金融市場與金融創(chuàng)新(1)ppt課件

1、第三講金融市場發(fā)展與金融創(chuàng)新臺灣大學(xué)財(cái)金所黃達(dá)業(yè) 所長 2005/03/11.目 錄 壹、金融市場簡介 貳、現(xiàn)貨市場 參、衍生性市場 肆、金融創(chuàng)新與新金融商品 伍、金融市場的監(jiān)理 .壹、金融市場簡介一、金融市場結(jié)構(gòu)的疑點(diǎn)1. Stocks are not most important source of finance for businesses2. Banks are most important source of external finance 3 Issuing marketable securities not primary funding source for busines

2、ses4. Only large, well established firms have access to securities markets 5. Indirect finance (financial intermediation) is far more important than direct finance6. Financial system is among most heavily regulated sectors of economy.1.初級與次級市場2.店頭與買賣所市場3.現(xiàn)貨市場與衍生性證券市場二、金融市場的分類.三、逆選擇與金融市場結(jié)構(gòu)1. Lemons P

3、roblem in Securities Markets1.If cant distinguish between good and bad securities, one only pays their average value.2.Result: Good securities undervalued and firms wont issue them; bad securities overvalued so too many issued.3.Investors dont want to buy bad securities, and market dont function wel

4、l.2. Tools to Help Solve Adverse Selection(Lemons) Problem(1). Private production and sale of information Free-rider problem interferes with this solution(2). Government Regulation to Increase Information(3). Financial Intermediation Analogy to solving lemons problem provided by used car dealersBy m

5、aking private loans, avoid free-rider problem(4). Collateral and Net Worth .四、品德危險及其解決1.權(quán)益市場的品德危險及其解決(1) 主人代理人問題 1.Result of separation of ownership by stockholders (principals) from control by managers (agents) 2.Managers act in own rather than stockholders interest(2) 解決之道 1.Monitoring: production

6、 of information 2.Government regulation to increase information 3.Financial intermediation 4.Debt contracts.2.債權(quán)市場的品德危險及其解決(1)借款人想要承擔(dān)更多風(fēng)險(2)解決之道 1.Net Worth 2.Monitoring and Enforcement of Restrictive Covenants 3. Banks have special advantages in monitoring . 貳、現(xiàn)貨市場一、股票市場簡介1. 股市與系統(tǒng)風(fēng)險2.資本財(cái)定價模型(CAPM)3

7、.套利定價理論(APT)4.債券市場的發(fā)展5.證交稅與股市漲跌幅個案研討 . 1.股市與系統(tǒng)風(fēng)險(1) 資產(chǎn)風(fēng)險 = 系統(tǒng)性風(fēng)險 + 非系統(tǒng)性風(fēng)險(2) 良好分散的投資組合風(fēng)險僅決定於 組合內(nèi)資產(chǎn)的系統(tǒng)性風(fēng)險.Capital-Asset-Pricing Model 1. Risk Premium = Re Rf = Rem Rf2. implies risk premium 2. 股市：資本財(cái)定價模型(CAPM).Arbitrage Pricing Theory (APT)Several sources of systematic risk related to economy-wide fa

8、ctors Risk Premium =Re Rf = 1(Refactor 1 Rf)+ 2(Refactor 2 Rf ) + 3(Refactor 3 Rf )+3.股市：套利定價理論(APT).4.證交稅與股市漲跌幅個案研討(1) 證交稅與證所稅爭議(2) 股市漲跌幅放寬與否爭議.Simple Loan(2) Fixed Payment Loan(3) Coupon Bond(4) Discount Bond二、債券市場簡介1. 信譽(yù)工具的四種根本型態(tài).說明:(1)Simple Loan (i = 10%) (2)Fixed Payment Loan (i = 12%) FP FP F

9、P FP LOAN = + + + . + (1+i) (1+i) (1+i)3 (1+i)25(3)Coupon Bond (Coupon rate = 10% = C/F) C C C C F PB = + + + . + + (1+i) (1+i)2 (1+i)3 (1+i)N (1+i)N Consol: Fixed coupon payments of $C forever(4) Discount Bond (Pd = $900, F = $1000) F Pd $1000 $900 i = = = .111 = 11.1% Pd $900 .2.信譽(yù)評等與債券發(fā)展. 1 國庫券 2

10、 可轉(zhuǎn)讓定期存單(NCD) 3 商業(yè)本票 4 銀行承兌匯票 5 附買回協(xié)議 6 聯(lián)邦資金 7 歐洲美圓 三、貨幣市場簡介. 1 匯率的定義 (1)Spot exchange rate 與 Forward exchange rate (2) Appreciation 與 Depreciation 2 NDF控制與匯率穩(wěn)定爭議 3 資本控制與自在化四、外匯市場概論 . 1.不動產(chǎn)概念A(yù).法律概念：土地 / 定著物B.財(cái)經(jīng)概念 * 消費(fèi)財(cái) / 資本財(cái) * 供給有限性/ 具 外部性 2.證券化意義：金融反仲介與證券化五、不動產(chǎn)扺押證券市場概論.參、衍生性市場 遠(yuǎn)期市場簡介期貨市場簡介選擇權(quán)市場簡介交換

11、市場簡介.一、遠(yuǎn)期市場簡介Long position = agree to buy securities at future dateShort position = agree to sell securities at future datePros1.FlexibleConsLack of liquidity: hard to find counterparty2.Subject to default risk.Specifies delivery of type of security at future date2.Hedging similar to forwardsMicro h

12、edge vs. macro hedge3. Traded on Exchanges: Global competitionRegulated by CFTC4. Success of Futures Over Forwards(1)Futures more liquid: standardized(2)Mark to market: avoids default risk(3)Dont have to deliver: netting二、期貨市場簡介.Widely TradedFinancial Futures Contracts.三、選擇權(quán)契約簡介1.定義 Right to buy (ca

13、ll ) or sell (put) instrument at exercise (strike) price up until expiration date (American) or on expiration date (European)2. Hedging with Options Buy same # of put option contracts as would sell of futuresDisadvantage: pay premiumAdvantage: protected if price, gain if price Additional advantage i

14、f macro hedge: avoids accounting problems, no losses on option when price .S-C0ProfitLossKFigure 1 Buy Call3.買call選擇權(quán)報酬.SKC0ProfitLossFigure 2 Write Call4.賣call選擇權(quán)報酬.SKProfitLoss-P0Figure 3 Buy Put5.買put選擇權(quán)報酬.SLossProfit0PKFigure 4 Write Put6.賣put選擇權(quán)報酬.7. BLACK-Scholes選擇權(quán)訂價公式Higher strike price, low

15、er premium on call options and higher premium on put options2. Greater term to expiration, higher premiums for both call and put options3.Greater price volatility of underlying instrument, higher premiums for both call and put options.四、期貨選擇權(quán)市場簡介Call Options on Futures 2.Put Options on Futures.figur

16、e 2五、交換市場簡介1. Interest-Rate Swap Contract.2. Hedging with Interest Rate SwapsReduce interest-rate risk for both parties1.Midwest converts $1m of fixed rate assets to rate-sensitive assets, RSA , lowers GAP2.Friendly Finance RSA , lowers GAPAdvantages of swaps1.Reduce risk, no change in balance-sheet

17、2.Longer term than futures or optionsDisadvantages of swaps1.Lack of liquidity2.Subject to default risk.3. Swap with a Financial Intermediary.4. 利率交換(IRS)的經(jīng)濟(jì)分析 利率交換的型態(tài) - 固定 v.s. 浮動利率交換 - 浮動 v.s. 浮動利率交換 利率交換的功能 - 從事缺口管理(Gap Mgt) - 降低融資本錢 - 重建負(fù)債組合 - 管理基差風(fēng)險.肆、金融創(chuàng)新與新金融商品一、 金融創(chuàng)新的緣由範(fàn)疇與影響二、 新金融商品的推出三、 財(cái)務(wù)工程

18、與計(jì)算財(cái)務(wù)學(xué) (Computational Finance) .一、金融創(chuàng)新簡介金融創(chuàng)新的緣由(Miller, 1992)匯率制度的變革電腦與資訊科技的進(jìn)步壓制已久的創(chuàng)新與世界經(jīng)濟(jì)的成長金融控制與金融開放對金融創(chuàng)新的刺激金融創(chuàng)新的原動力TRICK營利動機(jī) 金融創(chuàng)新T Technology R RegulationI Interest-Rate Risk C CustomerK Capital.金融創(chuàng)新的範(fàn)疇價格風(fēng)險移轉(zhuǎn)的創(chuàng)新: FRN / Futures / Options / Swaps信譽(yù)風(fēng)險移轉(zhuǎn)的創(chuàng)新: MBS 創(chuàng)造股權(quán)的創(chuàng)新: CB / Corp. Bond with Equity W

19、arrant金融創(chuàng)新的影響與展望買賣本錢的降低風(fēng)險管理的功能流動性的提升.多空浮動利率債券(FRNs)FRNBull FRN : 如Sallie Mae (1986/4) (17.2%LIBOR)Bear FRN:如Mellon Bank (1986/6) (2Libor9.12%)COF19.75%L(9.75%L) 10%Bull FRNSwapCapFixed=Bear FRNSwapFloorCOFMax(0, 19.5%L) (9.75%L) 0.25% Max(0, L19.75%) 10%二、新金融商品的推出.(1)slope-1LIBOR19.5%19.5%現(xiàn)金流出(Par V

20、alue Bull Floater at 19.5%L).(2)slope-1LIBOR9.75%現(xiàn)金流出(IRS：收9.75%，付LIBOR)現(xiàn)金流入.(3)slope-1LIBOR19.75%現(xiàn)金流出(Cap on LIBOR，K19.5%，每年攤銷本錢0.25%)現(xiàn)金流入0.25%.(4)LIBOR19.75%現(xiàn)金流出10%合成的固定利率本錢9.75%.遠(yuǎn)紡(FET)第62期甲、乙券公司債甲券票息7.5%(6.90%B.A.)乙券票息7.5% (B.A. 6.90%)C甲 7.5%(6.90%B.A.) MaxB.A. 14.4%, 0C乙 7.5%(B.A. 6.90%) MaxB.A. 14.4%, 0利率風(fēng)險管理(IRRM)產(chǎn)品