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1財務工程第一講次OverviewofFinancialEngineering§1.TheScopeofFinancialEngineering1.Definitions*JohnFinnerty(1988):1“FinancialEngineeringinvolvesthedesign,thedevelopment,andtheimplementationofinnovativefinancialinstrumentsandprocesses,andtheformulationofcreativesolutionstoproblemsinfinance.”*MarshallandBansol(1992):2“FinancialEngineeringisthedevelopmentandapplicationsoffinancialtechnologytosolvefinancialproblemsandthecreationofvaluebytheidentificationandexploitationoffinancialopportunity.”2.ExamplesofFinancialEngineering*Introductionofarevolutionarynewproductsuchasthefirstswap,thefirstmortgagebackedproduct,thefirstzerocouponbond(strips),ortheintroductionofjunkbondstofinanceleveragedbuyouts.*Theextensionoffuturestradingtoacommodityorafinancialinstrumentnotpreciouslytradedinafuturespit,theintroductionofaswapvariant,orthecreatingmutualfundwithnewfocus.*Thepiecingtogetherofexistingproductsandprocesses:E.g.,theuseoftheexistingproductstoreduceafirm’sfinancialrisks,toreducethecostofafirm’sfinancing,togainsomeaccountingortaxbenefit,ortoexploitamarketinefficiency.1Finnerty,J.D.(1988),“FinancialEngineeringinCorporateFinance:AnOverview,”FinancialManagement,Winter1988,pp.14-33.2Marshall,JohnF.andVipulKBansol(1992),FinancialEngineering:ACompleteGuidetoFinancialInnovation,NY:Allyn&Bacon,Inc.2*FinancialEngineeringisnotlimitedtocorporateandinstitutionalapplications.Forexample,itcanbedirectedattheretail(orcustomer)level,suchasadjustableratemortgages,cashmanagementaccounts,NOWaccount,IRAsandKeoghs,andvariousnewformoflifeinsurance.3.CareerforFinancialEngineers*Investmentbanks*Commercialbanks*Insurancecompanies*Corporate:Corporatefinance,trading,investmentandmoneymanagement,andriskmanagement.4.ToolsofFinancialEngineering*ConceptualTools:Valuationtheory,portfoliotheory,accountingrelationships,andtaxtreatmentunderdifferentformsofbusinessorganization.*PhysicalTools:(i)Instruments:fixedincomesecurities,equities,futures,options,swaps,anddozensofvariantsonthesebasicthemes.(ii)Processes:electronicsecuritiestrading,publicofferingsandprivateplacementofsecurities,shelfregistration,andelectronicfundstransfer.§2.FactorsContributingtotheGrowthofFinancialEngineering1.EnvironmentalFactors:*Pricevolatility:Commodityprices,interestrates,foreignexchangerates.*Globalizationofthemarkets*Taxasymmetries:Taxasymmetriesexistforseveralreasons:(i)Someindustriesaregrantedspecialtaxexemptionsandpreferencesinorderto3encouragetheirdevelopmentandgrowthortodirecttheirenergiesinparticulardirections.(ii)Differentcountriesimposedifferenttaxburdens.(iii)Thenatureoftheirpastperformancehasleftsomefirmswithsizabletaxcreditsandwrite-offswhicheffectivelyeliminateanytaxobligationsforsomeyearstocome.*Technologicaladvances:Computer,networksystems,improvementincommunications,advancesinsoftwareprograms.*Advancesinfinancialtheory*Regulatorychangeandcompetition:Deregulationofindustry.31933年《格拉斯－斯蒂格爾法案》(Glass-SteagallAct,簡稱G-S法案)，禁止商業銀行從事股票投資。但1980年代以後，金融自由化的浪潮再次興起，商業銀行的信貸業務和投資銀行的證券業務可合而為一。*Thecostofinformationandthecostoftransaction2.IntrafirmFactors*Liquidityneeds:(i)Someinnovationsweredesignedtoprovideeasieraccesstocashwhileothersweredesignedtomakeiteasiertoputtemporarilyunneededcashtowork.Examples,moneymarketfunds,moneymarketaccount,sweepaccounts,electronicfundstransferandelectronicpaymentsystems,thedevelopmentandrapidexpansionofthecommercialpaperandcertificateofdepositmarket,andthedevelopmentoftherepomarket.31933年，美國記取「經濟大恐慌」的教訓，頒布了《格拉斯－斯蒂格爾法案》(Glass-SteagallAct,簡稱G-S法案)，建立金融業分業經營的防火牆，該法案禁止商業銀行從事股票投資。這種分離，使經濟成長中最重要的融資需求可透過兩條獨立的管道來滿足：一是商業銀行的信貸，即間接融資；二是資本市場的籌資，即直接融資。但1980年代以後，金融自由化的浪潮再次興起，各國紛紛拆除金融市場和商業銀行之間的防火牆，商業銀行的信貸業務和投資銀行的證券業務可合而為一，因此，銀行部門的貸款可透過投資銀行部門的包裝，將之證券化，又變成為投資工具，出售予投資人，風險交叉傳遞，防火牆的功能消失無存。此外，《存款機構解除管制與貨幣控制法案》(TheDepositoryInstitutionsDeregulationandMonetaryControlActof1980)廢除了大部份定存款利率管制。Garn-StGermainDepositoryInstitutionsActof1982允許銀行提供類似貨幣市場基金的貨幣市場帳戶。4(ii)Otherinnovationshavesoughttocreatelongtermsecurities:floatingratenotes,adjustableratepreferredstock,adjustableratemortgages,andfloatingraterating-sensitivenotes.*Riskaversion:e.g.,CMOs,CDS,swaps.*Agencycosts*Quantitativesophisticationandmanagementtraining*Accountingbenefits:e.g.,defeasanceofafirm’sdebtanddebtforequityswaps.§3.TheKnowledgeBaseoftheFinancialEngineer1.TheoryBasiceconomicandfinancialtheoryinclude:thesourcesofthevalueandwealth,measuresofvalueandreturn,methodsforidentifyingriskexposures,variousmeasuresofriskandapplications,basicportfoliotheory,basichedgingtheory,basicoptionpricingtheory,risk-returnrelationship,thesourcesofagencycosts.2.MathematicalandStatisticalSkillsMathematicalSkills:Calculus,linearandnonlinearoptimizationtechniques,logarithmandexponentialfunctions,theabilitytoworkwithformulas,equations,andgraphs.StatisticalSkills:distributiontheory,basicstatistics(means,variances,standarddeviations,correlationcoefficients),regressionandcorrelationtechniques,varianceanalysis,stochasticcalculus.3.ModelingSkillsMostareasoffinancialengineeringrequireadvancedmodelingskills.4.Productknowledge*FinancialEngineerswo