金融市场与金融创新(1)

第三講金融市場發展與金融創新台灣大學財金所黃達業所長2005/03/11目錄壹、金融市場簡介貳、現貨市場參、衍生性市場肆、金融創新與新金融商品伍、金融市場的監理壹、金融市場簡介一、金融市場結構的疑點1.Stocksarenotmostimportantsourceoffinanceforbusinesses2.Banksaremostimportantsourceofexternalfinance3Issuingmarketablesecuritiesnotprimaryfundingsourceforbusinesses4.Onlylarge,wellestablishedfirmshaveaccesstosecuritiesmarkets5.Indirectfinance(financialintermediation)isfarmoreimportantthandirectfinance6.Financialsystemisamongmostheavilyregulatedsectorsofeconomy1.初級與次級市場2.店頭與交易所市場3.現貨市場與衍生性證券市場二、金融市場的分類三、逆選擇與金融市場結構1.LemonsProbleminSecuritiesMarkets1.Ifcan’tdistinguishbetweengoodandbadsecurities,oneonlypaystheiraveragevalue.2.Result:Goodsecuritiesundervaluedandfirmswon’tissuethem;badsecuritiesovervaluedsotoomanyissued.3.Investorsdon’twanttobuybadsecurities,andmarketdon’tfunctionwell.2.ToolstoHelpSolveAdverseSelection(Lemons)Problem(1).PrivateproductionandsaleofinformationFree-riderprobleminterfereswiththissolution(2).GovernmentRegulationtoIncreaseInformation(3).FinancialIntermediationA.AnalogytosolvinglemonsproblemprovidedbyusedcardealersB.Bymakingprivateloans,avoidfree-riderproblem(4).CollateralandNetWorth四、道德危險及其解決1.權益市場的道德危險及其解決(1)主人代理人問題1.Resultofseparationofownershipbystockholders(principals)fromcontrolbymanagers(agents)2.Managersactinownratherthanstockholders’interest(2)解決之道1.Monitoring:productionofinformation2.Governmentregulationtoincreaseinformation3.Financialintermediation4.Debtcontracts2.債權市場的道德危險及其解決(1)借款人想要承擔更多風險(2)解決之道1.NetWorth2.MonitoringandEnforcementofRestrictiveCovenants3.Bankshavespecialadvantagesinmonitoring貳、現貨市場一、股票市場簡介1.股市與系統風險2.資本財定價模型(CAPM)3.套利定價理論(APT)4.債券市場的發展5.證交稅與股市漲跌幅個案研討1.股市與系統風險(1)資產風險=系統性風險+非系統性風險(2)良好分散的投資組合風險僅決定於組合內資產的系統性風險Capital-Asset-PricingModel1.RiskPremium=Re–Rf=[Rem–Rf]2.impliesriskpremium2.股市：資本財定價模型(CAPM)ArbitragePricingTheory(APT)Severalsourcesofsystematicriskrelatedtoeconomy-widefactorsRiskPremium=Re–Rf=ß1(Refactor1–Rf)+2(Refactor2–Rf)+3(Refactor3–Rf)+…3.股市：套利定價理論(APT)4.證交稅與股市漲跌幅個案研討(1)證交稅與證所稅爭議(2)股市漲跌幅放寬與否爭議(1)SimpleLoan(2)FixedPaymentLoan(3)CouponBond(4)DiscountBond二、債券市場簡介1.信用工具的四種基本型態說明:(1)SimpleLoan(i=10%)(2)FixedPaymentLoan(i=12%)FPFPFPFPLOAN=——+———+———+...+———(1+i)(1+i)(1+i)3(1+i)25(3)CouponBond(Couponrate=10%=C/F)CCCCFPB=———+———+———+...+———+————(1+i)(1+i)2(1+i)3(1+i)N(1+i)NConsol:Fixedcouponpaymentsof$Cforever(4)DiscountBond(Pd=$900,F=$1000)F–Pd$1000–$900i=———=——————=.111=11.1%Pd$9002.信用評等與債券發展1國庫券2可轉讓定期存單(NCD)3商業本票4銀行承兌匯票5附買回協議6聯邦資金7歐洲美元三、貨幣市場簡介1匯率的定義(1)Spotexchangerate與Forwardexchangerate(2)Appreciation與Depreciation2NDF管制與匯率穩定爭議3資本管制與自由化四、外匯市場概論1.不動產概念A.法律概念：土地/定著物B.財經概念*消費財/資本財*供給「有限性」/具「外部性」2.證券化意義：金融反仲介與證券化五、不動產扺押證券市場概論參、衍生性市場遠期市場簡介期貨市場簡介選擇權市場簡介交換市場簡介一、遠期市場簡介Longposition=agreetobuysecuritiesatfuturedateShortposition=agreetosellsecuritiesatfuturedatePros1.FlexibleCons1.Lackofliquidity:hardtofindcounterparty2.Subjecttodefaultrisk1.Specifiesdeliveryoftypeofsecurityatfuturedate2.HedgingsimilartoforwardsMicrohedgevs.macrohedge3.TradedonExchanges:GlobalcompetitionRegulatedbyCFTC4.SuccessofFuturesOverForwards(1)Futuresmoreliquid:standardized(2)Marktomarket:avoidsdefaultrisk(3)Don’thavetodeliver:netting二、期貨市場簡介WidelyTradedFinancialFuturesContracts三、選擇權契約簡介1.定義Righttobuy(call)orsell(put)instrumentatexercise(strike)priceupuntilexpirationdate(American)oronexpirationdate(European)2.HedgingwithOptionsBuysame#ofputoptioncontractsaswouldselloffuturesDisadvantage:paypremiumAdvantage:protectedifprice↓,gainifpriceAdditionaladvantageifmacrohedge:avoidsaccountingproblems,nolossesonoptionwhenprice↑S＊-C0ProfitLossKFigure1BuyCall3.買call選擇權報酬S＊KC0ProfitLossFigure2WriteCall4.賣call選擇權報酬S＊KProfitLoss-P0Figure3BuyPut5.買put選擇權報酬S＊LossProfit0PKFigure4WritePut6.賣put選擇權報酬7.BLACK-Scholes選擇權訂價公式1.Higherstrikeprice,lowerpremiumoncalloptionsandhigherpremiumonputoptions2.Greatertermtoexpiration,higherpremiumsforbothcallandputoptions3.Greaterpricevolatilityofunderlyinginstrument,higherpremiumsforbothcallandputoptions四、期貨選擇權市場簡介1.CallOptionsonFutures2.PutOptionsonFuturesfigure2五、交換市場簡介1.Interest-RateSwapContract2.HedgingwithInterestRateSwapsReduceinterest-rateriskforbothparties1.Midwestconverts$1moffixedrateassetstorate-sensitiveassets,RSA,lowersGAP2.FriendlyFinanceRSA,lowersGAPAdvantagesofswaps1.Reducerisk,nochangeinbalance-sheet2.LongertermthanfuturesoroptionsDisadvantagesofswaps1.Lackofliquidity2.Subjecttodefaultrisk3.SwapwithaFinancialIntermediary4.利率交換(IRS)的經濟分析•利率交換的型態-固定v.s.浮動利率交換-浮動v.s.浮動利率交換利率交換的功能-從事缺口管理(GapMgt)-降低融資成本-重建負債組合-管理基差風險肆、金融創新與新金融商品一、金融創新的原因範疇與影響二、新金融商品的推出三、財務工程與計算財務學(ComputationalFinance)一、金融創新簡介1.金融創新的原因(Miller,1992)匯率制度的變革電腦與資訊科技的進步壓制已久的創新與世界經濟的成長金融管制與金融開放對金融創新的刺激2.金融創新的原動力TRICK＋營利動機＝金融創新T＝TechnologyR＝RegulationI＝Interest-RateRiskC＝CustomerK＝Capital3.金融創新的範疇#價格風險移轉的創新:FRN/Futures/Options/Swaps#信用風險移轉的創新:MBS#創造股權的創新:CB/Corp.BondwithEquityWarrant4.金融創新的影響與展望#交易成本的降低#風險管理的功能#流動性的提升1.多空浮動利率債券(FRNs)FRNBullFRN:如SallieMae(1986/4)(17.2%－LIBOR)BearFRN:如MellonBank(1986/6)(2×Libor－9.12%)COF＝19.75%－L－(9.75%－L)＝10%BullFRN＋Swap＋Cap＝Fixed=BearFRN＋Swap＋Fl