Chap023 Futures Swaps and Risk Management 投资学博迪 第九版 英文教学课件

,Click to edit Master title style,Click to edit Master text styles,Second level,Third level,Fourth level,Fifth level,INVESTMENTS,|,BODIE,KANE,MARCUS,23-,*,CHAPTER 23,Futures,Swaps,and Risk Management,Futures can be used to hedge specific sources of risk.,Hedging instruments include:,Foreign exchange futures,Stock index futures,Interest rate futures,Swaps,Commodity futures,Futures,2,Foreign Exchange Futures,Foreign exchange risk:You may get more or less home currency than you expected from a foreign currency denominated transaction.,Foreign currency futures are traded on the CME and the London International Futures Exchange.,3,Figure 23.2 Foreign Exchange Futures,4,Interest rate parity theorem,Developed using the US Dollar and British Pound,where,F,0,is todays forward rate,E,0,is the current spot rate,Pricing on Foreign Exchange Futures,5,Text Pricing Example,r,us,=4%r,uk,=5%E,0,=$2.00 per pound,T=1 yr,If the futures price varies from$1.981 per pound,covered interest arbitrage is possible.,6,Direct Versus Indirect Quotes,Direct exchange rate quote:,The exchange rate is expressed as dollars per unit of foreign currency,Indirect exchange rate quote:,The exchange rate is expressed as foreign currency units per dollar,7,Hedging Foreign Exchange Risk,A US exporter wants to protect against a decline in profit that would result from depreciation of the pound.The current futures price is$2/1.Suppose F,T,=$1.90?,The exporter anticipates a profit loss of$200,000 if the pound declines by$.10,Short or sell pounds for future delivery to avoid the exposure.,8,Hedge Ratio for Foreign Exchange Example,Hedge Ratio in pounds,$200,000 per$.10 change in the pound/dollar exchange rate,$.10 profit per pound delivered per$.10 in exchange rate,=,2,000,000 pounds to be delivered,Hedge Ratio in contracts,Each contract is for 62,500 pounds or$6,250 per a$.10 change,$200,000/$6,250=32 contracts,9,Figure 23.3 Profits as a Function of the Exchange Rate,10,Available on both domestic and international stocks,Settled in cash,Advantages over direct stock purchase,lower transaction costs,better for timing or allocation strategies,takes less time to acquire the portfolio,Stock Index Contracts,11,Table 23.1 Major Stock-Index Futures,12,Table 23.2 Correlations among Major U.S.Stock Market Indexes,13,Creating Synthetic Positions with Futures,Index futures let investors participate in broad market movements without actually buying or selling large amounts of stock.,Results:,Cheaper and more flexible,Synthetic position;instead of holding or shorting all of the actual stocks in the index,you are long or short the index futures,14,Creating Synthetic Positions with Futures,Speculators on broad market moves are major players in the index futures market.,Strategy:Buy and hold T-bills and vary the position in market-index futures contracts.,If bullish,then long futures,If bearish,then short futures,15,Exploiting mispricing between underlying stocks and the futures index contract,Futures Price too high-short the future and buy the underlying stocks,Futures price too low-long the future and short sell the underlying stocks,Index Arbitrage,16,This is difficult to implement in practice,Transactions costs are often too large,Trades cannot be done simultaneously,Development of Program Trading,Used by arbitrageurs to perform index arbitrage,Permits quick acquisition of securities,Index Arbitrage and Program Trading,17,Hedging Systematic Risk,To protect against a decline in stock prices,short the appropriate number of futures index contracts.,Less costly and quicker,Use the beta for the portfolio to determine the hedge ratio.,18,Hedging Systematic Risk Example,Portfolio Beta =.8S&P 500=1,000,Decrease=2.5%S&P falls to 975,Portfolio Value=$30 million,Projected loss if market declines by 2.5%=(.8)(2.5%)=2%,2%of$30 million=$600,000,Each S&P500 index contract will change$6,250 for a 2.5%change in the index.(The contract multiplier is$250).,19,Hedge Ratio Example,H,=,=,Change in the portfolio value,Profit on one futures contract,$600,000,$6,250,=,96 contracts short,20,Figure 23.4 Predicted Value of the Portfolio as a Function of the Market Index,21,Uses of Interest Rate Hedges,A bond fund manager may seek to protect gains against a rise in rates.,Corporations planning to issue debt securities want to protect against a rise in rates.,A pension fund with large cash inflows may hedge against a decline in rates for a planned future investment.,22,Hedging Interest Rate Risk Example,Portfolio value =$10 million,Modified duration =9 years,If rates rise by 10 basis points (.1,%),then,Change in value=(9)(.1%)=.9%or$90,000,Price value of a basis point(PVBP)=$90,000/10=$9,000 per basis point,23,Hedge Ratio Example,H=,=,PVBP for the portfolio,PVBP for the hedge vehicle,$9,000,$90,=100 T-Bond contracts,24,Hedging,The T-bond contracts drive the interest rate exposure of a bond position to zero.,This is a market neutral strategy.Gains on the T-bond futures offset losses on the bond