Chương 1: Giới thiệu

Chance/Brooks An Introduction to Derivatives and Risk Management, 9th ed. Ch. 1: 1

© 2010 Cengage Learning. All Rights Reserved. May not be scanned, copied or duplicated, or posted to a publicly accessible website, in whole or in part.
  Rủi ro kinh doanh vs. rủi ro tài chính
 Công cụ phái sinh
 Công cụ phái sinh là một công cụ tài chính có lợi
nhuận xuất phát (phái sinh) từ lợi nhuận của công cụ
khác.
 Tài sản thực vs. tài sản tài chính

Chance/Brooks An Introduction to Derivatives and Risk Management, 9th ed. Ch. 1: 2

© 2010 Cengage Learning. All Rights Reserved. May not be scanned, copied or duplicated, or posted to a publicly accessible website, in whole or in part.
 Thị trường phái sinh và công cụ phái sinh
 Thị trường phái sinh
 OTC, sàn giao dịch
 Theo số liệu của tạp chí Futures Industry (một nguồn
thông tin hàng đầu về ngành công nghiệp phái sinh)
trong năm 2010, khối lượng công cụ phái sinh trên sàn
giao dịch có hơn 22 tỷ hợp đồng trên ít nhất 78 sàn giao
dịch phái sinh.
 Công cụ phái sinh được giao dịch trên toàn thế giới
 See Table 1.1 for the top ten derivatives exchanges

Chance/Brooks An Introduction to Derivatives and Risk Management, 9th ed. Ch. 1: 3

© 2010 Cengage Learning. All Rights Reserved. May not be scanned, copied or duplicated, or posted to a publicly accessible website, in whole or in part.
 Thị trường phái sinh và công cụ phái sinh
 Quyền chọn
 Định nghĩa: là hợp đồng giữa hai bên mà cho phép một
bên (người mua quyền chọn) quyền mua hoặc bán một
thứ gì đó từ hoặc cho bên kia (người bán quyền chọn),
vào một ngày sau đó với giá thỏa thuận hôm nay
 Thuật ngữ quyền chọn
 Giá/phí quyền chọn

 Quyền chọn mua, quyền chọn bán

 Giá thực hiện

 exchange-listed vs. over-the-counter options

Chance/Brooks An Introduction to Derivatives and Risk Management, 9th ed. Ch. 1: 4

© 2010 Cengage Learning. All Rights Reserved. May not be scanned, copied or duplicated, or posted to a publicly accessible website, in whole or in part.
 Thị trường phái sinh và công cụ phái sinh

 Forward Contracts
 Definition: a contract between two parties for one
party to buy something from the other at a later date at
a price agreed upon today
 Exclusively over-the-counter

Chance/Brooks An Introduction to Derivatives and Risk Management, 9th ed. Ch. 1: 5

© 2010 Cengage Learning. All Rights Reserved. May not be scanned, copied or duplicated, or posted to a publicly accessible website, in whole or in part.
 Thị trường phái sinh và công cụ phái sinh

 Futures Contracts
 Definition: a contract between two parties for one
party to buy something from the other at a later date at
a price agreed upon today; subject to a daily settlement
of gains and losses and guaranteed against the risk that
either party might default
 Exclusively traded on a futures exchange

Chance/Brooks An Introduction to Derivatives and Risk Management, 9th ed. Ch. 1: 6

© 2010 Cengage Learning. All Rights Reserved. May not be scanned, copied or duplicated, or posted to a publicly accessible website, in whole or in part.
 Thị trường phái sinh và công cụ phái sinh

 Options on Futures (also known as commodity options or

futures options)
 Definition: a contract between two parties giving one
party the right to buy or sell a futures contract from the
other at a later date at a price agreed upon today
 Exclusively traded on a futures exchange

Chance/Brooks An Introduction to Derivatives and Risk Management, 9th ed. Ch. 1: 7

© 2010 Cengage Learning. All Rights Reserved. May not be scanned, copied or duplicated, or posted to a publicly accessible website, in whole or in part.
 Derivative Markets and Instruments
(continued)
 Swaps and Other Derivatives
 Definition of a swap: a contract in which two parties
agree to exchange a series of cash flows
 Exclusively over-the-counter
 Other types of derivatives include swaptions and
hybrids. Their creation is a process called financial
engineering.
 The Underlying Asset
 Called the underlying
 A derivative derives its value from the underlying.

Chance/Brooks An Introduction to Derivatives and Risk Management, 9th ed. Ch. 1: 8

© 2010 Cengage Learning. All Rights Reserved. May not be scanned, copied or duplicated, or posted to a publicly accessible website, in whole or in part.
 Some Important Concepts in Financial and
Derivative Markets
 Presuppositions – rule of law, property rights, culture of trust
 Risk Preference
 Risk aversion vs. risk neutrality
 Risk premium
 Short Selling
 Repurchase agreements (repos)
 Return and Risk
 Risk defined
 The risk-return tradeoff (see Figure 1.3)

Chance/Brooks An Introduction to Derivatives and Risk Management, 9th ed. Ch. 1: 9

© 2010 Cengage Learning. All Rights Reserved. May not be scanned, copied or duplicated, or posted to a publicly accessible website, in whole or in part.
 Some Important Concepts in Financial and
Derivative Markets (continued)

 Market Efficiency and Theoretical Fair Value

 Efficient market defined: A market in which the price of
an asset equals its true economic value.
 An efficient market is a consequence of rational and
knowledgeable investor behavior
 The concept of theoretical fair value
 The true economic value

Chance/Brooks An Introduction to Derivatives and Risk Management, 9th ed. Ch. 1: 10

© 2010 Cengage Learning. All Rights Reserved. May not be scanned, copied or duplicated, or posted to a publicly accessible website, in whole or in part.
 Fundamental Linkages Between Spot and
Derivative Markets
 Arbitrage and the Law of One Price
 Arbitrage defined: A type of profit-seeking transaction
where the same good trades at two prices.
 Example: See Figure 1.4
 The concept of states of the world

 The Law of One Price

 The Storage Mechanism: Spreading Consumption across
Time
 Delivery and Settlement

Chance/Brooks An Introduction to Derivatives and Risk Management, 9th ed. Ch. 1: 11

© 2010 Cengage Learning. All Rights Reserved. May not be scanned, copied or duplicated, or posted to a publicly accessible website, in whole or in part.
 The Role of Derivative Markets
 Risk Management
 Hedging vs. speculation
 Setting risk to an acceptable level
 Example: Southwest Airlines
 Price Discovery
 Operational Advantages
 Transaction costs
 Liquidity
 Ease of short selling
 Market Efficiency

Chance/Brooks An Introduction to Derivatives and Risk Management, 9th ed. Ch. 1: 12

© 2010 Cengage Learning. All Rights Reserved. May not be scanned, copied or duplicated, or posted to a publicly accessible website, in whole or in part.
 Criticisms of Derivative Markets

 Speculation
 Comparison to gambling

Chance/Brooks An Introduction to Derivatives and Risk Management, 9th ed. Ch. 1: 13

© 2010 Cengage Learning. All Rights Reserved. May not be scanned, copied or duplicated, or posted to a publicly accessible website, in whole or in part.
 Misuses of Derivatives

 High leverage
 Inappropriate use

Chance/Brooks An Introduction to Derivatives and Risk Management, 9th ed. Ch. 1: 14

© 2010 Cengage Learning. All Rights Reserved. May not be scanned, copied or duplicated, or posted to a publicly accessible website, in whole or in part.
Derivatives and Ethics

 Codes of ethics and standards of professional conduct are

vital components of the derivatives profession
 Examples
 CFA Institute
 Professional Risk Managers International Association
 Global Association of Risk Professionals

Chance/Brooks An Introduction to Derivatives and Risk Management, 9th ed. Ch. 1: 15

 Derivatives and Your Career
 Financial management in a business
 Small businesses ownership
 Investment management
 Public service

Source of Information on Derivatives

http://www.cengage.com/finance/chance

Summary

Chance/Brooks An Introduction to Derivatives and Risk Management, 9th ed. Ch. 1: 16

© 2010 Cengage Learning. All Rights Reserved. May not be scanned, copied or duplicated, or posted to a publicly accessible website, in whole or in part.
 (Return to text slide)

Chance/Brooks An Introduction to Derivatives and Risk Management, 9th ed. Ch. 1: 17

© 2010 Cengage Learning. All Rights Reserved. May not be scanned, copied or duplicated, or posted to a publicly accessible website, in whole or in part.
 (Return to text slide)

Chance/Brooks An Introduction to Derivatives and Risk Management, 9th ed. Ch. 1: 18

© 2010 Cengage Learning. All Rights Reserved. May not be scanned, copied or duplicated, or posted to a publicly accessible website, in whole or in part.
 (Return to text slide)

Chance/Brooks An Introduction to Derivatives and Risk Management, 9th ed. Ch. 1: 19

© 2010 Cengage Learning. All Rights Reserved. May not be scanned, copied or duplicated, or posted to a publicly accessible website, in whole or in part.
 (Return to text slide)

Chance/Brooks An Introduction to Derivatives and Risk Management, 9th ed. Ch. 1: 20

© 2010 Cengage Learning. All Rights Reserved. May not be scanned, copied or duplicated, or posted to a publicly accessible website, in whole or in part.
 (Return to text slide)

Chance/Brooks An Introduction to Derivatives and Risk Management, 9th ed. Ch. 1: 21

© 2010 Cengage Learning. All Rights Reserved. May not be scanned, copied or duplicated, or posted to a publicly accessible website, in whole or in part.