cfa一级衍生证券分析derivative investment讲义

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1、2013年CFA一级培训项目DerivativeInvestments纪慧诚金程教育高级培训师日期：2013年1月26日地点：■上海□北京□深圳CFA一级课程框架StudySession1Ethics&ProfessionalStandards15StudySession2-3QuantitativeMethods12StudySession4-6EconomicAnalysis10StudySession7-10FinancialStatementAnalysis20StudySession11Cor

2、porateFinance8StudySession12PortfolioManagement5StudySession13-14EquityInvestments10StudySession15-16FixedIncomeAnalysis12StudySession17DerivativeInvestments5StudySession18AlternativeInvestments3Total:1002-120Derivative框架结构Forward(R61)Futures(R62)Swap(R6

3、4)Derivative概念(R60)Option(R63)Riskmanagement(R65)3-120100%ContributionBreedsProfessionalismFrameworkR60：Derivativemarketsandinstruments1.Derivative的定义2.分类Exchange-traded&Over-the-counter的区别★Forwardcommitment&Contingentclaim的区别★3.Derivatives的作用和对它的批评4.

4、什么是arbitrage？arbitrage的作用4-120100%ContributionBreedsProfessionalismR.60DerivativeMarketsandInstrumentsDefinition:Aderivativeisafinancialinstrument(contract)thatoffersareturnbasedonthereturnofsomeotherunderlyingasset.BuyorSellSomething:•BuyorSellnow;•Bu

5、yorSellsometimeinthefuture.Example：•3个月后3￥/瓶价格买果汁；•3个月后15￥/股价格买股票；•3个月后4%利息借￥1million；•3个月后6.5CNY/USD换CNY.关键词：•合约•规避风险Hedgevs.赚钱Speculate•合约收益取决于约定的资产价格变化5-120R.60DerivativeMarketsandInstrumentsForwardcontractFuturescontractSwapcontractOptionco

6、ntractForwardcontract:•Aforwardcontractisanprivateagreementthatobligatesonepartytobuyandtheotherpartytosellaspecificquantityofanunderlyingasset,atasetprice,atafuturedate•约定未来特定时间以约定价格买卖标的物的合约.•Ifthefuturepriceoftheunderlyingassetsincrease,thebuyerhasaga

7、in,andthesellerhasaloss.6-120100%ContributionBreedsProfessionalismR.60DerivativeMarketsandInstrumentsForwardcontractFuturescontractSwapcontractOptioncontractAFuturescontractisaforwardcontractthatisstandardizedandexchange-traded.•Aforwardcontract•Areregu

8、lated•Backedbyaclearinghouse•Requireadailysettlementofgainsandlosses.7-120100%ContributionBreedsProfessionalismR.60DerivativeMarketsandInstrumentsForwardcontractFuturescontractSwapcontractOptioncontractASwapcontractisaser