衍生工具与风险管理全套配套课件DonM.Chance ch9.ppt

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1、Chapter9:FuturesHedgingStrategiesItisoftensaidinthederivativesbusinessthat“youcannothedgehistory.”DanGoldmanRiskManagementfortheInvestmentCommunity,1999,p.16D.M.ChanceCh.10:1AnIntroductiontoDerivativesandRiskManagement,6thed.ImportantConceptsinChapter10WhyfirmshedgeHedging

2、conceptsFactorsinvolvedwhenconstructingahedgeHedgeratiosExamplesofforeigncurrencyhedges,intermediate-andlong-terminterestratehedges,andstockindexfutureshedgesD.M.Chance2AnIntroductiontoDerivativesandRiskManagement,6thed.WhyHedge?Thevalueofthefirmmaynotbeindependentoffinanc

3、ialdecisionsbecauseShareholdersmightbeunawareofthefirm’srisks.Shareholdersmightnotbeabletoidentifythecorrectnumberoffuturescontractsnecessarytohedge.Shareholdersmighthavehighertransactioncostsofhedgingthanthefirm.Theremaybetaxadvantagestoafirmhedging.Hedgingreducesbankrupt

4、cycosts.Managersmaybereducingtheirownrisk.Hedgingmaysendapositivesignaltocreditors.Dealershedgetheirmarket-makingactivitiesinderivatives.D.M.Chance3AnIntroductiontoDerivativesandRiskManagement,6thed.WhyHedge?(continued)ReasonsnottohedgeHedgingcangiveamisleadingimpressionof

5、theamountofriskreducedHedgingeliminatestheopportunitytotakeadvantageoffavorablemarketconditionsThereisnosuchthingasahedge.Anyhedgeisanactoftakingapositionthatanadversemarketmovementwilloccur.This,itself,isaformofspeculation.D.M.Chance4AnIntroductiontoDerivativesandRiskMana

6、gement,6thed.HedgingConceptsShortHedgeandLongHedgeShort(long)hedgeimpliesashort(long)positioninfuturesShorthedgescanoccurbecausethehedgerownsanassetandplanstosellitlater.Longhedgescanoccurbecausethehedgerplanstopurchaseanassetlater.Ananticipatoryhedgeisahedgeofatransaction

7、thatisexpectedtooccurinthefuture.SeeTable10.1,p.348forhedgingsituations.D.M.Chance5AnIntroductiontoDerivativesandRiskManagement,6thed.HedgingConcepts(continued)TheBasisBasis=spotprice-futuresprice.HedgingandtheBasisP(shorthedge)=ST-S0(fromspotmarket)-(fT-f0)(fromfuturesmar

8、ket)P(longhedge)=-ST+S0(fromspotmarket)+(fT-f0)(fromfuturesmarket)Ifhedgeisclosedpriortoe