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You are on page 1of 35

Course Contents

Concept of risk management

Mechanics of financial markets, in particular derivatives

markets

Applications and limitations of financial derivatives in risk

management

1.

2.

3.

4.

5.

6.

7.

8.

9.

10.

11.

What Is Risk?

Introduction to Derivatives

Mechanics of Futures Markets

Hedging Strategies Using Futures

Interest Rates

Determination of Forward and Futures Prices

Swaps

Properties of Options

Binomial Trees

The Black-Scholes-Merton Model

Conclusion

Recommended Readings

Hull, John C. Options, Futures, and Other Derivatives, 8th ed.,

Pearson 2012 [OFD]

main textbook (note: the older editions 6 or 7 will do as well)

Hull, John C. Solutions Manual for Options, Futures, and Other

Derivatives, 8th ed., Pearson 2012

Damodaran, Strategic Risk Taking: A Framework For Risk

Management, Pearson 2008 [SRT] (draft version: http://pages.stern.

nyu.edu/~adamodar/New_Home_Page/valrisk/book.htm)

Hull, John C. Fundamentals of Futures and Options Markets, 7th ed.,

Pearson 2011

alternative textbook

Financial Risk Management

Preliminary Schedule

Date

Time

Room

Topic

Chapter

17 Sep

14.00-17.00

BC-207

What Is Risk?

Introduction to Derivatives

SRT 1, 2, 4

OFD 1

18 Sep

14.00-17.00

BC-208

Mechanics of futures

markets

Hedging strategies using

futures

OFD 2

OFD 3

19 Sep

09.00-12.00

14.00-17.00

BC-208

BC-208

30 Sep

10.00-13.00

14.00-17.00

BC-207

BC-208

Binomial trees

The Black-Scholes-Merton

model

Conclusion / recap session

Interest rates

Forward and futures prices

Swaps

Properties of Options

OFD 4

OFD 5

OFD 7

OFD 9, 10

OFD 12

OFD 13,

14

OFD 35

Course Organization

Assessment:

Written examination, date tba

The exam will be closed book. However, you will be

permitted a hand-written two-sided cheat sheet with

notes and / or formulae.

Slides & course announcements

=> Moodle

Best way to contact me:

finance.banking@t-online.de

Financial Risk Management

What Is Risk?

Suggested Reading:

SRT, ch. 1, 2, 4

Holton, Defining Risk, Financial Analysts

Journal, 2004, Vol. 60, No. 6, pp. 19-25

Basic Principle

(Hessen, Free Lunch, in: Eatwell/Milgate/Newman: The New Palgrave:

A Dictionary of Economics, Volume II, London 1988, p. 450)

What Is Risk?

Measurable uncertainty?

(e.g., Knight, 1921)

Risk

Uncertainty + exposure?

(e.g., Holton, 2004)

What Is Uncertainty?

Being uncertain about a

proposition means:

that you do not know wether

it is true or false (perceived

uncertainty)

or

that you are not aware of

the proposition.

10

What Is Exposure?

Having exposure to a

proposition means:

that you care whether

it is true or false

or

that you would care

whether it is true or

false if you were aware

of the proposition.

Financial Risk Management

11

Taking Risk

Some situations that involve risk:

Trading natural gas,

launching a new business,

military adventures,

asking for a pay raise,

sky diving, and

romance.

12

The St. Petersburg Paradox

Try the following:

Flip a coin. If it comes up tails, you receive one dollar.

In this case, you may flip it again. If it comes up tails

again, your winnings will be doubled.

You may continue the game to double your winnings as

long as the coin does not come up heads.

If it comes up heads, the experiment ends, and you

receive your accumulated gains.

How much would you pay to participate in this game?

13

The St. Petersburg Paradox

1

1

1

1

1 + 2 + 4 + 8 + ...

16

8

4

2

1

1 1 1 1

= + + + + ... = =

2 2 2 2

i =1 2

Expected value: E =

we would be willing to pay a very (or even infinitely) high

amount of cash to participate

However, in reality most people would pay only a few $

St. Petersburg Paradox (first published by D. Bernoulli in St.

Petersburg Academy Proceedings, 1738)

Financial Risk Management

14

The determination of the value of an item must not be based

on its price, but rather on the utility it yields. The price of the

item is dependent only on the thing itself and is equal for

everyone; the utility, however, is dependent on the particular

circumstances of the person making the estimate. Thus there

is no doubt that a gain of one thousand ducats is more

significant to a pauper than to a rich man though both gain

the same amount.

(Bernoulli, 1738, [cited in Econometrica 22(1), 1954, p. 24])

Financial Risk Management

15

Bernoullis approach: Utility functions

Step 1: Assign a subjective utility value U (W ) to

every potential outcome

of the uncertain

~

target variable W

[ ( )]

~

Step 2: Calculate the expectation value E U W

of the distribution of uncertain utility values

from step 1

Expected Utility Theory

NB: The following discussion of Expected Utility Theory is partly based on Elton / Gruber / Brown /

Goetzman: Modern Portfolio Theory and Investment Analysis, 6th ed., Hoboken 2003, chapter 10

Financial Risk Management

16

Example: Bernoulli-Principle

Probability distributions of three investments:

Investment A: U(20) = 4*20 - (1/10)*202 = 40

U(18) = 4*18 - (1/10)*182 = 39,6

U(14) = 4*14 - (1/10)*142 = 36,4

etc.

Financial Risk Management

17

Example: Bernoulli-Principle

Probability distributions and utility profiles:

E[U(WB)] = 39,9*1/5+30*2/5... = 26,98

E[U(WC)] = 39,6*1/4+38,4*1/4... = 34,4

Resulting preference relation: W A f WC f WB

Financial Risk Management

18

Example: Fair gamble

19

(strictly)

concave

linear

(strictly)

convex

(1) Risk preference (e.g., U(W) = W2)

(2) Risk neutrality (e.g., U(W) = W)

(3) Risk aversion

(e.g., U(W) = W0,5)

Financial Risk Management

20

Risk Management

http://www.sciencecartoonsplus.com/gallery/risk/index.php

21

Risk Management

Potential risk management actions:

Reduce risk exposure

Maintain current level of

risk exposure

Increase risk exposure

Lets focus on the first one:

How can we reduce risk

exposure?

Financial Risk Management

http://www.sciencecartoonsplus.com/gallery/risk/index.php

22

Natural Hedges

Borrow in the same currency that

your asset risk is denominated in

Engineer flexibility into operations

Diversify

Improve forecasting

Match operating costs and revenues

in the same currency

Optimize insurance policy

Share risks: joint ventures, sales

agreements

Financial Hedges

Forwards

Futures

Options

Swaps

and Corporate Policy, 4th ed., 2005, p. 724 (mod.)

23

Risk Management

Is the above definition risk = uncertainty + exposure

operational?

If you cant measure it, you cant manage it!

(Kaplan/Norton, The Balanced Scorecard: Translating Strategy Into Action,

1996, p. 21)

24

Risk vs Return

There is a trade off between risk and expected return

The higher the risk, the higher the expected return

We can characterize investments by their expected return

(i) and standard deviation of returns (i):

n

i = E[~

ri ] = w j ~

ri , j

i = i2 =

j =1

w (~r

n

j =1

i, j

i )

be described by their covariance (ij), or by their

correlation coefficient (ij):

n

ij

ij =

ij = wk (~

rik i ) (~

rjk j )

i j

k =1

Financial Risk Management

25

Nonsystematic risk

Results from uncontrollable or random events that are

firm-specific

Examples: labor strikes, lawsuits

Systematic risk

Attributable to forces that affect all similar investments

Examples: war, inflation, political events

26

(Markowitz, Journal of Finance 1952)

can be eliminated

through diversification

cannot be eliminated

through diversification

27

(Sharpe, 1964 / Lintner, 1965 / Mossin, 1966)

j = RF + j ( M RF )

RF

1.0

Risk-free

Required return

Beta for

Market

= Risk-free rate +

return

rate

on investment j

investment j

28

Alpha

Alpha = extra return on a portfolio in excess of that

predicted by CAPM

so that

P = RF + P ( M RF )

= P RF P ( M RF )

29

Investors are risk averse

Investors care only about an investments risk () and

expected return () Implies either normally distributed

returns or quadratic utility function

Unsystematic risks of different assets are independent

Investors focus on returns over one period

All investors can borrow or lend at the same risk-free rate

Tax does not influence investment decisions

All investors make the same estimates of s, s and s.

30

Quadratic utility function:

Implies negative marginal utility for certain (high) ranges

of wealth

Implies increasing absolute risk aversion

Implies that investors are equally averse to good and to

bad outcomes of the same absolute amount

Normal distribution of returns:

Skewness?

Kurtosis?

Jumps?

Financial Risk Management

31

(Ross, Journal of Economic Theory, 1976, pp. 341-360)

Assumptions:

Returns depend on several factors

Arbitrage-free markets (law of one price)

Expected return is linearly dependent on the realization of

the factors i = i + i1 I 1 + i 2 I 2 + ... + il Il

Each factor is a separate source of systematic risk

Unsystematic risk is the proportion of total risk that is

unrelated to all the factors

Financial Risk Management

32

+ SHML E ( RHML ) + SPR1YR E ( RPR1YR )

In the Carhart (1997) model, there are four factors

representing the market risk premium, high minus low B/M,

small minus big, and momentum arbitrage portfolios

respectively.

The Fama-French (1993) three factor model is simply the

four factor model without the momentum factor.

33

Risk aggregation

Aims to get rid of non-systematic risks with

diversification

Risk decomposition

Tackles risks one by one

In practice companies use both approaches

34

35

Recap Questions

1. What is the St. Petersburg Paradox?

2. In decision theory, what is considered a fair gamble? How does an

investors risk preference relate to her willingness to participate in a

fair gamble?

3. What is the difference between systematic and nonsystematic risk?

Which is more important to an equity investor? Which can lead to the

bankruptcy of a corporation?

4. Explain the CAPM formula. How would you estimate the respective

variables in practice?

5. A companys operational risk includes the risk of a very large loss due

to employee fraud. Do you think this particular risk should be handled

by risk decomposition or risk aggregation?

Financial Risk Management

36

Introduction to Derivatives

Suggested Reading:

OFD 2012, ch. 1

Derivatives Markets

700,000

600,000

500,000

400,000

300,000

200,000

100,000

0

1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011

Over-the-counter

Exchange-traded

BIS Quarterly Review, June 2012.

Financial Risk Management

38

Vol. 38, No. 1, Spring 2009, p. 193

39

To hedge risks

To speculate (take a view on the future direction of the

market)

To lock in an arbitrage profit

To change the nature of a liability

To change the nature of an investment without incurring

the costs of selling one portfolio and buying another

40

Forward Price

The forward price for a contract is the delivery price that

would be applicable to the contract if it were negotiated

today (i.e., it is the delivery price that would make the

contract worth exactly zero)

The forward price may be different for contracts of

different maturities

41

Terminology

The party that has agreed to buy has what is termed a

long position

The party that has agreed to sell has what is termed a

short position

42

Example

On July 20, 2007 the treasurer of a corporation enters into

a long forward contract to buy 1 million in six months at

an exchange rate of 2.0489

This obligates the corporation to pay $2,048,900 for 1

million on January 20, 2008

What are the possible outcomes?

43

Profit from a

Long Forward Position

Profit

Price of Underlying

at Maturity, ST

K

44

Profit from a

Short Forward Position

Profit

Price of Underlying

at Maturity, ST

K

45

Futures Contracts

Agreement to buy or sell an asset for a certain price at a

certain time

Similar to forward contract

Whereas a forward contract is traded OTC, a futures

contract is traded on an exchange

46

Agreement to:

Buy 100 oz. of gold @ US$900/oz. in December

(NYMEX)

Sell 62,500 @ 2.0500 US$/ in March (CME)

Sell 1,000 bbl. of oil @ US$120/bbl. in April (NYMEX)

47

Suppose that:

The spot price of gold is US$900

The 1-year forward price of gold is US$1,020

The 1-year US$ interest rate is 5% per annum

Is there an arbitrage opportunity?

48

Suppose that:

The spot price of gold is US$900

The 1-year forward price of gold is US$900

The 1-year US$ interest rate is 5% per annum

Is there an arbitrage opportunity?

49

If the spot price of gold is S and the forward price for a

contract deliverable in T years is F, then

F = S (1+r )T

where r is the 1-year (domestic currency) risk-free rate of

interest.

In our examples, S = 900, T = 1, and r =0.05 so that

F = 900(1+0.05) = 945

50

Suppose that:

The spot price of oil is US$95

The quoted 1-year futures price of oil is US$125

The 1-year US$ interest rate is 5% per annum

The storage costs of oil are 2% per annum

Is there an arbitrage opportunity?

51

Suppose that:

The spot price of oil is US$95

The quoted 1-year futures price of oil is US$80

The 1-year US$ interest rate is 5% per annum

The storage costs of oil are 2% per annum

Is there an arbitrage opportunity?

52

Options

A call option is an option to buy a certain asset by a certain

date for a certain price (the strike price)

A put option is an option to sell a certain asset by a certain

date for a certain price (the strike price)

53

An American option can be exercised at any time during

its life

A European option can be exercised only at maturity

54

(Stock Price: 19.56)

Strike

Price

Oct

Call

Jan

Call

Apr

Call

Oct

Put

Jan

Put

Apr

Put

15.00

4.650

4.950

5.150

0.025

0.150

0.275

17.50

2.300

2.775

3.150

0.125

0.475

0.725

20.00

0.575

1.175

1.650

0.875

1.375

1.700

22.50

0.075

0.375

0.725

2.950

3.100

3.300

25.00

0.025

0.125

0.275

5.450

5.450

5.450

American Options

Contract size: 100 shares

Financial Risk Management

55

(Strike $20)

2000

1500

Profit ($)

1000

500

0

0

-500

10

15

20

25

30

35

40

56

(Strike $17.5)

2000

1500

Profit ($)

1000

500

0

0

-500

10

15

20

25

30

35

40

57

Options vs Futures/Forwards

A futures/forward contract gives the holder the obligation to

buy or sell at a certain price

An option gives the holder the right to buy or sell at a

certain price

58

Types of Traders

Hedgers

Speculators

Arbitrageurs

N.B.: Some of the largest trading losses in derivatives have occurred because

individuals who had a mandate to be hedgers or arbitrageurs switched

to being speculators (see for example Barings Bank, Business Snapshot

1.2, OFD p. 15)

59

Hedging Examples

A US company will pay 10 million for imports from Britain

in 3 months and decides to hedge using a long position in

a forward contract

An investor owns 1,000 Microsoft shares currently worth

$28 per share. A two-month put with a strike price of

$27.50 costs $1. The investor decides to hedge by buying

10 contracts

60

Hedging

61

Speculation Example

An investor with $2,000 to invest feels that a stock price

will increase over the next 2 months. The current stock

price is $20 and the price of a 2-month call option with a

strike of $22.50 is $1

What are the alternative strategies?

62

Arbitrage Example

A stock price is quoted as 100 in London and $200 in

New York

The current exchange rate is 2.0300 $/

What is the arbitrage opportunity?

63

Ideally hedging profits (losses) should be recognized at the

same time as the losses (profits) on the item being hedged

Ideally profits and losses from speculation should be

recognized on a mark-to-market basis

Roughly speaking, this is what the accounting treatment of

futures under U.S. GAAP and IFRS (and many other

accounting frameworks) attempts to achieve

EU: IAS 39 (financial instruments: recognition and

measurement), to be superseded by IFRS 9 (issued Nov

2009, but not yet endorsed)

Financial Risk Management

64

A derivative is a financial instrument or other contract within the scope of

this standard (see paragraphs 2-7) with all three of the following

characteristics:

(a) its value changes in response to the change in a specified interest

rate, financial instrument price, commodity price, foreign exchange

rate, index of prices or rates, credit rating or credit index, or other

variable, provided in the case of a non-financial variable that the

variable is not specific to a party to the contract (sometimes called the

underlying);

(b) it requires no initial net investment or an initial net investment that is

smaller than would be required for other types of contracts that would

be expected to have a similar response to changes in market factors;

and

(c) it is settled at a future date.

65

A financial asset or financial liability at fair value through profit or loss is a

financial asset or financial liability that meets either of the following

conditions.

(a) It is classified as held for trading. A financial asset or financial liability

is classified as held for trading if it is:

(i) acquired or incurred principally for the purpose of selling or

repurchasing it in the near term;

(ii) part of a portfolio of identified financial instruments that are

managed together and for which there is evidence of a recent

actual pattern of short-term profit-taking; or

(iii) a derivative (except for a derivative that is a financial guarantee

contract or a designated and effective hedging instrument).

(b) (b) Upon initial recognition it is designated by the entity as at fair

value through profit or loss.

Financial Risk Management

66

Hedge accounting recognises the offsetting effects on profit or loss of

changes in the fair values of the hedging instrument and the hedged

item. (IAS 39.85)

Definitions (IAS 39.9):

A hedging instrument is a designated derivative [] whose fair

value or cash flows are expected to offset changes in the fair value

or cash flows of a designated hedged item [].

A hedged item is an asset, liability, firm commitment, highly

probable forecast transaction or net investment in a foreign

operation that (a) exposes the entity to risk of changes in fair value

or future cash flows and (b) is designated as being hedged [].

Hedge effectiveness is the degree to which changes in the fair

value or cash flows of the hedged item that are attributable to a

hedged risk are offset by changes in the fair value or cash flows of

the hedging instrument [].

Financial Risk Management

67

39.10: An embedded derivative is a component of a hybrid (combined) instrument

that also includes a non-derivative host contract with the effect that

some of the cash flows of the combined instrument vary in a way similar to

a standalone derivative. []

39.11: An embedded derivative shall be separated from the host contract and

accounted for as a derivative under this standard if, and only if:

(a) the economic characteristics and risks of the embedded derivative are

not closely related to the economic characteristics and risks of the host

contract (see Appendix A paragraphs AG30 and AG33);

(b) a separate instrument with the same terms as the embedded derivative

would meet the definition of a derivative; and

(c) the hybrid (combined) instrument is not measured at fair value with

changes in fair value recognised in profit or loss (i.e. a derivative that is

embedded in a financial asset or financial liability at fair value through

profit or loss is not separated). []

Financial Risk Management

68

Recap Questions

1.

2.

Explain carefully the difference between selling a call option and buying a put

option.

3.

A trader enters into a short cotton futures contract when the futures price is

50 cents per pound. The contract is for the delivery of 50,000 pounds. How

much does the trader gain or lose if the cotton price at the end of the contract

is (a) 48.20 cents per pound and (b) 51.30 cents per pound?

4.

What is the difference between the over-the-counter market an the exchangetraded market? What are the bid and offer quotes of a market maker in the

over-the-counter market?

69

Recap Questions

6.

Suppose that a June put option to sell a share for $60 costs $4 and is held

until June. Under what circumstances will the seller of the option (i.e., the

party with the short position) make a profit? Under what circumstances will

the option be exercised? Draw a diagram illustrating how the profit from a

short position in the option depends on the stock price at maturity of the

option.

7.

Describe the profit from the following portfolio: a long forward contract on an

asset and a long European put option on the asset with the same maturity as

the forward contract and a strike price that is equal to the forward price of the

asset at the time the portfolio is set up.

8.

What are the main ideas underlying the accounting treatment of derivatives

according to IAS 39? What does the term hedge accounting mean in this

context?

70

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