衍生工具与风险管理第9章课件.ppt

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1、Chapter9:FuturesHedgingStrategiesItisoftensaidinthederivativesbusinessthat“youcannothedgehistory.”DanGoldmanRiskManagementfortheInvestmentCommunity,1999,p.16D.M.ChanceCh.10:1AnIntroductiontoDerivativesandRiskManagement,6thed.ImportantConceptsinChapter10WhyfirmshedgeHedgingconceptsFactorsinvolvedwhe

2、nconstructingahedgeHedgeratiosExamplesofforeigncurrencyhedges,intermediate-andlong-terminterestratehedges,andstockindexfutureshedgesWhyHedge?ThevalueofthefirmmaynotbeindependentoffinancialdecisionsbecauseShareholdersmightbeunawareofthefirm’srisks.Shareholdersmightnotbeabletoidentifythecorrectnumber

3、offuturescontractsnecessarytohedge.Shareholdersmighthavehighertransactioncostsofhedgingthanthefirm.Theremaybetaxadvantagestoafirmhedging.Hedgingreducesbankruptcycosts.Managersmaybereducingtheirownrisk.Hedgingmaysendapositivesignaltocreditors.Dealershedgetheirmarket-makingactivitiesinderivatives.Why

4、Hedge?(continued)ReasonsnottohedgeHedgingcangiveamisleadingimpressionoftheamountofriskreducedHedgingeliminatestheopportunitytotakeadvantageoffavorablemarketconditionsThereisnosuchthingasahedge.Anyhedgeisanactoftakingapositionthatanadversemarketmovementwilloccur.This,itself,isaformofspeculation.Hedg

5、ingConceptsShortHedgeandLongHedgeShort(long)hedgeimpliesashort(long)positioninfuturesShorthedgescanoccurbecausethehedgerownsanassetandplanstosellitlater.Longhedgescanoccurbecausethehedgerplanstopurchaseanassetlater.Ananticipatoryhedgeisahedgeofatransactionthatisexpectedtooccurinthefuture.SeeTable10

6、.1,p.348forhedgingsituations.HedgingConcepts(continued)TheBasisBasis=spotprice-futuresprice.HedgingandtheBasisP(shorthedge)=ST-S0(fromspotmarket)-(fT-f0)(fromfuturesmarket)P(longhedge)=-ST+S0(fromspotmarket)+(fT-f0)(fromfuturesmarket)Ifhedgeisclosedpriortoexpiration,P(shorthedge)=St-S0-(ft-f0)Ifhed

7、geisheldtoexpiration,St=ST=fT=ft.HedgingConcepts(continued)TheBasis(continued)HedgingandtheBasis(continued)Example:Buyassetfor$100,sellfuturesfor$103.Holduntilexpiration.Sellassetfor$97,closefuturesat$97.Or