衍生工具与风险管理第9章课件

D.M.ChanceAnIntroductiontoDerivativesandRiskManagement,6thed.Ch.10:1Chapter9:FuturesHedgingStrategiesItisoftensaidinthederivativesbusinessthat“youcannothedgehistory.”DanGoldmanRiskManagementfortheInvestmentCommunity,1999,p.16D.M.ChanceAnIntroductiontoDerivativesandRiskManagement,6thed.Ch.10:2ImportantConceptsinChapter10WhyfirmshedgeHedgingconceptsFactorsinvolvedwhenconstructingahedgeHedgeratiosExamplesofforeigncurrencyhedges,intermediate-andlong-terminterestratehedges,andstockindexfutureshedgesD.M.ChanceAnIntroductiontoDerivativesandRiskManagement,6thed.Ch.10:3WhyHedge?ThevalueofthefirmmaynotbeindependentoffinancialdecisionsbecauseShareholdersmightbeunawareofthefirm’srisks.Shareholdersmightnotbeabletoidentifythecorrectnumberoffuturescontractsnecessarytohedge.Shareholdersmighthavehighertransactioncostsofhedgingthanthefirm.Theremaybetaxadvantagestoafirmhedging.Hedgingreducesbankruptcycosts.Managersmaybereducingtheirownrisk.Hedgingmaysendapositivesignaltocreditors.Dealershedgetheirmarket-makingactivitiesinderivatives.D.M.ChanceAnIntroductiontoDerivativesandRiskManagement,6thed.Ch.10:4WhyHedge?(continued)ReasonsnottohedgeHedgingcangiveamisleadingimpressionoftheamountofriskreducedHedgingeliminatestheopportunitytotakeadvantageoffavorablemarketconditionsThereisnosuchthingasahedge.Anyhedgeisanactoftakingapositionthatanadversemarketmovementwilloccur.This,itself,isaformofspeculation.D.M.ChanceAnIntroductiontoDerivativesandRiskManagement,6thed.Ch.10:5HedgingConceptsShortHedgeandLongHedgeShort(long)hedgeimpliesashort(long)positioninfuturesShorthedgescanoccurbecausethehedgerownsanassetandplanstosellitlater.Longhedgescanoccurbecausethehedgerplanstopurchaseanassetlater.Ananticipatoryhedgeisahedgeofatransactionthatisexpectedtooccurinthefuture.SeeTable10.1,p.348forhedgingsituations.D.M.ChanceAnIntroductiontoDerivativesandRiskManagement,6thed.Ch.10:6HedgingConcepts(continued)TheBasisBasis=spotprice-futuresprice.HedgingandtheBasisP(shorthedge)=ST-S0(fromspotmarket)-(fT-f0)(fromfuturesmarket)P(longhedge)=-ST+S0(fromspotmarket)+(fT-f0)(fromfuturesmarket)Ifhedgeisclosedpriortoexpiration,P(shorthedge)=St-S0-(ft-f0)Ifhedgeisheldtoexpiration,St=ST=fT=ft.D.M.ChanceAnIntroductiontoDerivativesandRiskManagement,6thed.Ch.10:7HedgingConcepts(continued)TheBasis(continued)HedgingandtheBasis(continued)Example:Buyassetfor$100,sellfuturesfor$103.Holduntilexpiration.Sellassetfor$97,closefuturesat$97.Ordeliverassetandreceive$103.Make$3forsure.Basisdefinitioninitialbasis:b0=S0-f0basisattimet:bt=St-ftbasisatexpiration:bT=ST-fT=0Forapositionclosedatt:P(shorthedge)=St-ff-(S0-f0)=-b0+btD.M.ChanceAnIntroductiontoDerivativesandRiskManagement,6thed.Ch.10:8HedgingConcepts(continued)TheBasis(continued)Thisisthechangeinthebasisandillustratestheprincipleofbasisrisk.Hedgingattemptstolockinthefuturepriceofanassettoday,whichwillbef0+(St-ft).Aperfecthedgeispracticallynon-existent.Shorthedgesbenefitfromastrengtheningbasis.Allofthisreversesforalonghedge.SeeTable10.2,p.350forhedgingprofitabilityandthebasis.D.M.ChanceAnIntroductiontoDerivativesandRiskManagement,6thed.Ch.10:9HedgingConcepts(continued)TheBasis(continued)Example:March30.Spotgold$387.15.Junefutures$388.60.Buyspot,sellfutures.Note:b0=387.15-388.60=-1.45.Ifheldtoexpiration,profitshouldbechangeinbasisor1.45.Atexpiration,letST=$408.50.Sellgoldinspotfor$408.50,aprofitof21.35.Buybackfuturesat$408.50,aprofitof-19.90.Netgain=1.45or$145on100oz.ofgold.D.M.ChanceAnIntroductiontoDerivativesandRiskManagement,6thed.Ch.10:10HedgingConcepts(continued)TheBasis(continued)Example:(continued)Instead,closeoutpriortoexpirationwhenSt=$377.52andft=$378.63.Profitonspot=-9.63.Profitonfutures=9.97.Netgain=.34or$34on100oz.Notethatchangeinbasiswasbt-b0or-1.11-(-1.45)=.34.BehavioroftheBasis.SeeFigure10.1,p.352.Inforwardmarkets,thehedgeiscustomizedsothereisnobasisrisk.D.M.ChanceAnIntroductiontoDerivativesandRiskManagement,6thed.Ch.10:11HedgingConcepts(continued)SomeRisksofHedgingcrosshedgingspotandfuturespricesoccasionallymoveoppositequantityriskD.M.ChanceAnIntroductiontoDerivativesandRiskManagement,6thed.Ch.10:12HedgingConcepts(continued)ContractChoiceWhichfuturesunderlyingasset?HighcorrelationwithspotFavorablypricedWhichexpiration?ThefutureswithmaturityclosesttobutafterthehedgeterminationdatesubjecttothesuggestionnottobeinacontractinitsexpirationmonthSeeTable10.3,p.354forexampleofrecommendedcontractsforT-bondhedgeConceptofrollingthehedgeforwardD.M.ChanceAnIntroductiontoDerivativesandRiskManagement,6thed.Ch.10:13HedgingConcepts(continued)ContractChoice(continued)Longorshort?Acriticaldecision!Noroomformistakes.Threemethodstoanswerthequestion.SeeTable10.4,p.355.•worstcasescenariomethod•currentspotpositionmethod•anticipatedfuturespottransactionmethodD.M.ChanceAnIntroductiontoDerivativesandRiskManagement,6thed.Ch.10:14HedgingConcepts(continued)MarginRequirementsandMarkingtoMarketlowmarginrequirementsonfutures,butcashwillberequiredformargincallsD.M.ChanceAnIntrod