CH18DerivativesandRiskManagement(财务管理,英文版)4541.pptx

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1、18-1Copyright 2001 by Harcourt,Inc.All rights reserved.nDerivative securitiesnFundamentals of risk managementnUsing derivatives to reduce interest rate riskCHAPTER 18Derivatives and Risk Management18-2Copyright 2001 by Harcourt,Inc.All rights reserved.If volatility is due to systematic risk,it can b

2、e eliminated by diversifying investors portfolios.Why might stockholders be indifferent to whether or not a firm reduces the volatility of its cash flows?18-3Copyright 2001 by Harcourt,Inc.All rights reserved.nIncrease their use of debt.nMaintain their optimal capital budget.nAvoid financial distres

3、s costs.nUtilize their comparative advantages in hedging,compared to investors.nReduce the risks and costs of borrowing.Reasons Risk Management Might Increase the Value of a Corporation18-4Copyright 2001 by Harcourt,Inc.All rights reserved.nReduce the higher taxes that result from fluctuating earnin

4、gs.nInitiate compensation programs to reward managers for achieving stable earnings.18-5Copyright 2001 by Harcourt,Inc.All rights reserved.An option is a contract that gives its holder the right,but not the obligation,to buy(or sell)an asset at some predetermined price within a specified period of t

5、ime.What is an option?18-6Copyright 2001 by Harcourt,Inc.All rights reserved.nIt does not obligate its owner to take any action.It merely gives the owner the right to buy or sell an asset.What is the single most importantcharacteristic of an option?18-7Copyright 2001 by Harcourt,Inc.All rights reser

6、ved.nCall option:An option to buy a specified number of shares of a security within some future period.nPut option:An option to sell a specified number of shares of a security within some future period.nExercise(or strike)price:The price stated in the option contract at which the security can be bou

7、ght or sold.Option Terminology18-8Copyright 2001 by Harcourt,Inc.All rights reserved.nOption price:The market price of the option contract.nExpiration date:The date the option matures.nExercise value:The value of a call option if it were exercised today=Current stock price-Strike price.18-9Copyright

8、 2001 by Harcourt,Inc.All rights reserved.nCovered option:A call option written against stock held in an investors portfolio.nNaked(uncovered)option:An option sold without the stock to back it up.nIn-the-money call:A call option whose exercise price is less than the current price of the under-lying

9、stock.18-10Copyright 2001 by Harcourt,Inc.All rights reserved.nOut-of-the-money call:A call option whose exercise price exceeds the current stock price.nLEAPS:Long-term Equity AnticiPation Securities are similar to conventional options except that they are long-term options with maturities of up to

10、2 1/2 years.18-11Copyright 2001 by Harcourt,Inc.All rights reserved.Stock PriceCall Option Price$25$3.00 30 7.50 35 12.00 40 16.50 45 21.00 50 25.50Exercise price=$25.Consider the following data:18-12Copyright 2001 by Harcourt,Inc.All rights reserved.Create a table which shows(a)stockprice,(b)strike

11、 price,(c)exercisevalue,(d)option price,and(e)premium of option price over the exercise value.Price of Strike Exercise ValueStock(a)Price(b)of Option (a)(b)$25.00$25.00$0.00 30.00 25.00 5.00 35.00 25.00 10.00 40.00 25.0015.00 45.00 25.0020.00 50.00 25.0025.0018-13Copyright 2001 by Harcourt,Inc.All r

12、ights reserved.Exercise Value Mkt.Price Premium of Option(c)of Option(d)(d)(c)$0.00$3.00$3.00 5.00 7.50 2.50 10.00 12.00 2.00 15.00 16.50 1.50 20.00 21.00 1.00 25.00 25.50 0.50Table(Continued)18-14Copyright 2001 by Harcourt,Inc.All rights reserved.What happens to the premium of the option price over

13、 the exercisevalue as the stock price rises?nThe premium of the option price over the exercise value declines as the stock price increases.nThis is due to the declining degree of leverage provided by options as the underlying stock price increases,and the greater loss potential of options at higher

14、option prices.18-15Copyright 2001 by Harcourt,Inc.All rights reserved.Call Premium Diagram5 10 15 20 25 30 35 40 45 50Stock PriceOption value30252015105Market priceExercise value18-16Copyright 2001 by Harcourt,Inc.All rights reserved.nThe stock underlying the call option provides no dividends during

15、 the call options life.nThere are no transactions costs for the sale/purchase of either the stock or the option.nkRF is known and constant during the options life.What are the assumptions of theBlack-Scholes Option Pricing Model?(More.)18-17Copyright 2001 by Harcourt,Inc.All rights reserved.nSecurit

16、y buyers may borrow any fraction of the purchase price at the short-term,risk-free rate.nNo penalty for short selling and sellers receive immediately full cash proceeds at todays price.nCall option can be exercised only on its expiration date.n Security trading takes place in continuous time,and sto

17、ck prices move randomly in continuous time.18-18Copyright 2001 by Harcourt,Inc.All rights reserved.V =PN(d1)Xe-kRFtN(d2).d1=.s s td2=d1 s s t.What are the three equations thatmake up the OPM?ln(P/X)+kRF+(s s2/2)t18-19Copyright 2001 by Harcourt,Inc.All rights reserved.What is the value of the followi

18、ng call option according to the OPM?Assume:P=$27;X=$25;kRF=6%;t=0.5 years:s s2=0.11V =$27N(d1)$25e-(0.06)(0.5)N(d2).ln($27/$25)+(0.06+0.11/2)(0.5)(0.3317)(0.7071)=0.5736.d2=d1 (0.3317)(0.7071)=d1 0.2345 =0.5736 0.2345=0.3391.d1=18-20Copyright 2001 by Harcourt,Inc.All rights reserved.N(d1)=N(0.5736)=

19、0.5000+0.2168 =0.7168.N(d2)=N(0.3391)=0.5000+0.1327 =0.6327.Note:Values obtained from Table A-5 in text.V=$27(0.7168)$25e-0.03(0.6327)=$19.3536$25(0.97045)(0.6327)=$4.0036.18-21Copyright 2001 by Harcourt,Inc.All rights reserved.nCurrent stock price:Call option value increases as the current stock pr

20、ice increases.nExercise price:As the exercise price increases,a call options value decreases.What impact do the following para-meters have on a call options value?18-22Copyright 2001 by Harcourt,Inc.All rights reserved.nOption period:As the expiration date is lengthened,a call options value increase

21、s(more chance of becoming in the money.)nRisk-free rate:Call options value tends to increase as kRF increases(reduces the PV of the exercise price).nStock return variance:Option value increases with variance of the underlying stock(more chance of becoming in the money).18-23Copyright 2001 by Harcour

22、t,Inc.All rights reserved.Corporate risk management relates to the management of unpredictable events that would have adverse consequences for the firm.What is corporate risk management?18-24Copyright 2001 by Harcourt,Inc.All rights reserved.All firms face risks,but the lower those risks can be made

23、,the more valuable the firm,other things held constant.Of course,risk reduction has a cost.Why is corporate risk managementimportant to all firms?18-25Copyright 2001 by Harcourt,Inc.All rights reserved.nSpeculative risks:Those that offer the chance of a gain as well as a loss.nPure risks:Those that

24、offer only the prospect of a loss.nDemand risks:Those associated with the demand for a firms products or services.nInput risks:Those associated with a firms input costs.Definitions of Different Types of Risk(More.)18-26Copyright 2001 by Harcourt,Inc.All rights reserved.nFinancial risks:Those that re

25、sult from financial transactions.nProperty risks:Those associated with loss of a firms productive assets.nPersonnel risk:Risks that result from human actions.nEnvironmental risk:Risk associated with polluting the environment.nLiability risks:Connected with product,service,or employee liability.nInsu

26、rable risks:Those that typically can be covered by insurance.18-27Copyright 2001 by Harcourt,Inc.All rights reserved.Step 1.Identify the risks faced by the firm.Step 2.Measure the potential impact of the identified risks.Step 3.Decide how each relevant risk should be handled.What are the three steps

27、 of corporate risk management?18-28Copyright 2001 by Harcourt,Inc.All rights reserved.nTransfer risk to an insurance company by paying periodic premiums.nTransfer functions that produce risk to third parties.nPurchase derivative contracts to reduce input and financial risks.What are some actions tha

28、tcompanies can take to minimize or reduce risk exposure?(More.)18-29Copyright 2001 by Harcourt,Inc.All rights reserved.nTake actions to reduce the probability of occurrence of adverse events.nTake actions to reduce the magnitude of the loss associated with adverse events.nAvoid the activities that g

29、ive rise to risk.18-30Copyright 2001 by Harcourt,Inc.All rights reserved.nFinancial risk exposure refers to the risk inherent in the financial markets due to price fluctuations.nExample:A firm holds a portfolio of bonds,interest rates rise,and the value of the bonds falls.What is a financial risk ex

30、posure?18-31Copyright 2001 by Harcourt,Inc.All rights reserved.nDerivative:Security whose value stems or is derived from the values of other assets.Swaps,options,and futures are used to manage financial risk exposures.nFutures:Contracts that call for the purchase or sale of a financial(or real)asset

31、 at some future date,but at a price determined today.Futures(and other derivatives)can be used either as highly leveraged speculations or to hedge and thus reduce risk.Financial Risk Management Concepts(More.)18-32Copyright 2001 by Harcourt,Inc.All rights reserved.nHedging:Generally conducted where

32、a price change could negatively affect a firms profits.lLong hedge:involves the purchase of a futures contract to guard against a price increase.lShort hedge:involves the sale of a futures contract to protect against a price decline in commodities or financial securities.(More.)18-33Copyright 2001 b

33、y Harcourt,Inc.All rights reserved.nSwaps:Involve the exchange of cash payment obligations between two parties,usually because each party prefers the terms of the others debt contract.Swaps can reduce each partys financial risk.18-34Copyright 2001 by Harcourt,Inc.All rights reserved.The purchase of

34、a commodity futures contract will allow a firm to make a future purchase of the input at todays price,even if the market price on the item has risen substantially in the interim.How can commodity futures marketsbe used to reduce input price risk?18-35Copyright 2001 by Harcourt,Inc.All rights reserved.谢谢观看/欢迎下载BY FAITH I MEAN A VISION OF GOOD ONE CHERISHES AND THE ENTHUSIASM THAT PUSHES ONE TO SEEK ITS FULFILLMENT REGARDLESS OF OBSTACLES.BY FAITH I BY FAITH