金融学（博迪） 清华本科课件 chpt11

Chapter11:HedgingandInsuringCopyright©PrenticeHallInc.2000.Author:NickBagley,bdellaSoft,Inc.ObjectiveExplainmarketmechanismsforimplementinghedgesandinsurance1Chapter11Contents11.1UsingForward&FuturesContractstoHedgeRisks11.2HedgingForeign-ExchangeRiskwithSwapContracts11.3HedgingShortfall-RiskbyMatchingAssetstoLiabilities11.4MinimizingtheCostofHedging11.5InsuringversusHedging11.6BasicFeaturesofInsuranceContracts11.7FinancialGuarantees11.8Caps&FloorsonInterestRates11.9OptionsasInsurance11.10TheDiversificationPrinciple11.11InsuringaDiversifiedPortfolio2MarketValueofMortgagesBookValueofMortgages3CDInterestPaymentsMortgageInterestPayments456Standarddeviation,1firmTheStandardDeviationis$200,0007Standarddeviation,2firmsTheStandardDeviationisabout$141,000(c.f.$200,000)8Standarddeviation,equalinvestmentin“n”firmsGeneralizingtheargument,itiseasytoprovethatthestandarddeviationinthiscaseisjust$200,000/SqrareRoot(n)Conclusion:Giventhefactsofthisexample,theriskmaybemadeasclosetozeroaswewishiftherearesufficientsecurities!Inreality,however…nismustbefinite,andpharmaceuticalprojectshaveanon-zerocorrelations9CorrelatedHomogeneousSecuritiesPharmaceuticalprojectsdohavepositivecorrelation(Why?)Loosentheassumptionsmadeaboutthecorrelation,andsetittoρ,andusethegeneralizationof10CorrelatedHomogeneousSecuritiesWeobtaintherelationshipσport=σsec*QSRT(ρ+1/n)Inthecaseofn->Infinity,thereremainstheterm σport=σsec*QSRT(ρ)Thisriskisnotdiversifiable 11121314DiversifiableSecurityRiskNo