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1、养老金计划的风险管理,概念,多头：是指投资者对股市看好，预计股价将会看涨，于是趁低价时买进股票，待股票上涨至某一价位时再卖出，以获取差额收益。 空头：指虽然当前股价相对较高，但是投资者对股市前景不看好，预计股价将会下跌，于是趁相对高价时卖出股票，待股票下降至某一价位时再买入，以获取差额收益 期货（Futures）与现货完全不同，现货是实实在在可以交易的货（商品），期货主要不是货，而是以某种大宗产品如棉花、大豆、石油等及金融资产如股票、债券等为标的标准化可交易合约。因此，这个标的物可以是某种商品（例如黄金、原油、农产品），也可以是金融工具。,互换 swap。亦作：掉期；互换交易；掉汇。名。指交易
2、双方约定在未来某一时间相互交换资产的协议。更确切地说，互换是当事人之间约定在未来某一期间相互交换现金流量的协议。还可以被当作一系列远期合约的组合。由于两个最终用户之间进行互换很困难，通常需要互换交易商作中介。最常见的互换交易为利率互换. 期权又称为选择权，是在期货的基础上产生的一种衍生性金融工具。指在未来一定时期可以买卖的权利，是买方向卖方支付一定数量的金额（指权利金）后拥有的在未来一段时间内（指美式期权）或未来某一特定日期（指欧式期权）以事先规定好的价格（指履约价格）向卖方购买或出售一定数量的特定标的物的权利，但不负有必须买进或卖出的义务。,看涨期权（call option），看涨期权又称买
3、进期权,买方期权,买权,延买期权，或“敲进”，是指期权的购买者拥有在期权合约有效期内按执行价格买进一定数量标的物的权利。看涨期权是这样一种合约：它给合约持有者(即买方)按照约定的价格从对手手中购买特定数量之特定交易标的物的权利。 看跌期权又称卖权选择权、卖方期权、卖权、延卖期权或敲出。看跌期权是指期权的购买者拥有在期权合约有效期内按执行价格卖出一定数量标的物的权利，但不负担必须卖出的义务。,9.1 THE OBJECTIVE OF HEDGING,The objective of hedging (or risk management or risk mitigation) is to tra
4、nsfer risk from one individual or corporation to another individual or corporation. The counterparty offloading the risk is the hedger; the counterparty taking on (or assuming) the risk is the insurer or speculator. For example, if a pension fund has a long position (i.e. net asset position) in cash
5、-market securities, the fund manager will be concerned about the prices of those securities falling and will want to protect against this possibility. Alternatively, if the pension fund has a short position (i.e. net liability position) in cash-market securities, the fund manager will be concerned a
6、bout rising prices and will want to protect against this possibility.,In order to hedge successfully and so transfer all (or at least most)risk, the hedger will have to select a suitable hedging instrument. Three of the most suitable hedging instruments will therefore be instruments that are derivat
7、ive upon cash-market securities namely, financial futures, options and swaps.,9.2 HEDGING WITH FUTURES,Futures contracts can be used to hedge interest-rate risk (both short-term and long-term), stock-market risk and exchange-rate risk. There are some simple rules for hedging with futures: if short c
8、ash (i.e. expecting a cash inflow and worried that prices will rise or interest rates will fall), then buy futures (i.e. put on a long hedge); if long cash (i.e. holding cash or securities and worried that prices will fall or interest rates will rise), then sell futures (i.e. put on a short hedge).,
9、The number of futures contracts required to hedge a cash position is determined as follows. We construct a hedge portfolio from a long position in the cash security and a short position in h units of the corresponding futures contract (where his the hedge ratio). the value of the hedge portfolio (VH
10、) is given by: where PS is the value of the cash security and PF is the value of the futures contract.,so that the hedge ratio is determined as: If the price of the cash-market security happens to be more volatile than that of the futures contract, then the hedge ratio will exceed unity, so that mor
11、e futures contracts will be needed to hedge the underlying cash position than the face value of that position. The opposite holds if futures are more volatile than cash. The number of futures contracts necessary to hedge a cash security is given by:,With the number of contracts determined in this wa
12、y, the hedge will be perfect (i.e. completely riskless for small changes in security prices).,9.2.1 Hedging with stock-index futures,Suppose that on 1 April a pension fund manager is uncertain about where the market is going over the next three months and wishes to hedge 1m of his equity portfolio,
13、which has a beta of 1.15. On 1 April the FTSE 100 index is standing at 2204.0 and the value of the June contract on LIFFE is 2300.0. Because the fund manager is long in the cash market, he will need to be short in the futures market to hedge the portfolio. Since the value of each one-point movement
14、(known as a tick) in the LIFFE FTSE 100 contract is worth 10, the fund manager will need to sell futures contracts according to the following formula:,Hedged portfolio will have a value on 30 June determined by:,9.2.2 Hedging with bond futures,Bond futures contracts (such as the long gilt contract o
15、n LIFFE) can be used to hedge the systematic risk or the interest-rate risk from holding bond portfolios. Bond futures contracts are priced off the cheapest-to-deliver (CTD) bond from the range of deliverable bonds. The relationship between changes in the futures price and the price of the CTD bond
16、(see, for example, Blake, 2000, Chapter 8) is given by: where change in the price of the long gilt future; change in the price of the CTD bond; price (or conversion)factor for the CTD bond.,Suppose that on 1 April a pension fund manager is expecting a cash inflow of about 1.20m in two months time, which he intends investing in the CTD bond (which we suppose to be Treasury 10.5% 202325 with a price factor of 1.3032131 and currently trading at 118 per 100 nominal). H
