书名: The Professional Risk Managers’ Handbook
A Comprehensive Guide to Current Theory and Best Practices
Author: Carol Alexander （ＰＲＭＩＡ现任主席) and Elizabeth Sheedy.
Publisher: PRMIA Publications
Volume I: Finance Theory, Financial
Instruments and Markets
The Official Handbook for the PRM Certification. PRMIA 考试教材
Contents
Introduction...............................................................................................................................................11
Preface to Volume I: Finance Theory, Financial Instruments and Markets..........................13
I.A.1 Risk and Risk Aversion.....................................................................................................................19
I.A.1.1 Introduction ..........................................................................................................................19
I.A.1.2 Mathematical Expectations: Prices or Utilities?...............................................................20
I.A.1.3 The Axiom of Independence of Choice ...........................................................................22
I.A.1.4 Maximising Expected Utility...............................................................................................24
I.A.1.5 Encoding a Utility Function ...............................................................................................28
I.A.1.6 The Mean–Variance Criterion............................................................................................34
I.A.1.7 Risk-Adjusted Performance Measures ..............................................................................37
I.A.1.8 Summary ...............................................................................................................................49
References ...............................................................................................................................................52
Appendix I.A.1.A: Terminology...........................................................................................................54
Appendix I.A.1.B: Utility Functions ....................................................................................................55
I.A.2 Portfolio Mathematics ......................................................................................................................61
I.A.2.1 Means and Variances of Past Returns ....................................................................................61
I.A.2.2 Mean and Variance of Future Returns ...................................................................................68
I.A.2.3 Mean–Variance Tradeoffs ........................................................................................................73
I.A.2.4 Multiple Assets ...........................................................................................................................78
I.A.2.5 A Hedging Example..................................................................................................................81
I.A.2.6 Serial Correlation .......................................................................................................................87
I.A.2.7 Normally Distributed Returns .................................................................................................89
I.A.3 Capital Allocation.............................................................................................................................95
I.A.3.1 An Overview........................................................................................................................95
I.A.3.2 Mean–Variance Criterion................................................................................................. 100
I.A.3.3 Efficient Frontier: Two Risky Assets ............................................................................. 101
I.A.3.4 Asset Allocation................................................................................................................. 106
I.A.3.5 Combining the Risk-Free Asset with Risky Assets ...................................................... 107
I.A.3.6 The Market Portfolio and the CML ............................................................................... 112
I.A.3.7 The Market Price of Risk and the Sharpe Ratio........................................................... 113
I.A.3.8 Separation Principle........................................................................................................... 113
I.A.3.9 Summary ............................................................................................................................. 114
Appendix: Mathematics of the Mean–Variance Model ................................................................. 116
I.A.4 The CAPM and Multifactor Models............................................................................................ 119
I.A.4.1 Overview............................................................................................................................ 120
I.A.4.2 Capital Asset Pricing Model............................................................................................. 121
I.A.4.3 Security Market Line ......................................................................................................... 123
I.A.4.4 Performance Measures...................................................................................................... 125
I.A.4.5 The Single-Index Model ................................................................................................... 128
I.A.4.6 Multifactor Models and the APT.................................................................................... 130
I.A.4.7 Summary ............................................................................................................................. 132
References ............................................................................................................................................ 133
I.A.5 Basics of Capital Structure ............................................................................................................ 135
I.A.5.1 Introduction ....................................................................................................................... 135
I.A.5.2 Maximising Shareholder Value, Incentives and Agency Costs................................... 139
I.A.5.3 Characteristics of Debt and Equity................................................................................. 143
I.A.5.4 Choice of Capital Structure.............................................................................................. 144
I.A.5.5 Making the Capital Structure Decision .......................................................................... 155
I.A.5.6 Conclusion......................................................................................................................... 158
References ............................................................................................................................................ 158
I.A.6 The Term Structure of Interest Rates ......................................................................................... 161
I.A.6.1 Compounding Methods.................................................................................................... 161
I.A.6.2 Term Structure – A Definition........................................................................................ 166
I.A.6.3 Shapes of the Yield Curve................................................................................................ 168
I.A.6.4 Spot and Forward Rates ................................................................................................... 171
I.A.6.5 Term Structure Theories .................................................................................................. 177
I.A.6.6 Summary ............................................................................................................................. 179
I.A.7 Valuing Forward Contracts........................................................................................................... 181
I.A.7.1 The Difference between Pricing and Valuation for Forward Contracts .................. 181
I.A.7.2 Principles of Pricing and Valuation for Forward Contracts on Assets..................... 182
I.A.7.3 Principles of Pricing and Valuation for Forward Contracts on Interest Rates........ 192
I.A.7.4 The Relationship Between Forward and Futures Prices ............................................. 197
References ............................................................................................................................................ 197
I.A.8 Basic Principles of Option Pricing............................................................................................... 199
I.A.8.1 Factors Affecting Option Prices ..................................................................................... 199
I.A.8.2 Put–Call Parity ................................................................................................................... 200
I.A.8.3 One-step Binomial Model and the Riskless Portfolio ................................................. 202
I.A.8.4 Delta Neutrality and Simple Delta Hedging.................................................................. 204
I.A.8.5 Risk-Neutral Valuation..................................................................................................... 210
I.A.8.6 Real versus Risk-Neutral .................................................................................................. 211
I.A.8.7 The Black–Scholes–Merton Pricing Formula............................................................... 212
I.A.8.8 The Greeks ......................................................................................................................... 216
I.A.8.9 Implied Volatility ............................................................................................................... 218
I.A.8.10 Intrinsic versus Time Value......................................................................................... 220
References ............................................................................................................................................ 220
I.B.1 General Characteristics of Bonds................................................................................................. 221
I.B.1.1 Definition of a Bullet Bond ............................................................................................. 221
I.B.1.2 Terminology and Convention.......................................................................................... 222
I.B.1.3 Market Quotes ................................................................................................................... 227
I.B.1.4 Non-bullet Bonds.............................................................................................................. 231
I.B.1.5 Summary ............................................................................................................................. 236
Reference.............................................................................................................................................. 237
I.B.2 The Analysis of Bonds ................................................................................................................... 239
I.B.2.1 Features of Bonds.............................................................................................................. 240
I.B.2.2 Non-conventional Bonds ................................................................................................. 242
I.B.2.3 Pricing a Conventional Bond.......................................................................................... 244
I.B.2.4 Market Yield....................................................................................................................... 252
I.B.2.5 Relationship between Bond Yield and Bond Price ...................................................... 256
I.B.2.6 Duration............................................................................................................................. 259
I.B.2.7 Hedging Bond Positions................................................................................................... 264
I.B.2.8 Convexity........................................................................................................................... 266
I.B.2.9 A Summary of Risks Associated with Bonds................................................................ 271
References ............................................................................................................................................ 273
I.B.3 Futures and Forwards .................................................................................................................... 275
I.B.3.1 Introduction ....................................................................................................................... 275
I.B.3.2 Stock Index Futures .......................................................................................................... 278
I.B.3.3 Currency Forwards and Futures...................................................................................... 286
I.B.3.4 Commodity Futures .......................................................................................................... 293
I.B.3.5 Forward Rate Agreements ............................................................................................... 294
I.B.3.6 Short-Term Interest-Rate Futures .................................................................................. 296
I.B.3.7 T-bond Futures.................................................................................................................. 305
I.B.3.8 Stack and Strip Hedges ..................................................................................................... 312
I.B.3.9 Concluding Remarks......................................................................................................... 314
References ............................................................................................................................................ 314
I.B.4 Swaps ............................................................................................................................................... 317
I.B.4.1 What is a swap? ....................................................................................................................... 318
I.B.4.2 Types of Swaps........................................................................................................................ 320
I.B.4.3 Engineering Interest Rate Swaps.......................................................................................... 326
I.B.4.4 Risks of swaps ......................................................................................................................... 329
I.B.4.5 Other Swaps............................................................................................................................ 330
I.B.4.6 Uses of Swap........................................................................................................................... 330
I.B.4.7 Swap Conventions .................................................................................................................. 331
I.B.4.8 Conclusions............................................................................................................................. 332
I.B.5 Vanilla Options ............................................................................................................................... 333
I.B.5.1 Stock Options – Characteristics and Payoff Diagrams ............................................... 333
I.B.5.2 American versus European Options .............................................................................. 335
I.B.5.3 Strategies Involving a Single Option and a Stock......................................................... 336
I.B.5.4 Spread Strategies ................................................................................................................ 337
I.B.5.5 Other Strategies ................................................................................................................. 339
I.B.6 Credit Derivatives ........................................................................................................................... 345
I.B.6.1 Introduction ....................................................................................................................... 345
I.B.6.2 Credit Default Swaps ........................................................................................................ 350
I.B.6.3 Credit-Linked Notes ......................................................................................................... 353
I.B.6.4 Total Return Swaps ........................................................................................................... 356
I.B.6.5 Credit Options ................................................................................................................... 362
I.B.6.6 Synthetic Collateralised Debt Obligations..................................................................... 363
I.B.6.7 General Applications of Credit Derivatives .................................................................. 372
I.B.6.8 Unintended Risks in Credit Derivatives......................................................................... 376
I.B.6.9 Summary ............................................................................................................................. 378
References ............................................................................................................................................ 378
I.B.7 Caps, Floors and Swaptions .......................................................................................................... 379
I.B.7.1 Caps, Floors and Collars: Definition and Terminology............................................... 379
I.B.7.2 Pricing Caps, Floors and Collars..................................................................................... 381
I.B.7.3 Uses of Caps, Floors and Collars .................................................................................... 384
I.B.7.4 Swaptions: Definition and Terminology........................................................................ 389
I.B.7.5 Pricing Swaptions .............................................................................................................. 390
I.B.7.6 Uses of Swaptions ............................................................................................................. 392
I.B.7.7 Summary ............................................................................................................................. 393
References ............................................................................................................................................ 393
I.B.8 Convertible Bonds.......................................................................................................................... 395
I.B.8.1 Introduction ....................................................................................................................... 395
I.B.8.2 Characteristics of Convertibles........................................................................................ 398
I.B.8.3 Capital Structure Implications (for Banks) .................................................................... 408
I.B.8.4 Mandatory Convertibles ................................................................................................... 409
I.B.8.5 Valuation and Risk Assessment....................................................................................... 411
I.B.8.6 Summary ............................................................................................................................ 415
References ............................................................................................................................................ 415
I.B.9 Simple Exotics Catriona March.................................................................................................... 417
I.B.9.1 Introduction ....................................................................................................................... 417
I.B.9.2 A Short History.................................................................................................................. 418
I.B.9.3 Classifying Exotics............................................................................................................. 420
I.B.9.4 Notation............................................................................................................................. 421
I.B.9.5 Digital Options .................................................................................................................. 422
I.B.9.6 Two Asset Options ........................................................................................................... 428
I.B.9.7 Quantos.............................................................................................................................. 431
I.B.9.8 Second-Order Contracts................................................................................................... 434
I.B.9.9 Decision Options............................................................................................................... 437
I.B.9.10 Average Options ........................................................................................................... 438
I.B.9.11 Options on Baskets of Assets ..................................................................................... 441
I.B.9.12 Barrier and Related Options........................................................................................ 443
I.B.9.13 Other Path-Dependent Options................................................................................. 450
I.B.9.14 Resolution Methods...................................................................................................... 453
I.B.9.15 Summary........................................................................................................................ 455
References ............................................................................................................................................ 456
I.C.1 The Structure of Financial Markets ............................................................................................. 457
I.C.1.1 Introduction ....................................................................................................................... 457
I.C.1.2 Global Markets and Their Terminology ........................................................................ 458
I.C.1.3 Drivers of Liquidity........................................................................................................... 463
I.C.1.4 Liquidity and Financial Risk Management..................................................................... 467
I.C.1.5 Exchanges versus OTC Markets..................................................................................... 469
I.C.1.6 Technological Change....................................................................................................... 471
I.C.1.7 Post-trade Processing........................................................................................................ 475
I.C.1.8 Retail and Wholesale Brokerage...................................................................................... 477
I.C.1.9 New Financial Markets ..................................................................................................... 478
I.C.1.10 Conclusion ..................................................................................................................... 480
References ............................................................................................................................................ 482
I.C.2 The Money Markets ....................................................................................................................... 483
I.C.2.1 Introduction ....................................................................................................................... 483
I.C.2.2 Characteristics of Money Market Instruments.............................................................. 483
I.C.2.3 Deposits and Loans........................................................................................................... 485
I.C.2.4 Money Market Securities .................................................................................................. 492
I.C.2.5 Summary ............................................................................................................................. 496
I.C.3 Bond Markets ................................................................................................................................. 499
I.C.3.1 Introduction ....................................................................................................................... 499
I.C.3.2 The Players ......................................................................................................................... 500
I.C.3.3 Bonds by Issuers................................................................................................................ 503
I.C.3.4 The Markets........................................................................................................................ 512
I.C.3.5 Credit Risk.......................................................................................................................... 519
I.C.3.6 Summary ............................................................................................................................. 521
References ............................................................................................................................................ 521
I.C.4 The Foreign Exchange Market..................................................................................................... 523
I.C.4.1 Introduction ....................................................................................................................... 523
I.C.4.2 The Interbank Market....................................................................................................... 523
I.C.4.3 Exchange-Rate Quotations .............................................................................................. 525
I.C.4.4 Determinants of Foreign Exchange Rates..................................................................... 529
I.C.4.5 Spot and Forward Markets............................................................................................... 533
I.C.4.6 Structure of a Foreign Exchange Operation................................................................. 538
I.C.4.7 Summary/Conclusion....................................................................................................... 540
I.C.5 The Stock Market ........................................................................................................................... 543
I.C.5.1 Introduction ....................................................................................................................... 543
I.C.5.2 The Characteristics of Common Stock.......................................................................... 544
I.C.5.3 Stock Markets and their Participants .............................................................................. 550
I.C.5.4 The Primary Market – IPOs and Private Placements.................................................. 552
I.C.5.5 The Secondary Market – the Exchange versus OTC Market..................................... 554
I.C.5.6 Trading Costs ..................................................................................................................... 556
I.C.5.7 Buying on Margin.............................................................................................................. 557
I.C.5.8 Short Sales and Stock Borrowing Costs......................................................................... 559
I.C.5.9 Exchange-Traded Derivatives on Stocks....................................................................... 561
I.C.5.10 Summary........................................................................................................................ 562
References ............................................................................................................................................ 563
I.C.6 The Futures Markets ...................................................................................................................... 565
I.C.6.1 Introduction ....................................................................................................................... 565
I.C.6.2 History of Forward-Based Derivatives and Futures Markets..................................... 565
I.C.6.3 Futures Contracts and Markets ....................................................................................... 568
I.C.6.4 Options on Futures ........................................................................................................... 580
I.C.6.5 Futures Exchanges and Clearing Houses ...................................................................... 585
I.C.6.6 Market Participants – Hedgers ........................................................................................ 591
I.C.6.7 Market Participants – Speculators................................................................................... 595
I.C.6.8 Market Participants – Managed Futures Investors....................................................... 598
I.C.6.9 Summary and Conclusion ................................................................................................ 599
I.C.7 The Structure of Commodities Markets ..................................................................................... 601
I.C.7.1 Introduction ....................................................................................................................... 601
I.C.7.2 The Commodity Universe and Anatomy of Markets .................................................. 602
I.C.7.3 Spot–Forward Pricing Relationships .............................................................................. 610
I.C.7.4 Short Squeezes, Corners and Regulation....................................................................... 616
I.C.7.5 Risk Management at the Commodity Trading Desk.................................................... 620
I.C.7.6 The Distribution of Commodity Returns...................................................................... 625
I.C.7.7 Conclusions ........................................................................................................................ 627
References ............................................................................................................................................ 628
I.C.8 The Energy Markets....................................................................................................................... 629
I.C.8.1 Introduction ....................................................................................................................... 629
I.C.8.2 Market Overview............................................................................................................... 629
I.C.8.3 Energy Futures Markets ................................................................................................... 634
I.C.8.4 OTC Energy Derivative Markets .................................................................................... 646
I.C.8.5 Emerging Energy Commodity Markets ......................................................................... 652
I.C.8.6 The Future of Energy Trading ........................................................................................ 657
I.C.8.7 Conclusion......................................................................................................................... 660
| 