker:

NextDevelopmentRemawantstogetrichtooShesellsforward100,000bofwheat@$2.00/bushelfordeliveryin1-monthAtmaturity,deliverablewheatcosts$2.20/bbutsheisunablepaythe$20,000sheowesRema’sdefaultmustbemadegoodbyoneormoreofthemarket’sparticipants22Copyright?2009PearsonEducation,Inc.PublishingasPrenticeHallTheFarmerandtheBaker:

ForwardstoFuturesTomitigatedefault-riskexposureRequireamodestsuretydepositbasedondailyvolatilityMarkcontracttomarketdaily(renderingthemtemporallyvalueless)Thesmallprofit/lossispayableimmediatelyRemainingproblem:Largedailypricemovements23Copyright?2009PearsonEducation,Inc.PublishingasPrenticeHallTheFarmerandtheBaker:

ConclusionThefarmerandthebakerhavebotheliminatedspecificrisksthroughperfectlyanti-correlatedassetsSpeculatorsareexposedtoconsiderablerisk,hopingtoenjoyastatisticalprofitTheyprovideliquidityandexpertisethatpushthemarketfurthertowardsefficiency24Copyright?2009PearsonEducation,Inc.PublishingasPrenticeHallFarmer’sTotalCashFlowsfromHedging

withFutures25Copyright?2009PearsonEducation,Inc.PublishingasPrenticeHallRiskTransfer:ThreePointsWhetherthetransactionreducesorincreasesriskdependsupontheparticularcontextinwhichitisundertakenBothpartiestoarisk-reducingtransactioncanbenefit.Inretrospect,itmayseemasifoneofthepartieshasgainedattheexpenseoftheotherEvenwithnochangeintotaloutputnortotalrisk,redistributingthewaytheriskisbornecanimprovethewelfareoftheindividualsinvolved26Copyright?2009PearsonEducation,Inc.PublishingasPrenticeHall11.2HedgingForeign-ExchangeRiskwithSwapContractsSwapContractanagreementbetweentwopartiestoexchangeaseriesofcashflows,atspecificintervals,overaspecifiedperiodoftimetheswappaymentsarebasedonanagreedprincipalamount(thenotionalamount)thereisnoimmediatepaymentofmoneytoeitherpartyascompensationforenteringthecontract27Copyright?2009PearsonEducation,Inc.PublishingasPrenticeHallHedgingForeign-ExchangeRiskwithSwapContractsAswapmaycallfortheexchangeofanything,butmostswapsarefortheexchangeofcommoditiescurrenciessecurities’returns28Copyright?2009PearsonEducation,Inc.PublishingasPrenticeHallCurrencySwapExampleYouhaveanagreementwithaGermansoftwaredistributorforthemtomarkettheGermanlanguageversionofyourfinancialderivativepricingprogramforapaymentofDM100,000/yearfor10yearsTohedgeforeignexchangerisk,immunizeyourfutureDMto$UStransactionsusingacurrencyswapagreement29Copyright?2009PearsonEducation,Inc.PublishingasPrenticeHallCurrencySwapExampleThisswaparrangementisequivalenttoaseriesofforwardforeignexchangecontractsThenotionalamountintheswapcontractcorrespondstothefacevalueoftheimpliedforwardcontracts30Copyright?2009PearsonEducation,Inc.PublishingasPrenticeHallCurrencySwapExampleYouarestillatriskaftertheswapDefault:ThereisaprobabilitythattheGermancompanywilldefaultonitsagreement,eitherbygoingbankrupt,orbyexercisingaperformanceclauseinthecontractDefaultdrivenExchangeRisk:Shoulddefaultoccur,youreacquireexchangeriskthroughtheresidualswapagreement31Copyright?2009PearsonEducation,Inc.PublishingasPrenticeHallCurrencySwapExampleSupposethespotexchangerateis$0.50/DMYouandthecounterpartyagreethattheforwardexchangeratesshoulddeclinefromthecurrentspotby2%peryear(rounded)for5years,andthenremainstatic32Copyright?2009PearsonEducation,Inc.PublishingasPrenticeHallCurrencySwapExampleTheforwardratesarethenagreedtobe:0.49,0.48,0.47,0.46,0.45,0.45,0.45,0.45,0.45,0.45Assumetheactualspotratesare:0.50,0.51,0.53,0.51,0.49,0.48,0.48,0.47,0.45,0.43Theflowsfrom/tothecounterpartyarecomputedas(Forward-Spot)*notionalamount33Copyright?2009PearsonEducation,Inc.PublishingasPrenticeHallCurrencySwapExample(0.49-0.50)*100,000DM=$1,000(Year1)(0.48-0.51)*100,000DM=$3,000(Year2)(0.47-0.53)*100,000DM=$6,000(Year3)(0.46-0.51)*100,000DM=$5,000(Year4)(0.45-0.49)*100,000DM=$4,000(Year5)(0.45-0.48)*100,000DM=$3,000(Year6)(0.45-0.48)*100,000DM=$3,000(Year7)(0.45-0.47)*100,000DM=$2,000(Year8)(0.45-0.45)*100,000DM=$0,000(Year9)(0.45-0.43)*100,000DM=$2,000(Year10)34Copyright?2009PearsonEducation,Inc.PublishingasPrenticeHallCurrencySwapExampleInthefirstyear,theagreedforwardrateislowerthantheactualspot,resultinginaflowfromyourUSA-basedcompanytothecounter-partyof$1,000ThesaleofDMyields100,000DM*0.50$/DM=$50,000Afterpaymenttocounterparty=$49,00035Copyright?2009PearsonEducation,Inc.PublishingasPrenticeHallCurrencySwapExampleWhateverthespotrateinyear1,theagreementabsorbsthevariance,andyoureceiveanet$49,000(guaranteed)Assumingnodefault,theguaranteednetcashflows($’000)areYear1=49,year2=48,year3=47,year4=46,year5throughyear10=4536Copyright?2009PearsonEducation,Inc.PublishingasPrenticeHallCurrencySwapExampleIfyoupreferadollarannuity,negotiate:afixedforwardratewiththecounterpartyAssumeasingleforwardrate(ratherthanaschedulebasedonmarketexpectationsformedfromthe$&DMyieldcurves).Withthepassageoftime,theexpectedmarketvalueoftheswapwilldivergemorefromzero.Thisgenerateshighercreditriskforthecounterparty,whichtranslatesintohighercostsforyouanewDMpaymentschedulethat,whencoupledwiththeswap,generatesaconstant$paymentschedule37Copyright?2009PearsonEducation,Inc.PublishingasPrenticeHall11.3HedgingShortfall-RiskbyMatchingAssetstoLiabilitiesAssumeacreditunionborrowsusing1-yearCDs,andlendsusing30-yearmortgagesIfinterestratesrisethemarketvalueofthemortgageswillfallmortgagecashflowswon’tfullypaytheCDsResult?Insolvencyandruin!38Copyright?2009PearsonEducation,Inc.PublishingasPrenticeHallMarketValueofMortgagesBookValueofMortgages39Copyright?2009PearsonEducation,Inc.PublishingasPrenticeHallInterpretationFiveyearslater,interestrateswillhaverisenorfallenThemorerateshaverisenabovethemortgages’couponrate,thelargertheunrealizedcapitalloss,butliabilitiesremainessentiallyconstantThemorerateshavefallenbelowthemortgages’couponrate,thehighertheunrealizedcapitalgain,butthemorelikelyborrowerswillrefinance.(Graphassumesnorefinancing)40Copyright?2009PearsonEducation,Inc.PublishingasPrenticeHallCDInterestPaymentsMortgageInterestPayments41Copyright?2009PearsonEducation,Inc.PublishingasPrenticeHallInterpretationAsinterestratesrise,sotoodoestheratedemandedbythelendersThemortgageborrowerscontinuetoprovidethesamecashflowTheresultisareductioninthecashflowsthatservicetheCDs42Copyright?2009PearsonEducation,Inc.PublishingasPrenticeHallRemedialActiontoPreventfurtherDamageMatchexposureofassetsandliabilitiesSellmortgages&investinshort-termlendingParticipateinGNMA,FNMA,…programsGetlenderstoinvestinlonger-termnotesLendusingadjustableratemortgagesIssuelonger-termbondsHedgeusinginterest-rateforwards,futures,options,orswaps43Copyright?2009PearsonEducation,Inc.PublishingasPrenticeHall11.4MinimizingtheCostofHedgingTherearesometimesseveralwaystohedgeatransactionChoosetheonethatminimizesthecostofachievingthedesiredlevelofriskreductionafterconsideringtransactioncosts,andtaxes44Copyright?2009PearsonEducation,Inc.PublishingasPrenticeHall11.5InsuringversusHedgingHedging:Acontract“topurchase100,000perfumebottles,sixmonthsfromnow@$0.25/bottle,paymentonreceipt”isaforwardcontract(obligationtopurchase)Insuring:Acontract“topurchaseupto100,000perfumebottles,sixmonthsfromnow@$0.25/bottle,paymentonreceipt”isanotaforwardcontract(rightbutnoobligationtopurchase)45Copyright?2009PearsonEducation,Inc.PublishingasPrenticeHallInsuringversusHedgingRecallHedgingissymmetric,yousacrificetheupsiderisktoprotectyouagainstthedownsideriskInsuringisasymmetric,youmaintaintheupsiderisk,butdisposeofthedownsiderisk46Copyright?2009PearsonEducation,Inc.PublishingasPrenticeHall47Copyright?2009PearsonEducation,Inc.PublishingasPrenticeHall11.6BasicFeaturesofInsuranceContractsExclusionsCapsDeductiblesCo-payments48Copyright?2009PearsonEducation,Inc.PublishingasPrenticeHall11.7FinancialGuaranteesFinancialguaranteesareinsuranceagainstcreditrisk--therisktoyouthatthecounterpartywilldefaultAloanguaranteeisacontractthatobligestheguarantortomakethepromisedpaymentonaloaniftheborrowerfailstodoso49Copyright?2009PearsonEducation,Inc.PublishingasPrenticeHall11.8CapsandFloorsonInterestRatesSomefinancialinstruments,suchasARMs,offeraninterestratethatvarieswithaspecifiedprimerate,theT-billrate,LIBOR,etceteraAclausemayprovideforannualfloors,annualcaps,globalfloors,orglobalcapsoninterestratechanges50Copyright?2009PearsonEducation,Inc.PublishingasPrenticeHall11.9OptionsasInsuranceAcall(put)optionistheright,butnottheobligation,topurchase(sell)agivenassetaccordingtoascheduleofpricesandtimesEuropeanoptionshaveasinglestrikeorexerciseprice,andasingleexercisedateAmericanoptionshaveasinglestrikeorexerciseprice,andmaybeexercisedatanytimebeforetheirexpirationormaturitydate51Copyright?2009PearsonEducation,Inc.PublishingasPrenticeHallOptionsasInsurance:PutIllustrationYouhave100sharesofXYZstockcurrentlytradingat$100/share,andaplanningtimehorizonof3-monthsYouwishtopayasmallpremiumtoinsurethecurrentpricein3-monthsYouwishtobenefitfromanystockpricerises52Copyright?2009PearsonEducation,Inc.PublishingasPrenticeHallOptionsasInsurance:PutIllustrationStrategy:Retainyourholdingof100sharesinXYZcurrentlyvaluedat$10,000Purchaseoneroundlotof100XYZEuropeanputoptionswithastrikepriceof$100forapremiumof$729.51Attheendof3-months,yourholding,asafunctionofXYZnewshareprice,is:53Copyright?2009PearsonEducation,Inc.PublishingasPrenticeHall54Copyright?2009PearsonEducation,Inc.PublishingasPrenticeHallPutOptiononaBondThevalueofabonddependsupontherisk-freerateforbondsofthatmaturitythevalueofthebond’scollateralPurchasingaputoptiononthebondgivesdownsideprotection,whilepreservingupsidepotential55Copyright?2009PearsonEducation,Inc.PublishingasPrenticeHall11.10TheDiversificationPrincipleDiversification:splittinganinvestmentamongmanyriskyassetsinsteadofconcentratingitallinonlyoneDiversificationPrinciple:bydiversifyingacrossriskyassetspeoplecansometimesachieveareductionintheiroverallriskexposurewithnoreductionintheirreturn56Copyright?2009PearsonEducation,Inc.PublishingasPrenticeHallDiversificationofUncorrectedRisksAssumethatyouareofferedanumberofinvestmentopportunitiesinvariousbiotechnologyfirmsTheoutcomeofanyoftheinvestmentshasnoeffectonanyoftheothers(independent)Youbelievethateachfirmhasa50%chanceofquadruplingyourinvestment,anda50%chanceoftotalloss57Copyright?2009PearsonEducation,Inc.PublishingasPrenticeHallInvest$100,000inanyoneofthefirms:Ifthefirmfails(p=0.50)theexpectedcontributiontoyourpay-outis0.50*$0=$0Ifthefirmissuccessful(p=0.50)theexpectedcontributiontoyourpay-outis0.5*4*$100,000=$200,000ExpectedPay-off=$0+$200,000=$200,00058Copyright?2009PearsonEducation,Inc.PublishingasPrenticeHallInvest$50,000inanyofthefirms,&$50,000inanotherIfbothfirmfails(p=0.25)theexpectedcontributiontoyourpay-outis0.25*$0=$0Ifonefirmissuccessful(p=0.50)theexpectedcontributiontoyourpay-outis0.5*4*$50,000=$100,000Ifbothfirmaresuccessful(p=0.25)theexpectedcontributiontoyourpay-outis0.25*4*2*$50,000=$100,000ExpectedPay-off=$0+$100,000+100,000=$200,00059Copyright?2009PearsonEducation,Inc.PublishingasPrenticeHallConclusionInvestinginoneorintwofirmshasthesameexpectedreturnBut...60Copyright?2009PearsonEducation,Inc.PublishingasPrenticeHallBut...WehavenotanalyzedriskWewillnowcomputethestandarddeviationsofbothstrategies61Copyright?2009PearsonEducation,Inc.PublishingasPrenticeHallStandarddeviation,1firmTheStandardDeviationis$200,00062Copyright?2009PearsonEducation,Inc.PublishingasPrenticeHallStandarddeviation,2firmsTheStandardDeviationisabout$141,000(c.f.$200,000)63Copyright?2009PearsonEducation,Inc.PublishingasPrenticeHallStandarddeviation,equalinvestmentin“n”firmsGeneralizingtheargument,itiseasytoprovethatthestandarddeviationinthiscaseisjust$200,000/SqrareRoot(n)Conclusion:Giventhefactsofthisexample,theriskmaybemadeasclosetozeroaswewishiftherearesufficientsecurities!Inreality,however…nismustbefinite,andpharmaceuticalprojectshaveanon-zerocorrelations64Copyright?2009PearsonEducation,Inc.PublishingasPrenticeHallCorrelatedHomogeneousSecuritiesPharmaceuticalprojectsdohavepositivecorrelation(Why?)Loosentheassumptionsmadeaboutthecorrelation,andsetittoρ,andusethegeneralizationof65Copyright?2009PearsonEducation,Inc.PublishingasPrenticeHallCorrelatedHomogeneousSecuritiesWeobtaintherelationshipσport=σsec*QSRT(ρ+1/n)Inthecaseofn->Infinity,thereremainstheterm σport=σsec*QSRT(ρ)Thisriskisnotdiversifiable 66Copyright?2009PearsonEducation,Inc.PublishingasPrenticeHall67Copyright?2009PearsonEducation,Inc.PublishingasPrenticeHall68Copyright?2009PearsonEducation,Inc.Publishingas