国际金融.ppt

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国际金融 第一讲 两个问题 怎样用双语上课？ 大纲：风险管理 引论：什么是和为什么要IF 第一讲 两个问题 经常要提问题 要“阅读” 大学课堂不应该讲课本的东西 第一讲 怎样用双语上课？ 第一讲 大纲：风险管理 金融工具 金融市场 金融管理 宏观微观 我国的发展 引论：什么是和为什么要IF The international in our lives Oil price Trade argument: EU and US Buying internationally:IBM,CNOOC Table in p2 How much is china? The facts that china is not so international 引论：什么是和为什么要IF Organizations IMF World bank GATT or WTO BIS OECD EC or EU OPEC 9+2 引论：什么是和为什么要IF Advantages of international trade and finance Comparative advantage theory Investment:high return projects in countries with low savings:china? Diversification: p10 Consumption smoothing through borrowing and less uncertain 引论：什么是和为什么要IF Current trends in international trade and finance Financial activity growth rate higher than that of trade p11 New instruments: p12 Table China:RMB,UD$ and Euro Appreciation UD$’s role in international finance Chinese trade and India and more… 引论：什么是和为什么要IF And more…. Foreign exchange risk mng1 Exposure p370 An open fx position Imply Why Examples Personal Corporate Foreign exchange risk mng1 Long Short Several ways of measuring Transactions Balance sheet Foreign exchange risk mng1 Information in the a/c Receivable Payable:examples? Expected Outstanding order Bids Other cash flow Foreign exchange risk mng1 The treasurer All decision making circuits More than accounting Foreign exchange risk mng1 Discussion Fx risk of Chinese companies What can be done to the exposure? Foreign exchange risk mng1 In-house hedging (p371 summary) Cash management Netting Leading and lagging Foreign exchange risk mng1 Hedging with instruments p373 Forward contracts Futures Eurocurrency market Swaps Options To be covered later Foreign exchange risk mng1  Foreign Exchange Management Issues  Organizing for foreign Exchange Management BOP and IMF 之前讨论了 什么是国际金融？ 两种标准 外汇风险怎样认定 管理的大体方法们 BOP and IMF 现在回到一些基本知识方面 本周，官方的，内容比较多，容易理解 BOP 第一章，本周 IMF 第四章，本周 下周，理论的，内容更多，不容易理解 Parities 第三章 Balance of payment 是什么东西？ 名词、形容词 什么是平衡，顺差，逆差？ 中国、美国、日本怎样 顺差好吗？ 怎样调节？ 计划经济、市场经济，中国的和international Balance of payment 是统计表，所以有误差 用借贷法记录，所以总是平的 用途不少，主要是用来看汇率 人民币升值 泰铢贬值 美圆贬值 其他用途属于经济学，不多说了 Balance of payment The bop, record, flows, period, given country p33 Sources,uses p34 Double entry system p19-p26 Current account,capital account p34 Income statement, and financing source The exchange rate is determined p34 Intervention do not last long Balance of payment Portfolio and direct investment p21 Change in reserves p25 Indication of the central bank’s activity Balance factor of the whole bop China’s reserves Exchange rate p29 The international monetary system Introduction p93 Money Liquidity Too much Too short of 谁印钞？ The international monetary system Fixed exchange rate system p93 Gold standard p95-p2 Advantage:limiting mismanagement Disadvantage:painful side effect,liquidity short The gold exchange standard p95-p4 Advantage and disadvantage:p95-p7 Weakness of the fixed rate system p96 running out of reserves Willingness of the authorities The international monetary system Flexible exchange rate systems p97 Argument1:no consequences on price Argument2:protect the rest of the world Argument3:reducing reserves Argument4:reducing control Argument5:instability Argument6:autonomy only to big one The international monetary system Other exchange rate systems p98 Managed float Crawling peg Fixed rates with wider bands Fixed rate system with controls The international monetary system History p99-p106 1880-1931 1944-1973 1973-1985 1985- The international monetary system Current international financial system Three facts: USD is major currency EU is gaining importance IMF survived What about japan and china? The international monetary system Current international financial system IMF p104 Its role The international monetary system The european union And the euro The international monetary system Current system of exchange rates Flexible p110 The international monetary system Summary p110 International parity relations Introduction 利差？ 期汇差？ 望汇差？ 通涨差？ 他们、它们、她们全都相等！ International parity relations Introduction p65 Importance of mng fx risk Indispensable tool Simple Goods and services,interest rates, spot and forward rate Well understood International parity relations PPP Law of one price p66 Perfect market Arbitrage 式子（)和例子 p67,（难记公式？） International parity relations PPP 绝对与相对 P67 引入时间、篮子指数 ()到()()() 后者意思更加直白 道理在于变动的关系，成立的条件少于绝对 实际上：long run p69 International parity relations IRP Law of one price in financial market p72 Perfect market Arbitrage International parity relations IRP Forward rate p73 Premium or discount International parity relations IRP 机能 p73 市场套利 利率1升 利率2降 Forward rate up Spot rate down International parity relations IRP 正式版 p74 International parity relations Fisher relation Nominal rate p76 Fisher relation () p77 International fisher relation () p77 正式版 p78 rg - ru = ig - iu () International parity relations Forward rate parity 正式版文字 p80 第一行 式子() p80 Et [ S( ) ] is a bit mathematical and difficult but financial International parity relations Empirical evidence Research Study International parity relations Forecasting Forward p83 两大类 p85 Bop,宏观 p85 Asset market stock, efficient market p85 Models:combination of two p86 Technical p87 Effectiveness? NO! Why not? Why buy?特码！ International parity relations Summary International banking and eurocurrency Introduction p113 International banking and eurocurrency Eurocurrency p113 Origins and development Soviet Regulation Q and M Two others p114 Economies of scale Cost and convenience p115 International banking and eurocurrency Rates Spread p115 Rate differentials p116 Fig Libor Table Eurobond market p118 International banking and eurocurrency Multiplier Not fixed number p118 Leak 1 2 3 p121-122 International banking and eurocurrency Effects on bop 无央行、没影响 有央行、change in reserve p123 International banking and eurocurrency Eurocurrency market financing bop Everlasting regret p124 International banking and eurocurrency Presrue on dollar Borrow from euromarket and sell it in demestic market p124 International banking and eurocurrency International banking structure Correspodent Represetative Branch Subsidary International banking and eurocurrency Mergers 优缺点 p127 International banking and eurocurrency Instruments p128 Term deposit CD FRN International banking and eurocurrency Summary The foreign exchange market Introduction Efficiency and integration Technical（要点1） Organized Quoted Delivery and settement Forward rate（要点2） IRP Link between the money and fx markets The foreign exchange market Interbank market（上下家，买卖价） Brokers Two ways of quotation Bid-ask spread Cross rate Clearing houses CHIPS\CHAPS The foreign exchange market Forward Delivery Maturities Quotations As a way to offset risks Reasons p141 Example p143 The foreign exchange market Euromoney market and fx market P146 illustrated P148 domestic market cannot off the same Foreign exchange risk mng2 Review two concept:fx risk and forward Example:sell shoes chinese get $100 in 3m, and buy parts pay e50 in 1m What is long? Short? How to hedge? Forward:the time and the amount Hedging long, sell forward Hedging short,buy forward Foreign exchange risk mng2 End up: pay $,get y +pay shoes, get $=pay sheos, get y Pay y,get e +pay e,get patrs=pay y, get parts Fig The axis The lines How to read the fig Role play: who is who? Foreign exchange risk mng2 Fig The axis y is expenditure The lines How to read the fig Role play: who is who? Easy group of p374-375 Guarantee Eliminated Two edged sword General rule Foreign exchange risk mng2 Introduction P373 first paragraph, chapter 14 Forward Loan in foreign currency Swap Futures and options will be discussed in foreign exchange management3 in chapter 15 Foreign exchange risk mng2 Forward Hedging long, sell forward p374 Guarantee Eliminated Two edged sword General rule Fig Foreign exchange risk mng2 Forward Hedging short, buy forward p375 ANY DISCUSSION? What about rmb? Foreign exchange risk mng2 Forward The effects of discount or premium Exampl in p376 Us sell goods take franc in 3m Franc rate higher forward at discount Sell franc forward will resulting a loss B-A The loss should be considered in pricing Foreign exchange risk mng2 Forward The effects of discount or premium 中国公司，出口$100，NDF@ in 12m 只能收rmb780 提价 如果是进口呢？ 卖rmb NDF　价格高，有利。 Foreign exchange risk mng2 Forward The effects of discount or premium Exampl in p377 Case of short Buy forward to hedge Discount in forward is favorable to the hedger Foreign exchange risk mng2 Hedging via the spot market plus loan example in p378 Involving borrowing and lending(存款） Bank sell us$ 10 forward to importer Bank buy US$ spot @1128 Bank lend us$ @4% for 3m Bank borrow KRW @% for 3m Bank pay less won and receive more!! Foreign exchange risk mng2 Hedging via the spot market plus loan example in rmb 请举例！ 请解题。工作中应用。 讨论 Short $ forward =>long $ spot Long $ forward =>short $ spot 谁赚钱？市场效率。大行。 Foreign exchange risk mng2 Hedging position longer than one year P379 Equation () n 次方 Rusd 是 interest rate on two-year zero coupon bond(loan) Not many zero coupon boad Foreign exchange risk mng2 Forward Rolling over and closing out 到期货未到 forward 没有用 p380 提前发货，提前收到美元　p380 Foreign exchange risk mng2 用外汇借款对冲风险　p383 中小企业 同时解决融资和风险 讨论 Foreign exchange risk mng2 Swap 两类 p384 FX swap = spot B/S + forward B/S Currency swap = spot change of P + coupon changes + P change back at maturity 用途 临时换钱，到期换回，没有风险 海外投资，借不到外国长钱，与对手互换 等于一串 forward deals Futures Introduction Organixation of the exchanges Basis and effective hedging Hedge with futures Futures Introduction P153-p157 Table commodity futures Table financial futures Underlying assets Derivatives Futures Organixation of the exchanges Standardized contracts p157 Public and competitive trading procedures p158 and fig Clearing house p159 and fig Margin call and marking to market p161 Delivery procedures p162 Qutations p163 and table Futures Basis and effective hedging Definition () p163 Basis risk p164 Delta hedge p165 Determining the basis:financial assets (),() and () p166 Point 6 in p179 Basis 商品：p172 summary and five points Futures Hedge with futures Buy futures to cover short Sell futures to cover long Advantages p173 Disadvantages p173-174 Minimum variance hedge Three technics p174-p178 Beta in (),() and p178 Futures Summary p178-179 Organixation of the exchanges Basis and effective hedging Hedge with futures Options 第一段 Fixed hedge strategy Potential gain while… Options 定义 p181 Right Time Buy or sell Amount Fixed price Options American style and european style Exercise price, strike price Call and put Premium Summary p182 Options 例子 p183 Call Put Amount,assets Time Fixed price, exercise Primium Options Organized markets Third wednsday Standard size Clearing house Options on futures Table ,commodity Table ,financial Options Valuing options Black and scholes Elements p186 Value of the underlying asset and its volatility Strike price expiration date Interest rate Time 从因素推出价格，很严重！ Options 从因素推出价格，很严重！ 等于pricing，金融的主要内容之一 诺贝尔奖 Risk management就精确了 兴风作浪也就有杀伤力了，小型原子弹 Options Valuing options Higher asset price=>higher call ，油价狂涨 Higher asset price=>lower put ，油价狂跌 Premium is always positive P186,3p Spot too high => call=forward（右渐进） Spot too low => put=forward（左渐进） Options Premium and strike price Higher strike price => lower a call Higher strike price => higher a put Table Out-of-the-money,$65 oil call Time value in-the money,$55 oil call intrinsic value Premium = time value + intrinsic value at-the-money,$60 oil call Options Volatility Higher volatility => more expensive Time Six months is worth more than 3m Table 时间的平方根影响time value Options Management tools Delta, spot price, p204,l2-4 Gamma,delta, p205,l6,hell Theta,time Vega,volatility,p206,l3-5 Rho,rate,p206,l18 Risk management就精确了，兴风作浪也就有杀伤力了，小型原子弹，外科手术 Options Option pricing Binomial p189 B-S p199 Call () Put () Implied volatility p203 Easy to use p201 Options Binomial 的思路 s=100,call@90,up=120,down=80 First,sell a call and buy two spot Up:120+90=210 Dowm:80+80=160 Second,sell a call and buy one spot Up:90 Down:80 Third,sell a call and buy spot Up:90-60=30 Down:=40 Options Binomial 的思路 Sell一个call 和buy 一些oil spot，使将来剩下的钱等于一个确定的结果。例如买个现货，则将来无论现货升跌，结果一样是35。 用卖call的收入加上34（35的现值）来买个现货 如果可以买多于个，有无风险利润； 如果不足，也有无风险利润，反向操作； 结果应该刚好可以买个，就是call的公平价。 Options Binomial 的思路 Sell一个call 和buy 一些oil spot 剩下的钱将来等于一个确定的结果 做法 算出好坏两种结果 使两结果相等（没有分别）求出“ 一些” 于是：买“一些”＋卖“一个”＝“结果”的折现值 即（）；即卖＋买＋借＝0；即卖＋借全用于买。。。。 Options Put-call parity It is interesting…p206,l-2 () () Option uses 3 uses:hedge,speculation and arbitrage 3 ways: buy, sell and tunnel(b&s) Buy call or Buy put Sell call or sell put Tunnel:buy call & sell put or buy put & sell call Option uses Buy options To cover short:buy call To cover long:buy put To bet on sharp rise:buy call To bet on sharp fall:buy put Option uses Sell options To bet on low volatility:sell call or put To cover short, we want +delta=>sell put To cover long, we want –delta=>sell call Option uses Tunnel: To cover short:buy call & sell put We would call or be put or free to buy in spot in the end and get the underlying asset To cover long:buy put & sell call We would put or be called or free to sell in spot in the end and get rid of the underlying asset Tunnel is cheap to use When tunnel close, it equal to a forward Option uses Put-call parity,arbitrage with a tunnel When tunnel close, it equal to a forward Buy call & sell put equals to buy forward Buy put & sell call equals to sell forward Arbitrage:buy call & sell put & sell forward 将期权金净值持有到期，所得本息＋卖F所得等于行使价X：(p - c)ert + F = X Put-call parity Option uses buy call & sell put & sell forward，将期权金净值持有到期，所得本息＋卖F所得等于行使价X：(p - c)ert + F = X 如果(p - c)ert + F > X，有无风险利润，可以持续买call，卖put和F，到期行使并且交收获利。结果call价升，put价和F价降，得出平价。 如果(p - c)ert + F < X，也就是说F < (c – p)ert + X，F便宜，可以买F，并且持续买put和卖call，到期行使并且交收，有无风险利润。结果call价降，put价和F价升，得出平价。