cfa一级衍生证券分析讲义

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1、2011年6月CFA一级强化班讲义DerivativeInvestments讲师：乐锦CFAFRM日期：2011年4月地点：■上海□北京□深圳□广州上海金程国际金融专修学院0CFA一级课程框架StudySession1Ethics&ProfessionalStandards15StudySession2-3QuantitativeAnalysis12StudySession4-6Economics10StudySession7-10FinancialReportingandAnalysis20StudySession11Corp

2、orateFinance8StudySession12PortfolioManagementandWealthPlanning5StudySession13-14EquityInvestment10StudySession15-16FixedIncome12StudySession17Derivatives5StudySession18AlternativeInvestments3Total:1001-99100%ContributionBreedsProfessionalismSS17¾Reading67:Derivative

3、MarketsandInstruments¾Reading68:ForwardMarketsandContracts¾Reading69:FuturesMarketsandContracts¾Reading70:OptionMarketsandContracts¾Reading71:SwapMarketsandContracts¾Reading72:RiskManagementApplicationsofOptionStrategies2-99100%ContributionBreedsProfessionalismLOSfor

4、R67DerivativeMarketsandInstrumentsa.defineaderivativeanddifferentiatebetweenexchange-tradedandover-the-counterderivatives;b.defineaforwardcommitmentandacontingentclaim,anddescribethebasiccharacteristicsofforwardcontracts,futurescontracts,options(callsandputs),andswap

5、s;c.discussthepurposesandcriticismsofderivativemarkets;d.explainarbitrageandtheroleitplaysindeterminingpricesandpromotingmarketefficiency.3-99100%ContributionBreedsProfessionalismDerivativeMarketsandInstrumentsLOS67.a¾Definition:Aderivativeisafinancialinstrumentthato

6、ffersareturnbasedonthereturnofsomeotherunderlyingasset.¾Exchange-tradedvs.Over-the-counterderivativesExchange-tradedOver-the-counterstandardizedcustomizedbackedbyaclearinghousetradewithcounterparty(defaultrisk)tradeintheaphysicalexchangenottradeinacentrallocationregu

7、latedunregulated4-99100%ContributionBreedsProfessionalismDerivativeMarketsandInstrumentsLOS67.b5-99100%ContributionBreedsProfessionalismDerivativeMarketsandInstrumentsLOS67.bForwardcommitmentisanagreementbetweentwopartiesinwhichoneparty,thebuyer,agreestobuyfromtheoth

8、erparty,theseller,anunderlyingassetatafuturedateatapriceestablishedatthestart.Contingentclaimsarederivativesinwhichthepayoffsoccuri