Lecture22ManagingRisk(公司金融讲义(北大,沈明高)

22.ManagingRiskPrinciplesofCorporateFinanceSeventhEditionRichardA.BrealeyStewartC.MyersSlidesbyMatthewWillSlidesEditedbyMinggaoShen22-2McGrawHill/IrwinCopyright©2003byTheMcGraw-HillCompanies,Inc.AllrightsreservedTopicsCoveredInsuranceHedgingWithFuturesForwardContractsSWAPSHowtoSetUpAHedge22-3McGrawHill/IrwinCopyright©2003byTheMcGraw-HillCompanies,Inc.AllrightsreservedInsuranceMostbusinessesfacethepossibilityofahazardthatcanbankruptthecompanyinaninstant.Theserisksareneitherfinancialorbusinessandcannotbediversified.Thecostandriskofalossduetoahazard,however,canbesharedbyotherswhosharethesamerisk.22-4McGrawHill/IrwinCopyright©2003byTheMcGraw-HillCompanies,Inc.AllrightsreservedInsuranceExampleAnoffshoreoilplatformisvaluedat$1billion.Expertmeteorologistreportsindicatethata1in10,000chanceexiststhattheplatformmaybedestroyedbyastormoverthecourseofthenextyear.?Howcanthecostofthishazardbeshared22-5McGrawHill/IrwinCopyright©2003byTheMcGraw-HillCompanies,Inc.AllrightsreservedInsuranceExample-contAnoffshoreoilplatformisvaluedat$1billion.Expertmeteorologistreportsindicatethata1in10,000chanceexiststhattheplatformmaybedestroyedbyastormoverthecourseofthenextyear.?HowcanthecostofthishazardbesharedAnswerAlargenumberofcompanieswithsimilarriskscaneachcontributepayintoafundthatissetasidetopaythecostshouldamemberofthisrisksharinggroupexperiencethe1in10,000loss.Theother9,999firmsmaynotexperiencealoss,butalsoavoidedtheriskofnotbeingcompensatedshouldalosshaveoccurred.22-6McGrawHill/IrwinCopyright©2003byTheMcGraw-HillCompanies,Inc.AllrightsreservedInsuranceExample-contAnoffshoreoilplatformisvaluedat$1billion.Expertmeteorologistreportsindicatethata1in10,000chanceexiststhattheplatformmaybedestroyedbyastormoverthecourseofthenextyear.?Whatwouldthecosttoeachgroupmemberbeforthisprotection.Answer000,100$000,10000,000,000,122-7McGrawHill/IrwinCopyright©2003byTheMcGraw-HillCompanies,Inc.AllrightsreservedInsuranceWhywouldaninsurancecompanynotofferapolicyonthisoilplatformfor$100,000?AdministrativecostsAdverseselectionMoralhazard22-8McGrawHill/IrwinCopyright©2003byTheMcGraw-HillCompanies,Inc.AllrightsreservedInsuranceThelossofanoilplatformbyastormmaybe1in10,000.Therisk,however,islargerforaninsurancecompanysincealltheplatformsinthesameareamaybeinsured,thusifastormdamagesoneinmaydamageallinthesamearea.TheresultisamuchlargerrisktotheinsurerCatastropheBonds-(CATBonds)AllowinsurerstotransfertheirrisktobondholdersbysellingbondswhosecashflowpaymentsdependonthelevelofinsurablelossesNOToccurring.22-9McGrawHill/IrwinCopyright©2003byTheMcGraw-HillCompanies,Inc.AllrightsreservedHedgingBusinesshasriskBusinessRisk-variablecostsFinancialRisk-InterestratechangesGoal-EliminateriskHOW?Hedging&FuturesContracts22-10McGrawHill/IrwinCopyright©2003byTheMcGraw-HillCompanies,Inc.AllrightsreservedHedgingEx-Kelloggproducescereal.Amajorcomponentandcostfactorissugar.Forecastedincome&salesvolumeissetbyusingafixedsellingprice.Changesincostcanimpacttheseforecasts.Tofixyoursugarcosts,youwouldideallyliketopurchaseallyoursugartoday,sinceyouliketoday’sprice,andmadeyourforecastsbasedonit.But,youcannot.Youcan,however,signacontracttopurchasesugaratvariouspointsinthefutureforapricenegotiatedtoday.Thiscontractiscalleda“FuturesContract.”Thistechniqueofmanagingyoursugarcostsiscalled“Hedging.”22-11McGrawHill/IrwinCopyright©2003byTheMcGraw-HillCompanies,Inc.AllrightsreservedHedging1-SpotContract-Acontractforimmediatesale&deliveryofanasset.2-ForwardContract-Acontractbetweentwopeopleforthedeliveryofanassetatanegotiatedpriceonasetdateinthefuture.3-FuturesContract-Acontractsimilartoaforwardcontract,exceptthereisanintermediarythatcreatesastandardizedcontract.Thus,thetwopartiesdonothavetonegotiatethetermsofthecontract.TheintermediaryistheCommodityClearingCorp(CCC).TheCCCguaranteesalltrades&“provides”asecondarymarketforthespeculationofFutures.22-12McGrawHill/IrwinCopyright©2003byTheMcGraw-HillCompanies,Inc.AllrightsreservedTypesofFuturesCommodityFutures-Sugar-Corn-OJ-Wheat-Soybeans-PorkbelliesFinancialFutures-Tbills-Yen-GNMA-Stocks-EurodollarsIndexFutures-S&P500-ValueLineIndex-VanguardIndexSUGAR22-13McGrawHill/IrwinCopyright©2003byTheMcGraw-HillCompanies,Inc.AllrightsreservedFuturesContractConceptsNotanactualsaleAlwaysawinner&aloser(unlikestocks)Kare“settled”everyday.(MarkedtoMarket)Hedge-KusedtoeliminateriskbylockinginpricesSpeculation-KusedtogambleMargin-notasale-postpartialamountHogK=30,000lbsTbillK=$1.0milValuelineIndexK=$indexx50022-14McGrawHill/IrwinCopyright©2003byTheMcGraw-HillCompanies,Inc.AllrightsreservedSWAPSbirth1981Definition-Anagreementbetweentwofirms,inwhicheachfirmagreestoexchangethe“interestratecharacteristics”oftwodifferentfinancialinstrumentsofidenticalprincipalKeypointsSpreadinefficienciesSamenotationprincipalOnlyinterestexchanged22-15McGrawHill/IrwinCopyright©2003byTheMcGraw-HillCompanies,Inc.AllrightsreservedSWAPS“PlainVanillaSwap”-(genericswap)fixedratepayerfloatingratepayercounterpartiessettlementdatetradedateeffectivedatetermsSwapGain=fixedsp