风险与投资管理.ppt
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风险与投资管理.ppt
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TheInvestmentEnvironment投资环境,Chapter1第1章,1-1,Essentialnatureofinvestment投资的主要本质Reducedcurrentconsumption减少当前消费Plannedlaterconsumption计划今后的消费RealAssets实质资产Assetsusedtoproducegoodsandservices用于生产产品和服务的资产FinancialAssets金融资产Claimsonrealassets对实质资产的权利,Investments&FinancialAssets投资与金融资产,1-2,RoleofFinancialAssetsandMarketsintheEconomy金融资产与市场在经济中的作用,ConsumptionTiming时间消费AllocationofRisk风险分配SeparationofOwnership所有权分离,1-3,FinancialSystemClientsandTheirNeeds金融系统客户与他们的需求,HouseholdSector普通方面PrimaryNeed:
InvestFunds主要需求:
投资基金BusinessSector商务方面PrimaryNeed:
RaiseFunds主要需求:
提高基金GovernmentSector政府方面PrimaryNeed:
RaiseFunds主要需求:
提高基金,1-4,HowtheFinancialSystemMeetstheNeedsofParticipants金融系统如何满足参与者的需求,FinancialIntermediation金融中介InvestmentBanking投资银行FinancialInnovation&Derivatives金融创新与衍生物RespondingtoRegulation&Taxes对税务政策的反应,1-5,TechnologyandDeliveryofService技术与提供服务Computeradvancements计算机的先进技术Morecompleteandtimelyinformation更完整及时的信息Globalization全球化Domesticfirmscompeteinglobalmarkets国内企业在全球市场的竞争Performanceinregionsdependsonotherregions区域绩效依赖其他区域Causesadditionalelementsofrisk产生额外的风险因素,InvestmentsandInnovation投资与创新,1-6,InternationalandGlobalMarketsContinueDeveloping国际与全球市场持续发展Managingforeignexchange管理外汇Diversificationtoimproveperformance多元化以提高绩效Instrumentsandvehiclescontinuetodevelop持续发展的工具与媒介Informationandanalysisimproves信息与分析的改进,KeyTrends-Globalization主要趋势全球化,1-7,Securitization&CreditEnhancement证券化与资信的提高Offersopportunitiesforinvestorsandoriginators为投资商和发行人提供机会Changesinfinancialinstitutionsandregulation金融机构和规定的变化Improvementininformationcapabilities信息能力的改进Creditenhancementanditsrole资信提高与其作用,KeyTrends-Securitization主要趋势证券化,1-8,RepackagingServicesofFinancialIntermediaries金融媒介重新包装服务Bundlingandunbundlingofcashflows现金流的聚集与分散Slicinganddicingofcashflows现金流的各部分分离Examples:
strips,CMOs,dualpurposefunds,principal/interestsplits如:
strips,CMOs,未到期基金,本金利息分离,KeyTrends-FinancialEngineering主要趋势金融工程,1-9,Globalizationcontinuesandoffersmoreopportunities持续的全球化提供更多的机会Securitizationcontinuestodevelop债券持续发展Continueddevelopmentofderivativesandexotics衍生物和舶来品的持续发展Strongfundamentalfoundationiscritical最基本的基础很关键Integrationofinvestments&corporatefinance公司与公司财务的整合,TheFuture期货,1-10,FinancialMarketsandInstruments金融市场与证券,Chapter2第2章,MajorClassesofFinancialAssetsorSecurities金融资产或证券的主要分类,Debt债务Moneymarketinstruments货币市场证券Bonds债券Commonstock普通股Preferredstock优先股Derivativesecurities衍生证券,MarketsandInstruments市场与证券,MoneyMarket货币市场DebtInstruments债务证券Derivatives衍生物CapitalMarket资本市场Bonds债券Equity权益Derivatives衍生物,MoneyMarketInstruments货币市场证券,Treasurybills国库券Certificatesofdeposit可转让存单CommercialPaper商业本票BankersAcceptances银行承兑汇票Eurodollars欧洲美圆RepurchaseAgreements(RPs)andReverseRPs重买回协议和可转换买回协议FederalFunds联邦基金,MoneyMarketInstrumentYields货币市场证券增值,YieldsonMoneyMarketInstrumentsarenotalwaysdirectlycomparable货币市场证券的增值不是总能够比较的Factorsinfluencingyields因素影响增值Parvaluevs.investmentvalue同等价值与投资价值360vs.365daysassumedinayear(366leapyear)假设一年360天与365天的比较(366天为闰年)Bondequivalentyield债券等值增值,rBD=bankdiscountrate银行贴现率P=marketpriceoftheT-bill国库券市场价格n=numberofdaystomaturity到期天数,r,BD,=,10,000,-,P,10,000,x,360,n,90-dayT-bill,P=$9,800,=,10,000,x,360,90,=,8%,Example举例,BankDiscountRate(T-Bills)银行贴现率(国库券),BondEquivalentYield债券等值升值,CantcompareT-billdirectlytobond不能将国库券与债券直接比较360vs365days360与365天Returnisfiguredonparvs.pricepaid同等价值的回报与支付的价格Adjustthebankdiscountedratetomakeitcomparable调整银行贴现率使之可比较,P=priceoftheT-bill国库券价格n=numberofdaystomaturity到期天数,r,BEY,=,10,000,-,P,P,x,365,n,r,BEY,=,10,000,-,9,800,9,800,x,365,90,rBEY=.0204x4.0556=.0828=8.28%,ExampleUsingSampleT-Bill以国库券为例,BondEquivalentYield债券等值升值,CapitalMarket-FixedIncomeInstruments资本市场-固定所得证券,PubliclyIssuedInstruments公共上市证券USTreasuryBondsandNotes美国国库券AgencyIssues(FedGov)机构发行的(联邦政府)MunicipalBonds市政债券PrivatelyIssuedInstruments私有发布证券CorporateBonds公司债券Mortgage-BackedSecurities抵押债券,CapitalMarket-Equity资本市场-权益,Commonstock普通股Residualclaim剩余所有权Limitedliability有限的流动性Preferredstock绩优股Fixeddividends-limited固定股利-有限的Priorityovercommon比普通股有优先权Taxtreatment税务处理,StockIndexes股票指数,Uses用于Trackaveragereturns跟踪平均回报Comparingperformanceofmanagers比较管理绩效Baseofderivatives衍生物的基础FactorsinconstructingorusinganIndex结构或使用指数的因素Representative?
代表性?
Broadornarrow?
宽或窄?
Howisitconstructed?
结构如何?
ExamplesofIndexes-Domestic指数举例-国内,DowJonesIndustrialAverage(30Stocks)道琼斯工业平均指数(30种股票)Standard&Poors500Composite史坦普股价指数500NASDAQComposite全国市场系统NYSEComposite纽约股票交易所Wilshire5000威尔希5000,ExamplesofIndexes-Intl指数举例-国际,Nikkei225&Nikkei300日经指数FTSE(FinancialTimesofLondon)伦敦金融时报Dax德国RegionandCountryIndexes区域与国家指数EAFEFarEast远东UnitedKingdom英国,BondIndexes债券指数,LehmanBrothersLehman兄弟MerrillLynch美林证券SalomonBrothersSalomon兄弟SpecializedIndexes特殊指数MerrillLynchMortgage美林抵押,ConstructionofIndexes指数的结构,Howarestocksweighted?
股票如何权重Priceweighted(DJIA)价格权重Market-valueweighted(S&P500,NASDAQ)市场价值权重Equallyweighted(ValueLineIndex)等值权重(价值线)Howreturnsareaveraged?
回报是如何平均的?
Arithmetic(DJIAandS&P500)计算Geometric(ValueLineIndex)几何学,AveragingMethods平均方法,ComponentReturn组成回报A=10%B=(-5%)C=20%ArithmeticAverage计算平均.10+(-.05)+.2/3=8.33%GeometricAverage几何平均(1.1)(.95)(1.2)1/3-1=7.84%,DerivativesSecurities衍生性证券,Options期权BasicPositions基本组成Call(Buy)买权Put(Sell)卖权Terms定义ExercisePrice执行(敲定)价格ExpirationDate到期日Assets资产,Futures期货BasicPositions基本组成Long(Buy)买进Short(Sell)卖空Terms定义DeliveryDate发货日Assets资产,HowSecuritiesareTraded证券如何交易,Chapter3第3章,Primaryvs.SecondarySecuritySales初级与二级市场证券的销售,Primary初级市场Newissue新发行Keyfactor:
issuerreceivestheproceedsfromthesale主要因素:
发行者从销售得到收益Secondary二级市场Existingownersellstoanotherparty让出所有权给另一方Issuingfirmdoesntreceiveproceedsandisnotdirectlyinvolved发行企业没有收益,而且不直接参与,InvestmentBankingArrangements投资银行管理,Underwrittenvs.“BestEfforts”承销与“最大努力”Underwritten:
firmcommitmentonproceedstotheissuingfirm承销:
企业承诺发行的收益BestEfforts:
nofirmcommitment最大努力:
没有企业的承诺Negotiatedvs.CompetitiveBid议价与竞争招标Negotiated:
issuingfirmnegotiatestermswithinvestmentbanker议价:
发行企业与投资银行谈判Competitivebid:
issuerstructurestheofferingandsecuresbids竞争招标:
发行者介绍报价和标的,PublicOfferings公共报价,Publicofferings:
registeredwiththeSECandsaleismadetotheinvestingpublic.公共上市:
在SEC登记并上市发行Shelfregistration(Rule415,since1982)自我登记(规定415条,自1982年)InitialPublicOfferings(IPOs)原始股Evidenceofunderpricing低于价格的证明Performance绩效,PrivatePlacements私人洽购,Privateplacement:
saletoalimitednumberofsophisticatedinvestorsnotrequiringtheprotectionofregistration私人洽购:
出售给有限数量的精明的投资商而不要求登记保护Dominatedbyinstitutions由机构控制Veryactivemarketfordebtsecurities对债务债券是十分活跃的市场Notactiveforstockofferings对股票报价不活跃,OrganizationofSecondaryMarkets二级市场组织,Organizedexchanges组织兑换OTCmarket店头市场Thirdmarket三级市场Fourthmarket四级市场,OrganizedExchanges组织兑换,Auctionmarketswithcentralizedorderflow拍卖市场具有集中委托Dealershipfunction:
canbecompetitiveorassignedbytheexchange(Specialists)交易功能:
可竞争或有专家安排Securities:
stock,futurescontracts,options,andtoalesserextent,bonds证券;股票,期货合同,期权和次要意向,债券Examples:
NYSE,AMEX,Regionals,CBOE举例:
纽约证券交易中心,AMEX,Regionals,CBOE,OTCMarket店头市场,Dealermarketwithoutcentralizedorderflow自营市场没有集中委托NASDAQ:
largestorganizedstockmarketforOTCtrading;informationsystemforindividuals,brokersanddealersNASDAQ:
:
店头交易最大的股票市场,为个人,经纪人,自营者提供信息系统Securities:
stocks,bondsandsomederivatives证券,股票,债券和一些衍生物Mostsecondarybondstransactions大多数二级债券交易,ThirdMarket第三市场,Tradingoflistedsecuritiesawayfromtheexchange供所有已在交易所上市而在场外交易的地方Institutionalmarket:
tofacilitatetradesoflargerblocksofsecurities机构市场:
对大宗债券交易的设施Involvesservicesofdealersandbrokers涉及自营者与经纪人的服务,FourthMarket第四市场,Institutionstradingdirectlywithinstitutions投资机构之间直接交易Nomiddlemaninvolvedinthetransaction交易不涉及中间人Organizedinformationandtradingsystems组织信息和交易系统INSTINET因斯亭网络POSIT,InternationalMarketStructures国际市场结构,LondonStockExchange伦敦股票交易所DealermarketsimilartoNASDAQ自营者市场与NASDAQ类似StockExchangeAutomatedQuotation股票交易自动报价GreaterAnonymity较大的匿名交易TokyoStockExchange东京股票交易所Nomarketmakingservice没有市场服务Sartoriprovidesbookkeepingservice身穿马甲的人提供记账记录Featureafloorandelectronictrading现场有特色,而且是电子交易,CostsofTrading交易成本,Commission:
feepaidtobrokerformakingthetransaction佣金:
支付给经纪人做交易Spread:
costoftradingwithdealer差价:
与自营者交易的成本Bid:
pricedealerwillbuyfromyou标价:
自营者购买Ask:
pricedealerwillselltoyou寻价:
自营者出售Spread:
ask-bid差价Combination:
onsometradesbotharepaid混合:
有些交易都要付费,TypesofOrders委托单类型,Instructionstothebrokersonhowtocompletetheorder告诉经纪人如何完成委托Market市价委托单Limit限价委托单Stoploss停损单,Usingonlyaportionoftheproceedsforaninvestment仅用于投资收益的比例Borrowremainingcomponent借用保留的部分Marginarrangementsdifferforstocksandfutures保证金的使用与股票和期货不同,MarginTrading保证金交易,Maximummargin最大限度的保证金Currently50%当前50%SetbytheFed由联邦政府设定Maintenancemargin维持保证金Minimumleveltheequitymargincanbe权益保证金的最小水平Margincall保证金催缴Callformoreequityfunds催缴更多债务基金,StockMarginTrading股票保证金交易,XCorp$7050%InitialMargin初始保证金40%MaintenanceMargin维持保证金1000SharesPurchased购买的股份InitialPosition初始价位Stock$70,000Borrowed借$35,000Equity财产$35,000,MarginTrading-InitialConditions保证金交易-初始保证金,MarginTrading-MaintenanceMargin保证金交易-维持保证金,Stockpricefallsto$60pershare股票价格降到$60/股NewPosition新的价位Stock$60,000Borrowed借$35,000Equity财产25,000Margin%=$25,000/$60,000=41.67%保证金,MarginTrading-MarginCall保证金交易-保证金催缴,Howfarcanthestockpricefallbeforeamargincall?
在保证金催缴前股票价格降了多少?
(1000P-$35,000)*/1000P=40%P=$58.33*1000P-AmountBorrowed=Equity借的数量=财产,ShortSales卖空,Purpose:
toprofitfromadeclineinthepriceofastockorsecurity目的:
从降价的股票或债券中获利Mechanics作假Borrowstockthroughadealer从自营者借股票Sellitanddepositproceedsandmargininanaccount出售并抵押收益和保证金Closingouttheposition:
buythestockandreturntothep
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- 关 键 词:
- 风险 投资 管理