《金融学教学》bodie2echapter11PPT课件.ppt

Chapter 11:  Hedging, Insuring, and Diversifying
Objective
Explain market mechanisms for
implementing hedges and insurance
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Copyright © 2009 Pearson Education, Inc. Publishing as Prentice Hall
Chapter 11 Contents
Using Forward & Futures Contracts to Hedge Risks
Hedging Foreign-Exchange Risk with Swap Contracts
Hedging Shortfall-Risk by Matching Assets to Liabilities
Minimizing the Cost of Hedging
Insuring versus Hedging
Basic Features of Insurance Contracts
Financial Guarantees
Caps & Floors on Interest Rates
Options as Insurance
The Diversification Principle
Insuring a Diversified Portfolio
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Copyright © 2009 Pearson Education, Inc. Publishing as Prentice Hall
Using Forward and Futures Contracts to Hedge Risks
Forward Contract
an agreement between two parties to exchange something at a specified price and time
This is an obligation on both parties
Distinguish this from a right, but not the obligation, of a party to exchange something
To nullify the contract, you have to negotiate a second contract.
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Copyright © 2009 Pearson Education, Inc. Publishing as Prentice Hall
Definitions of Terms
Forward Price
Price (agreed to today) of an item to be purchased, and paid for, at a given future date
Spot Price
Price (agreed to today) of an item to be purchased (and paid for) immediately
Face Value
‘Quantity of deliverable’ times ‘forward price’
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Copyright © 2009 Pearson Education, Inc. Publishing as Prentice Hall
Definitions of Terms
Long Position
The agreement to buy the item (from the person taking the short position)
Short Position
The agreement to sell the item (to the person taking the long position)
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Copyright © 2009 Pearson Education, Inc. Publishing as Prentice Hall
Using Forward and Futures Contracts to Hedge Risks
Traditionally, no payment is made on a forward contract until the settlement date
If the parties to a forward contract do not trust the other, then add clauses to