最新investments 投资学 （博迪bodie, kane, marcuschap023 futures, swaps, and risk management(共40张ppt课件).pptx

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1、INVESTMENTS | BODIE, KANE, MARCUSCopyright 2011 by The McGraw-Hill Companies, Inc. All rights reserved.McGraw-Hill/IrwinCHAPTER 23Futures, Swaps, and Risk Management第一页，共四十页。INVESTMENTS | BODIE, KANE, MARCUS Futures can be used to hedge specific sources of risk. Hedging instruments include: Foreign

2、exchange futures Stock index futures Interest rate futures Swaps Commodity futuresFutures2第二页，共四十页。INVESTMENTS | BODIE, KANE, MARCUSForeign Exchange Futures Foreign exchange risk: You may get more or less home currency than you expected from a foreign currency denominated transaction. Foreign curren

3、cy futures are traded on the CME and the London International Futures Exchange.3第三页，共四十页。INVESTMENTS | BODIE, KANE, MARCUSFigure 23.2 Foreign Exchange Futures4第四页，共四十页。INVESTMENTS | BODIE, KANE, MARCUSInterest rate parity theoremDeveloped using the US Dollar and British PoundTUKUSrrEF1100whereF0 is

4、todays forward rateE0 is the current spot ratePricing on Foreign Exchange Futures5第五页，共四十页。INVESTMENTS | BODIE, KANE, MARCUSText Pricing Example rus = 4% ruk = 5%E0 = $2.00 per pound T = 1 yr981. 1$05. 104. 100. 2$10FIf the futures price varies from $1.981 per pound, covered interest arbitrage is po

5、ssible.6第六页，共四十页。INVESTMENTS | BODIE, KANE, MARCUSDirect Versus Indirect Quotes Direct exchange rate quote: The exchange rate is expressed as dollars per unit of foreign currency Indirect exchange rate quote: The exchange rate is expressed as foreign currency units per dollar7第七页，共四十页。INVESTMENTS |

6、BODIE, KANE, MARCUSHedging Foreign Exchange RiskA US exporter wants to protect against a decline in profit that would result from depreciation of the pound. The current futures price is $2/1. Suppose FT = $1.90? The exporter anticipates a profit loss of $200,000 if the pound declines by $.10 Short o

7、r sell pounds for future delivery to avoid the exposure.8第八页，共四十页。INVESTMENTS | BODIE, KANE, MARCUSHedge Ratio for Foreign Exchange ExampleHedge Ratio in pounds $200,000 per $.10 change in the pound/dollar exchange rate$.10 profit per pound delivered per $.10 in exchange rate= 2,000,000 pounds to be

8、 deliveredHedge Ratio in contracts Each contract is for 62,500 pounds or $6,250 per a $.10 change$200,000 / $6,250 = 32 contracts9第九页，共四十页。INVESTMENTS | BODIE, KANE, MARCUSFigure 23.3 Profits as a Function of the Exchange Rate10第十页，共四十页。INVESTMENTS | BODIE, KANE, MARCUS Available on both domestic an

9、d international stocks Settled in cash Advantages over direct stock purchase lower transaction costs better for timing or allocation strategies takes less time to acquire the portfolioStock Index Contracts11第十一页，共四十页。INVESTMENTS | BODIE, KANE, MARCUSTable 23.1 Major Stock-Index Futures12第十二页，共四十页。IN

10、VESTMENTS | BODIE, KANE, MARCUSTable 23.2 Correlations among Major U.S. Stock Market Indexes 13第十三页，共四十页。INVESTMENTS | BODIE, KANE, MARCUSCreating Synthetic Positions with Futures Index futures let investors participate in broad market movements without actually buying or selling large amounts of st

11、ock. Results: Cheaper and more flexible Synthetic position; instead of holding or shorting all of the actual stocks in the index, you are long or short the index futures14第十四页，共四十页。INVESTMENTS | BODIE, KANE, MARCUSCreating Synthetic Positions with Futures Speculators on broad market moves are major

12、players in the index futures market. Strategy: Buy and hold T-bills and vary the position in market-index futures contracts. If bullish, then long futuresIf bearish, then short futures15第十五页，共四十页。INVESTMENTS | BODIE, KANE, MARCUSExploiting mispricing between underlying stocks and the futures index c

13、ontract Futures Price too high - short the future and buy the underlying stocks Futures price too low - long the future and short sell the underlying stocksIndex Arbitrage16第十六页，共四十页。INVESTMENTS | BODIE, KANE, MARCUS This is difficult to implement in practice Transactions costs are often too large T

14、rades cannot be done simultaneously Development of Program Trading Used by arbitrageurs to perform index arbitrage Permits quick acquisition of securities Index Arbitrage and Program Trading17第十七页，共四十页。INVESTMENTS | BODIE, KANE, MARCUSHedging Systematic RiskTo protect against a decline in stock pric

15、es, short the appropriate number of futures index contracts. Less costly and quicker Use the beta for the portfolio to determine the hedge ratio.18第十八页，共四十页。INVESTMENTS | BODIE, KANE, MARCUSHedging Systematic Risk ExamplePortfolio Beta = .8S&P 500 = 1,000Decrease = 2.5%S&P falls to 975Portfolio Valu

16、e = $30 millionProjected loss if market declines by 2.5% = (.8) (2.5%) = 2%2% of $30 million = $600,000Each S&P500 index contract will change $6,250 for a 2.5% change in the index. (The contract multiplier is $250).19第十九页，共四十页。INVESTMENTS | BODIE, KANE, MARCUSHedge Ratio ExampleH = =Change in the po

17、rtfolio valueProfit on one futures contract$600,000 $6,250= 96 contracts short20第二十页，共四十页。INVESTMENTS | BODIE, KANE, MARCUSFigure 23.4 Predicted Value of the Portfolio as a Function of the Market Index 21第二十一页，共四十页。INVESTMENTS | BODIE, KANE, MARCUSUses of Interest Rate Hedges A bond fund manager may

18、 seek to protect gains against a rise in rates. Corporations planning to issue debt securities want to protect against a rise in rates. A pension fund with large cash inflows may hedge against a decline in rates for a planned future investment.22第二十二页，共四十页。INVESTMENTS | BODIE, KANE, MARCUSHedging In

19、terest Rate Risk ExamplePortfolio value = $10 millionModified duration = 9 yearsIf rates rise by 10 basis points (.1%), thenChange in value = ( 9 ) ( .1%) = .9% or $90,000Price value of a basis point (PVBP) = $90,000 / 10 = $9,000 per basis point23第二十三页，共四十页。INVESTMENTS | BODIE, KANE, MARCUSHedge Ra

20、tio ExampleH = = PVBP for the portfolioPVBP for the hedge vehicle $9,000 $90= 100 T-Bond contracts24第二十四页，共四十页。INVESTMENTS | BODIE, KANE, MARCUSHedging The T-bond contracts drive the interest rate exposure of a bond position to zero. This is a market neutral strategy. Gains on the T-bond futures off

21、set losses on the bond portfolio. The hedge is imperfect in practice because of slippage the yield spread does not remain constant.25第二十五页，共四十页。INVESTMENTS | BODIE, KANE, MARCUSFigure 23.5 Yield Spread26第二十六页，共四十页。INVESTMENTS | BODIE, KANE, MARCUSSwaps Swaps are multi-period extensions of forward co

22、ntracts. Credit risk on swaps An interest rate swap calls for exchanging cash flows based on a fixed rate for cash flows based on a floating rate. The foreign exchange swap calls for an exchange of currencies on several future dates.27第二十七页，共四十页。INVESTMENTS | BODIE, KANE, MARCUSInterest Rate Swap: T

23、ext Example28第二十八页，共四十页。INVESTMENTS | BODIE, KANE, MARCUSThe Swap Dealer Dealer enters a swap with Company A Pays fixed rate and receives LIBOR Dealer enters another swap with Company B Pays LIBOR and receives a fixed rate When two swaps are combined, dealers position is effectively neutral on inter

24、est rates.29第二十九页，共四十页。INVESTMENTS | BODIE, KANE, MARCUSFigure 23.6 Interest Rate Swap30第三十页，共四十页。INVESTMENTS | BODIE, KANE, MARCUSFigure 23.7 Interest Rate Futures31第三十一页，共四十页。INVESTMENTS | BODIE, KANE, MARCUSSwaps are essentially a series of forward contracts.We need to find the level annuity, F *

25、, with the same present value as the stream of annual cash flows that would be incurred in a sequence of forward rate agreements.22122211)1 ()1 ()1 ()1 (*yFyFyFyFPricing on Swap Contracts32第三十二页，共四十页。INVESTMENTS | BODIE, KANE, MARCUSFigure 23.8 Forward Contracts versus Swaps 33第三十三页，共四十页。INVESTMENTS

26、 | BODIE, KANE, MARCUSCredit Default Swaps Payment on a CDS is tied to the financial status of one or more reference firms. Allows two counterparties to take positions on the credit risk of those firms. Indexes of CDS have now been introduced.34第三十四页，共四十页。INVESTMENTS | BODIE, KANE, MARCUSCommodity F

27、utures Pricing General principles that apply to stocks apply to commodities. HoweverCarrying costs are more for commodities.Spoilage is a concern.35第三十五页，共四十页。INVESTMENTS | BODIE, KANE, MARCUSCommodity Futures Pricing:then define Now)1 (000PCcCrPFfLet F0 = futures price, P0 = cash price of the asset

28、 , and C = Carrying cost )1 (00crPFf36第三十六页，共四十页。INVESTMENTS | BODIE, KANE, MARCUSFutures Pricing F0 = P0(1+rf+c) is a parity relationship for commodities that are stored. The formula works great for an asset like gold, but not for electricity or agricultural goods which are impractical to stockpile

29、.37第三十七页，共四十页。INVESTMENTS | BODIE, KANE, MARCUSFigure 23.9 Typical Agricultural Price Pattern over the Season 38第三十八页，共四十页。INVESTMENTS | BODIE, KANE, MARCUSExample 2.8 Commodity Futures PricingThe T-bill rate is 5%, the market risk premium is 8%, and the beta for orange juice is 0.117. Orange juice

30、discount rate is 5% + .117(8%) = 5.94%. Let the expected spot price in 6 months be $1.45.$1.45/(1.0594)0.5= $1.409 = PV juiceF0/(1.05)0.5= 0.976F0 = PV futures0.976F0 = $1.409F0 =$1.44439第三十九页，共四十页。内容(nirng)总结CHAPTER 23。Hedging instruments include:。Foreign exchange futures。Stock index futures。0.976F0 = $1.409。39第四十页，共四十页。