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首页 美林给中国建设银行做的风险管理项目

美林给中国建设银行做的风险管理项目.pdf

美林给中国建设银行做的风险管理项目

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2009-07-11 0人阅读 举报 0 0 暂无简介

简介:本文档为《美林给中国建设银行做的风险管理项目pdf》,可适用于经济金融领域

美林公司致中国建设银行ThisinformationisforyourprivateinformationandisfordiscussionpurposesonlyAvarietyofmarketfactorsandassumptionsmayaffectthisanalysis,andthisanalysisdoesnotreflectallpossiblelossscenariosThereisnocertaintythattheparametersandassumptionsusedinthisanalysiscanbeduplicatedwithactualtradesAnyhistoricalexchangerates,interestratesorotherreferenceratesorpriceswhichappearabovearenotnecessarilyindicativeoffutureexchangerates,interestrates,orotherreferenceratesorpriceswhichappearabovearenotnecessarilyindicativeoffutureexchangerates,interestrates,orotherreferenceratesorpricesAlthoughtheinformationisobtainedfromsourcesweconsiderreliable,wedonotrepresentthatitisaccurateorcompleteWeareactingsolelyinthecapacityofanarm’slengthcounterpartyandnotinthecapacityofyourfinancialadvisororfiduciaryGenerally,alloverthecounter(OTC)derivativetransactionsinvolvetheriskofadverseorunanticipatedmarketdevelopments,riskofilliquidityandotherrisksUnlessspecificallystatedotherwise,anypricesmentionedherearenotbidsoroffersofMerrillLynchtopurchaseorsellanysecuritiesorotherfinancialinstrumentsPriortoundertakinganytrade,youshoulddiscusswithyourprofessionaltaxorotheradviserhowsuchparticulartrade(s)affectyouThisbriefstatementdoesnotdisclosealloftherisksandothersignificantaspectsofenteringintoanyparticulartransactionOptionsarenotsuitableforallinvestorsOptionbuyersmaylosetheirentireinvestmentOptionsellersmayhaveanunlimitedloss哈尔滨年月日提纲:、提高收益类资产产品的风险分析及定价、负债风险管理分析及定价、负债管理案例如何设计产品、全球经济形势分析、美林公司简要介绍Presentation:PM()、提高收益资产产品风险及定价分析产品举例:„日累计生息产品ThepopularRangeAccrualproducts„可取消曲线差额产品CurveSpreadCallableproducts„收益封顶取消类产品TargetRedemptionHourglassproducts„汇率挂钩收益封顶类产品ForeignExchangeLinkedTargetRedemption„此外还有债券挂钩、黄金挂钩、股票指数挂钩、信用挂钩、商品价格挂钩等产品„美元利率较低产品产生的条件低利率、高波动性环境下的市场需求„亚洲借贷市场信用差较低„美元利率曲线陡峭„高波动性USDFEDFUNDRATEToday'smLAverageABNBNPBancofAmericaBancOneBarclaysBearStrearnsCIBCCitigroupCSFBDaiwaDBDresdnerGSHSBCJPMLehmanMerrillLynchMizuhoMSNomuraRBSUBSmonthLIBOR=,家银行对联邦基金利率在年底平均水平的预测=资料来源:彭博美元利率波动性高波动性美元内含远期利率曲线高内含收益率利率曲线陡峭日累计生息债券(存款)本金保护如果持有到期与美元利率挂钩例如:年期日累计生息利率=x(N)–N=个月LIBOR在区间内的天数个月LIBOR区间–如果有天个月LIBOR>该天生息为–利息每半年按照实际天数计算产品内部构造LIBORSpread)浮动固定利率掉期)美林购买digitalcaps如果LIBOR触及该天交易对手要支付给美林的利率因为美林购买了该期权)美林购买入掉期期权美林有权利进入一和)反方向的掉期一旦进入原交易取消。VanillaCapDigitalCapLIBORSpread,rangedOptionon:MerrillLynchIssuerCounterpartyMerrillLynchIssuerCounterparty可取消利率差额债券(存款)„例如:年„利率=*yearUSDSwapRatelessyearUSDSwapRate„发行体(存款人)每三个月可以提出提前中止„目前利率:„yearUSDSwapRatelessyearUSDSwapRate=(vs)„利率:x=TodayYearYearYearYearYearYearYearYearYearYearCMSYearandYearCMSSpreadYearCMSForwardCurveYearCMSForwardCurveValueyearUSDSwapRatelessyearUSDSwapRate:YearHistoricalChart产品内部结构x(CMS)x(CMS))美林进入个掉期个是美林付年期CMS,收取年期CMS另个掉期是美林收取个月LIBOR)美林卖出CMS封顶期权CMScap这个期权买方有权利选择是收取或者CMSCMS)美林购买掉期期权掉期期权不是简单的掉期期权期权买方有权利支付LIBOR收取CMSCMS同时)的CAP取消。CapLIBORSpreadOptionon:USDLIBORSpreadx(CMSCMS)MerrillLynchIssuerCounterpartyMerrillLynchIssuerCounterparty收益封顶取消类产品USDHourglassTargetRedemptionNoteSwap„第年利率:pa(fixed)„第年至第年利率:MAX(*monthLIBORinarrears)–subjecttotheGuaranteedSumofCoupon()产品内部构造x(mLinarrears)x())美林进入个掉期美林支付*(后定LIBOR)收取LIBOR)美林卖出封顶期权capThiscappaysthemaximumofor(mL))美林购买期权Theswaptionisatriggerswaption,itisexercisedbasedonthespotlevelofinterestrates(anormalswaptionisexercisedbasedontheforward),whichmakesthetransactionmorelikeacapthanaswaptionCapLIBOROptionon:USDLIBORx(mLIA)MerrillLynchIssuerCounterpartyMerrillLynchIssuerCounterparty汇率挂钩收益封顶类产品FXHourglassNote„高收益„保本(如果持有到期)„利益分散、风险分散举例:年期欧元挂钩收益封顶类产品RedeemableEURUSDHourglassProductSummary:YearEURUSDLinkedSwapNoteMaturityDate:EarlyRedemption,asbelow,orYearsfromStartDateCoupon:FirstMonths:paYear:(FXRateStrike)Strike,expressedasapercentageandperannumStrike:Today’sEURUSD:TargetCoupon:Ineachyearthetotalcouponspaidareaddedtogether(the“TotalSumofCoupons”)EarlyRedemption:IftheTotalSumofCouponswould,inanygivencouponperiod,exceedtheTargetCoupon,theSwapNotepaysacoupontobringtotheTotalSumofCouponsuptoandtheswapterminatesNoteredeemsatparPresentation:PM()、负债风险管理及定价分析Presentation:PM()利率风险„利率风险–浮动利率及固定利率定价ValuingFixedFloatingLiabilities–久期Duration–实例CaseStudy:BootstrappingtheYieldCurve„汇率风险–远期ForwardForeignCurrencyRates–货币掉期CrossCurrencySwaps„外汇期权„如何使用Bloomberg去计算掉期及期权的价格SwapsOptions什么是利率风险利率变化对公司资产或者负债市场价值的影响例如:万美元年期浮动利率债务一次还本付息利率上涨BP债务市值增加USD如何衡量及管理利率风险、现值(PV)应用现值的概念贴现未来现金流:„假设个月存款利率,个月以后的$的现值如下:$()CurrentMarketUSDYieldCurveBootstrappingtheYieldCurveCashFuturesSwaps定价固定利率债务现值推导各时点的贴现率求各时点的现值求该现金流的现值和FixedRateFlowsTotalNPVPeriodStartPeriodEndFixedRateCouponofYearDiscountFactorPVDecJunJunDecDecJunJunDecDecJunJunDecDecJunJunDecDecJunJunDecDecJunJunDecDecJunJunDecDecJunJunDecDecJunJunDecDecJunJunDec定价浮动利率现值内含远期LIBOR(IMPLIEDLIBOR)假设:„monthLIBOR=,monthLIBOR=„$atmonthLIBOR,个月末=$„$atmonthLIBOR,个月末=$市场一般规律,市场没有套利的机会理论上存入个月后再按照内含远期个月LIBOR存入结果=直接按照存入个月LIBOR推导个月以后的内含个月LIBOR计算浮动利率的现值FloatingRateFlowsTotalNPVPeriodStartPeriodEndForwardLIBORLIBORSpreadofYearDiscountFactorPVDecJunJunDecDecJunJunDecDecJunJunDecDecJunJunDecDecJunJunDecDecJunJunDecDecJunJunDecDecJunJunDecDecJunJunDecDecJunJunDec久期Duration量化衡量利率风险久期衡量投资者获得投资收回的平均期限Durationmeasurestheaveragelengthoftimethataninvestor(orissuer)getstheirinvestmentback(orrepaysthefundingprincipal)久期也用来衡量利率对现值的量化影响DurationalsomeasureshowsensitiveadebtinstrumentistochangesininterestratesInthefollowingdiagramofabond’scashflows,thedurationisthepointatwhichthecashflowsbalancewiththefinalprincipalflow:CouponsCouponsCouponsCouponsCouponsCouponsCouponsCouponsCouponsCouponsPrincipalDuration计算久期Duration,公式:Simplyput,takeeachcashflow,presentvalueit,multiplyitbyitbythetimeofeachcashflow(sothesecondyearcashflowismultipliedbytwo),addallthatup,anddivideitbythepresentvalueofallthecashflowsThespreadsheetontherightdemonstratestheabovecalculation∑∑===ntttntttkCktCDUR)()()(YearBondIssueMaturityCouponTCashflowdfPV(CF)PV(CF)*TsumDurationDmod久期的使用UsingDuration久期用于衡量利率敏感度例如个债券的久期是,BP的利率变动会导致债券价格变动大约是个BP普通利率掉期“PlainVanilla”InterestRateSwapsFloatingRatePaymentsFixedRatePayments普通利率掉期的价格计算浮动利率一方的现值和=======固定利率一方的现值和Tovaluethefixedleg,wetakefixedpaymentsandmultiplythembytheapplicablediscountfactorsTovaluethefloatingleg,wetaketheforwardLIBORandmultiplyitbythediscountfactorsforeachdateWethensolveforaLIBORspreadsothat:PresentValueofFixedRatePaymentsPresentValueofLIBORSpreadPresentation:PM()汇率风险汇率风险汇率变化引起风险及负债的变化例如日元借款公司日元升值带来债务增加例如进口需支付欧元欧元升值成本增加远期合约AForwardCurrencyContractisacontractwheretwopartiesexchangeonesuminonecurrencyforasuminanotherForinstance,assumeacompanyhadaJPYJapanBankofInternationalCooperation(“JBIC”)loanThisJPYliabilitycouldhaveafinalmaturityofyears,aninterestrateofandasizeofJPYbillionIfJPYshouldappreciateoverthenextfiveyears,thecompanywillexperiencealoss:„SupposetheUSDJPYratewhentheloanwasdrawnwas,sotheloanwouldhavebeenconvertedintoUSDmm„IftheUSDJPYrateonaverageovertherepaymentscheduleis,thecompanywillexperiencealossof(JPYbillion)(JPYbillion)=USDmm,oroftheloanPrincipalAmount„IfUSDJPYatmaturityis,thecompanywillexperiencealossofmm,oroftheloanPrincipalAmountHowever,supposethecompanytodayweretopurchaseacontractthatwoulddeliverJPYbilliontoitatthematuritydateThecompanywouldhavetopayacertainamountofUSDforthatcontract,theamountofUSDthatwouldhavetobepaidwouldbecalledtheForwardPrice,orcouldalsobecalledtheForwardExchangeRateForwardPricesforcurrenciesaredeterminedbyinterestratedifferentials远期合约及利率平价ForwardExchangeRatesaredeterminedbasedoninterestratedifferentialsConsiderthefollowingsituation:„Supposetoday’sUSDJPYexchangerateis„SupposefurtherthatIcanborrowandlendinUSDatforyear,andinJPY„SupposethatsomeoneiswillingtobuysellJPYforwardinyear’stimeatThiswouldcreateanarbitrageopportunity:„IfIborrowedJPY(JPY)andconverteditintoUSD„IwouldthensellUSDforwardagainstJPY(agreetopayUSDandreceiveJPYinyear’stime)„Attheendofoneyear:–IwouldpayJPYback(principalJPYinterest)–IwouldpayUSD(undertheforwardcontract)–IwouldreceiveJPY(undertheforwardcontract)–IwouldreceiveUSD(USDUSDinterest)„Net,IwillhavegainedUSDriskfree远期价格计算TheexampleonthepreviouspagedemonstratesthatthedifferencebetweentheinterestratesoftwocurrenciesandthespotexchangeratearetheonlyfactorsthatcandeterminetheforwardexchangerateIftheforwardexchangerateisanythingotherthanwhatwouldbedeterminedthroughtheformulaontheright,itwillcreateanarbitrageopportunityForwardcontractscanbeusedtohedgefuturecashflowsinforeigncurrenciesThemostcommontwoapplicationsofforwardcontractsforlongerdatedliabilitiesareNetBasisSwaps(alsocalledPrincipalOnlySwaps)andCrossCurrencySwapsForward=S*RfRdTSpot=ForeignCurrDomesticCurrRf=ForeignInterestRateRd=DomesticInterestRateForward=S*DomesticDiscountFactorForeignDiscountFactor货币掉期Inthefirstportionofthisseminar,welearnedtopriceinterestrateswapsWediscoveredthatarbitrageargumentscanbeusedtofinddiscountratesforanygivendateandwejustsimplydiscountfuturecashflowsbacktothepresentCrossCurrencySwapsarealmostidenticaltointerestrateswaps,exceptthatinsteadofderivingdiscountfactorsfromoneyieldcurve,weusetwoyieldcurves,theforeignandthedomesticSuppose,againusingayearJPYliability,thecompanyisinthefollowingposition:公司ObligationtoPayJPYbillionObligationtopayJPYpa货币掉期Thecompanycouldenterintothefollowingtransaction:(PricedatanFXrateforprincipalflowsof,withacurrentspotrateof)Howwouldwepricethis公司MerrillLynchMerrillLynchpaysJPYbillionUSDmmObligationtoPayJPYbillionObligationtopayJPYpaJPYpaUSDpa计算货币掉期TopricetheJPYleg,wesimplypricethesamewaywepricedafixedrateUSDlegintheinterestrateportion,usingtheJPYdepositandswapcurve:Notional,,,JPYSum(,,,)CouponUSDPV(,,)DateCouponsPrincipalFlowsDiscountFactorPV(CashAmort)MarMar(,,)(,,)Mar(,,)(,,)Mar(,,)(,,)Mar(,,)(,,)Mar(,,)(,,)Mar(,,)(,,)Mar(,,)(,,)Mar(,,)(,,)Mar(,,)(,,)Mar(,,)(,,,)(,,,)计算货币掉期TopricetheUSDfixedleg,weusethesametechnique:FXRateNotional(,,)USDPV(,,)CouponDateCouponsPrincipalFlowsDiscountFactorPV(CashAmort)MarMar,,,,Mar,,,,Mar,,,,Mar,,,,Mar,,,,Mar,,,,Mar,,,,Mar,,,,Mar,,,,Mar,,,,,,货币掉期定价理论¾determinezerocoupondiscountfactorsforeachdateinthecashflow,¾discountthosecashflowsbacktotoday,¾andaddthemtogether¾NPV=Presentation:PM()外汇期权期权期权买方在支付一定期权费用在商定未来某一天或者商定的一段时间内有权利选择交割或者不交割期权卖方在收取一定期权费用在商定未来某一天或者商定的一段时间内有义务选择交割或者不交割期权术语CALL买入资产的权利PUT卖出资产的权利美式期权maybeexercisedatanytimeuptoexpirationdateÅ·式期权mayonlybeexercisedontheexpirationdate价格因素“inthemoney”positivecashflowifexercisedimmediately“atthemoney”zerocashflowifexercisedimmediately“outofthemoney”negativecashflowifexercisedimmediately内在价格maximumofzeroandvalueifexercisedimmediately时间价格theamountanoptionisworthoverandaboveitsintrinsicvalue期权费thepriceoftheoptionFXOptions决定期权价格的因素Spotrate即期价格Strikeprice执行价格Volatility波动性Maturity到期日等等∆V∆V∆V入买Call出卖Put入入买远=∆V∆V∆V=出卖Call入买Put出卖入远¾入期期期期期入期权权汇远约而期入期期而而期而而而入汇远约汇权。外汇期权用途„Hedgetheirshortdatedreceivablesandpayablesagainstmovementsinexchangerates„Matchthecurrenciesoftheirassetsandliabilitiestoprotectagainstlongertermmovesinthevalueofdomesticandforeigncurrencies„Lowertheircostoffinancinghedging入权:影影入影影影影影权BlackScholes(或或或或或)波波波波波波波影影波波波波影影动动对变动影的的。波波波波波波波波波影波动场变动生影生生波生发。公公波影影场波波影影:即入影影行行影影到入到利利波未影影:波波动PricingOptionsBlackScholesEquationSpotPriceStrikePriceTimetoMaturityInterestRateVolatilityOptionPriceTheBlackScholesEquationTheBlackScholesequationisaheattransferequationtakenfromthephysicsworldTheequationcalculatestheexpectedcostofreplicatinganoptionwithapositioninanassetandariskfreebondUndertheequation,thevalueofthereplicatingassetbondportfoliominusthevalueoftheassetmustequalzeroThephysicspartoftheequationliesincalculatingthefuturevalueoftheassetpricebasedonhowweexpectthepricetomoveina“probabilitybased”waySincewecanobservetheinitialassetpriceandtheriskfreebondprice,wecanestimatethefutureassetpricesina“probabilitybased”or“riskneutral”was,andfindthatvalueoftheoptionpricethatmakesthecombinationwiththeassetbondequaltozero期权定价举例Goingbacktoourounceofgoldexample,considerthefollowingcontract:„Theissuerbuysacalloption,whichistherighttobuygoldinoneyear’stimeattoday’sspotpriceof$„TheSpotPriceis$„TheStrikePriceis$„TheTimetoMaturityisYear„TheUSDollarInterestRateis„Weassumezeroyieldandzerostoragecostforgold„TheVolatilityisTheBlackScholespriceofthisoptioni

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美林给中国建设银行做的风险管理项目

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