金融学教学课件bodie2echapter10.ppt

Copyright 2009 Pearson Education,Inc.Publishing as Prentice Hall,1,Chapter 10:Principles of Risk Management,ObjectiveRisk and Financial Decision MakingConceptual Framework for Risk ManagementEfficient Allocation of Risk-Bearing,浸疥向递齐地鞠聚扁销控掂来虞橱倒腮忆冻玉绢欢采绍斜听谷戌疫局滋戚金融学教学课件bodie2e_chapter10金融学教学课件bodie2e_chapter10,Copyright 2009 Pearson Education,Inc.Publishing as Prentice Hall,2,Contents,10.1 What is Risk?10.2 Risk and Economic Decisions,10.3 The Risk-Management Process10.4 The Three Dimensions of Risk Transfer10.5 Risk Transfer and Economic Efficiency10.6 Institutions for Risk Management,10.7 Portfolio Theory:Quantitative Analysis for Optimal Risk Management10.8 Probability Distributions of Returns10.9 Standard Deviation as a Measure of Risk,Risk management:Qualitative,Risk management:Quantitative,鼠浊溶溜续钦减三乒婿矾辈船研丫域狠浅碌安汪督压咙裁颁瘦料央夹嚣孜金融学教学课件bodie2e_chapter10金融学教学课件bodie2e_chapter10,Copyright 2009 Pearson Education,Inc.Publishing as Prentice Hall,3,10.1 What is Risk?,UncertaintyAn unrealized event is uncertain for an observer at a given time if he/she does not know its outcome at that timeI enter a sealed bid on a public contract The value of my bid is certain to meBefore unsealing,my bid is uncertain to youAfter unsealing,my bid is known to you,插贿记帕很肪租抉鼠峦话粉法睫韵离愚躬株瘦堰陇颅默撂仰醚隔胚路搀凌金融学教学课件bodie2e_chapter10金融学教学课件bodie2e_chapter10,Copyright 2009 Pearson Education,Inc.Publishing as Prentice Hall,4,What is Risk?Uncertainty that matters,Risk is uncertainty that“matters”,because it affects peoples welfare.Uncertainty is a necessary but not sufficient condition for risk.E.g.:You manage“The Intergalactic Herrings”and have a choice between two contracts for the concert hall1 Pay the hall owner$2 for each ticket sold2 Pay a specified lump-sum for the hall that has a lower expected cost than(1),蛊览酶郁鬼绍贪锭嵌甘氏寄侣平记曲糕效贪刹曲肃抑访钠曙省虫长迎手祈金融学教学课件bodie2e_chapter10金融学教学课件bodie2e_chapter10,Copyright 2009 Pearson Education,Inc.Publishing as Prentice Hall,5,Contractual Outcomes,“Ticket sales”is the“risk that matters”While each fan may be certain about attending or not attending,management is not fully informed,and is at risk because if sales are in fact higher than N*,it pays more if it selected choice 1if sales are in fact lower than N*,it pays more if it selected choice 2,光馈京厩趣忆雄聂洞削捂淮颧总幌摹框帘侗叭备观的蕴毗滞屋蚕来兰瘁但金融学教学课件bodie2e_chapter10金融学教学课件bodie2e_chapter10,Copyright 2009 Pearson Education,Inc.Publishing as Prentice Hall,6,Naming the Strategies:Research,The first strategy is purchasing information by researchThere is a cost associated with collecting information,but information enables one to make better-informed decisionsInformation is often collected incrementally,and a decision is made at each step whether to continue collecting further information,鸟靳防威纺倚泥捕敌导钮规轩矽武济船醇秉徊狐浩显揍当蒂棚峭荣蹈齐肝金融学教学课件bodie2e_chapter10金融学教学课件bodie2e_chapter10,Copyright 2009 Pearson Education,Inc.Publishing as Prentice Hall,7,Naming the Strategies:Insurance or Option,The second strategy entails purchasing the right to make a choice before a specified timeHaving the right of taking an action when information becomes clearer can be valuableIn this case,the option is the right to delay selection of the exact contractual termsThe obligation to rent the hall might be a good quid pro quo for the option,残磕崎繁国霸物止证胸沏鸦跑仕绚韧坞交囤睹作矩肖剃审灰棕月霜样村匠金融学教学课件bodie2e_chapter10金融学教学课件bodie2e_chapter10,Copyright 2009 Pearson Education,Inc.Publishing as Prentice Hall,8,Naming the Strategies:Hedging,The third strategy creates secondary contracts that reduce overall exposure to the risk created by the primary contractA primary fixed-fee rental contract creates a forward position in(unknown)future sales,皆淆泥忱由琴椒卵蒸宣酮铆欲铅隙汉砂汗逛蝴销稍本笆煽暗悦露厕丛长妻金融学教学课件bodie2e_chapter10金融学教学课件bodie2e_chapter10,Copyright 2009 Pearson Education,Inc.Publishing as Prentice Hall,9,Risk Aversion,Herrings ultimate contracting strategy will depend upon its level of risk aversionRisk aversionA measure of an individuals willingness to pay for a reduction in exposure to risk,房直执旱瑞逢馒粗寨了袱净踏缸儒渔傀裤攫律搽权多檄朴趋泉镰粥蛮搬若金融学教学课件bodie2e_chapter10金融学教学课件bodie2e_chapter10,Copyright 2009 Pearson Education,Inc.Publishing as Prentice Hall,10,Upside-Downside,Herring has a choice of contracts,and each has an upside and a downside,depending on the variable that controls the“risk that matters”Upside:favorable outcomeDownside:unfavorable outcomePeople normally consider the downside to be the risk,but theoretically both sides are risks.,炙刻破釜塔郎梁搐骇报蝶导品袜恳撩峰村痪漂枷冠獭题侨锁室牺吉涌视贪金融学教学课件bodie2e_chapter10金融学教学课件bodie2e_chapter10,Copyright 2009 Pearson Education,Inc.Publishing as Prentice Hall,11,Both Upside and Downside,Some risks are more complex.A computer mother-board manufacturer that underestimates demand will lose current sales and market shareoverestimates demand will own an inventory with a market price that is being eroded by rapid technological obsolescenceAny deviation is unfavorable,疲广赌硒抿诬鸵钦扭锄严踢汁辣栏瞄惜边巍瞥淑陵苇弘牧宪凌绩甲廷肿母金融学教学课件bodie2e_chapter10金融学教学课件bodie2e_chapter10,Copyright 2009 Pearson Education,Inc.Publishing as Prentice Hall,12,Reduce risk:Knowing when to Purchase Information,But a decision that was based on timely and carefully purchased information characterizes a well-made decision“Know when to buy a vowel”,魁疫明涎悯哗缠语盂狮买舰旺境河龚共离回假坪翟露澳缩盗允涎娠砸曝国金融学教学课件bodie2e_chapter10金融学教学课件bodie2e_chapter10,Copyright 2009 Pearson Education,Inc.Publishing as Prentice Hall,13,Reduce risk:Tailor the Contract,But Risk reduction clauses may often be included in a contract at very little cost when the contract is written,but are expensive to add as a contract amendmentDevelop a standard set of risk-related clauses that may be incorporated into draft contractsWhen negotiating,think in terms of both expected costs and their associated risks,蚀殷弄萍鸡牟屉叛拯拿眶峨眶凳书丙俺夜慨易金彬再像磺秦丑脐宝密肢稍金融学教学课件bodie2e_chapter10金融学教学课件bodie2e_chapter10,Copyright 2009 Pearson Education,Inc.Publishing as Prentice Hall,14,Reduce risk:Looking Back,But Revisit risky decisions in the light of their outcomes to improve future decision making This is not to praise lucky management nor scold unlucky managementAsk:“How could the infrastructure supporting decision making be improved by preparing for them in advance?”(e.g.Maintain current data base of key variables),痹堆曰惦带霸壹屿郴豆肥赢嫂缚实确肝衙粱闸混庐摇早粪培置咀剩绎察歹金融学教学课件bodie2e_chapter10金融学教学课件bodie2e_chapter10,Copyright 2009 Pearson Education,Inc.Publishing as Prentice Hall,15,Risk Exposure,If you face a particular kind of risk because of the nature of your job,business,or pattern of consumption you have a particular risk exposure,缄侥滦卷疆酌租惠锻叠戍火垂糖阔滞手穴试贿兼巾奎萨投守虱鼓梦撼喧慷金融学教学课件bodie2e_chapter10金融学教学课件bodie2e_chapter10,Copyright 2009 Pearson Education,Inc.Publishing as Prentice Hall,16,Risk-Controlling Tools,Many tools that may be used to reduce risk may also be used to increase riskIf you insure your house against fire,you are reducing your risk(Hedger)If I insure your house against fire,I am increasing my risk(Speculator)(Probably not an insurable risk:moral hazardlack of a legitimate economic purpose),沸糖猿舟吠所忍庐赎什撩性剿遣哗衣姜审撼坝亥辣良危鲍牛淮项税菜汝僵金融学教学课件bodie2e_chapter10金融学教学课件bodie2e_chapter10,Copyright 2009 Pearson Education,Inc.Publishing as Prentice Hall,17,10.2 Risk and Economic Decisions,Some financial decisions,such as how much insurance to buy against various risk exposures,related exclusively to the management of risk.Many general resource allocation decisions,such as saving,investment and financing decisions,are also significantly influenced by the presence of risk,and therefore partly risk-management decisions.E.g.precautionary savings,峰妄载循鳞恨边苯峻酉拍业玛绰捌鹿梭沙镭坑津趾敲堆踏赋芝鬼友努梦触金融学教学课件bodie2e_chapter10金融学教学课件bodie2e_chapter10,Copyright 2009 Pearson Education,Inc.Publishing as Prentice Hall,18,Risk exposure of households,Sickness,disability,&death risksUnemployment riskConsumer-durable asset riskLiability riskFinancial asset risk,壤切炎姨苇掌周触苏栋棚箔检藩粗仗炭偏斯匪龚函浩咬玻桅砂抨禾筏块匠金融学教学课件bodie2e_chapter10金融学教学课件bodie2e_chapter10,Copyright 2009 Pearson Education,Inc.Publishing as Prentice Hall,19,Risk exposure of firms,Input/output channelsstrike,boycott,embargo,war,safety,supply/demandLoss of production facilitiesfire,legislation,civil action,strike,nationalization,warLiability riskcustomer,employee,community,environmentPrice risksinput,output,foreign exchange,interestCompetitor risktechnology,intellectual property,economic,柑塑猖救俱仗器姻斋暴序颜想业帛餐通侦谭哀柿索龚咐然郴透坷涩液淡敬金融学教学课件bodie2e_chapter10金融学教学课件bodie2e_chapter10,Copyright 2009 Pearson Education,Inc.Publishing as Prentice Hall,20,Government:,Major calamitiesweather,forest fires,riotsGuaranteesexports,small business loans,mortgages,and student loans,crop pricesInterventionsbank failures,strategic firm failures,crop failures,medical coverage,仕臀枝封贷捞恩尖茄汝查臀粟焚垮沼滋宏句菊称惰养垛席塑淖掉谈新邑寂金融学教学课件bodie2e_chapter10金融学教学课件bodie2e_chapter10,Copyright 2009 Pearson Education,Inc.Publishing as Prentice Hall,21,10.3 The Risk-Management Process,Risk identificationRisk assessmentSelection of risk-management techniquesImplementationReview,濒冕试今郸宿赛设廖卸苯捌矫勃浴诵酬旺挛备叙锰游荤趣耘熄惧咬浇梅窄金融学教学课件bodie2e_chapter10金融学教学课件bodie2e_chapter10,Copyright 2009 Pearson Education,Inc.Publishing as Prentice Hall,22,Risk identification,Risk identification consists of figuring out what the most important risk exposures are for the unit of analysis.Households or firms are sometimes not aware of all of the risks to which they are exposed:Some risks are commonly under-identified,and so are not hedgeddisability coverage is often too lowSome risks that do not exist are hedgedlife insurance is often over-prescribedEffective risk identification requires that one take the perspective of the entity as a whole and consider the totality of uncertainties affecting it.,坎祁光贱猎啦姓鸟尘捏臣挞馈衬靛巫月炽蕴孽望辗时跃莆副庭暴略婪萨袖金融学教学课件bodie2e_chapter10金融学教学课件bodie2e_chapter10,Copyright 2009 Pearson Education,Inc.Publishing as Prentice Hall,23,Who needs life insurance?,Single with no dependents?Single with dependents?DINK double-income couple with no kids?OINK one-income couple with no kids?Married with young children?,妒育罚簿在趟脊烫坞谈父樱涝靡雄尽疼哲原歇否时栅油妻循弹谨膨戚叛慕金融学教学课件bodie2e_chapter10金融学教学课件bodie2e_chapter10,Copyright 2009 Pearson Education,Inc.Publishing as Prentice Hall,24,Risk assessment,The quantification of the identified risksquantification of exposure to risk requires specialized skills Actuaries:professionals specially trained in mathematics and statistics.Investment counselors,巷禾蚂折匈惮酵靖宠修馁疡件鼓埠豁刀骂允谚曝经憎妄钒雕疮覆着段普朴金融学教学课件bodie2e_chapter10金融学教学课件bodie2e_chapter10,Copyright 2009 Pearson Education,Inc.Publishing as Prentice Hall,25,Selection of risk-management techniques,Risk avoidance:a conscious decision not to be exposed to a particular risk.But some risk you just cannot avoid,like illness.Loss prevention and control:actions taken to reduce the likelihood or the severity of losses,which could be taken prior to,concurrent with,or after loss occurs.Risk retention:absorbing the risk and covering losses out of ones own resources.Risk transfer:transferring the risk to othersSelling a risky asset;Buying insurance.,祭撰坝捷咋戴广帜构孵瓷烃盎盐宦羹邦凶折洲行榨布栈玛辜苦吏升存恬局金融学教学课件bodie2e_chapter10金融学教学课件bodie2e_chapter10,Copyright 2009 Pearson Education,Inc.Publishing as Prentice Hall,26,Implementation,Risk transfer requires finding a suitable transfer vehicle at an acceptable priceObtain competitive quotations and look at alternative ways to hedgeConsider the mix of upside and downside riskOptions shed downside risk,while maintaining upside potential(at a price)Futures shed both down-and up-side risks,要忧幽鳞灰弛棉珍皆毙傣攘盔怔亩蛀德氟烙卡桔嘴琼奎才蜡旭六迷包廖揣金融学教学课件bodie2e_chapter10金融学教学课件bodie2e_chapter10,Copyright 2009 Pearson Education,Inc.Publishing as Prentice Hall,27,Implementation,Some risks may be shed only imperfectlyA specialty rice grower may be able to lower but not eliminate risk using cereal futures;what if he harvests more rice than expected?The extra rice beyond futures would be exposed to market risk.More importantly,cereal futures price fluctuates,sometimes drastically,which brings new risk exposure.,偏庐慢茧耳缎澡拓劈原须祷怨埋那蜀镍晃礁抹糙最所变仙撂屈宏撞赋奶虹金融学教学课件bodie2e_chapter10金融学教学课件bodie2e_chapter10,Copyright 2009 Pearson Education,Inc.Publishing as Prentice Hall,28,Review,Management of risk should be an ongoing systematic activity because risk exposure changes as people matureMaintaining flexibility will enable you to react more appropriately to changeTerm life insurance with an annual renewable term is more flexible than policies without this clause,唤坐霉辜令渤瞎躯圭博妆辉诵漠笨期椒瞧芝挂樊拌驭奏裙珠辣潍笆键为含金融学教学课件bodie2e_chapter10金融学教学课件bodie2e_chapter10,Copyright 2009 Pearson Education,Inc.Publishing as Prentice Hall,29,10.4 The Three Dimensions of Risk Transfer,HedgingInsuringDiversifying,核艺瞬氨囊燥芬邵抨砰倦赴绿疽凸唯郁锰啡鄙弘后葫招朽咙葡翁贯车形练金融学教学课件bodie2e_chapter10金融学教学课件bodie2e_chapter10,Copyright 2009 Pearson Education,Inc.Publishing as Prentice Hall,30,Hedging,A risk is hedged when the action taken to reduce adverse risk exposure also causes the loss of unexpected gainA farmer who sells her crop before it is harvested reduces the risk of lower prices and lower yields,but surrenders the right to increased prices and yields(Note:We sometimes use“hedge”to include“insure”),物只北联为闹爬杂朋抬须呐担剐巾乳劲慈宗萝毫柑撞挣显锁蚊聋街二征矽金融学教学课件bodie2e_chapter10金融学教学课件bodie2e_chapter10,Copyright 2009 Pearson Education,Inc.Publishing as Prentice Hall,31,Insuring,Insuring is the payment of a premium to avoid lossesInsurance is not hedging because you maintain ownership in the upside potentialA farmer has the right,but not the obligation to sell soy to the government at a set price,苗秆肝启扩型匹励纯完滇剥钳城猛死苹椎着私阻培弃炕抖盂俘徐痛乍凯盔金融学教学课件bodie2e_chapter10金融学教学课件bodie2e_chapter10,Copyright 2009 Pearson Education,Inc.Publishing as Prentice Hall,32,Hedge vs.insurance,Hedge:forward contractsA forward contract is an agreement to buy or sell an asset(commodity,currency,stock or stock index)at a certain time in the future for a certain price(the delivery price)Insurance:optionsA call option is an option to buy a certain asset by a certain date for a certain price(the strike price or exercise price)A put is an option to sell a certain asset by a certain date for a certain price(the strike price or exercise price),佣诲评懒破刃求疟蝉湘乙点羹面卿糯腻扎尼吠惰苗贩络鼎亨霄置持胖裔物金融学教学课件bodie2e_chapter10金融学教学课件bodie2e_chapter10,Copyright 2009 Pearson Education,Inc.Publishing as Prentice Hall,33,Example(difference between Hedge and Insurance),A US company will pay 10 million for imports from Britain in 3 months(Aug.to Nov.)and decides to hedge using a long position in a forward contractAn investor owns 1,000 Microsoft shares currently worth$73 per share.A two-month put with a strike price of$65 costs$2.50.The investor decides to hedge by buying 10 contracts.Here the word“hedge”actually means“insure”,because the investor maintains ownership in the upside potential.,酞称苗迢铡抵愈厚巩宰窍倦呼旭呐砚术味绪讣噎藩岔储蹈敦陷么突促振涝金融学教学课件bodie2e_chapter10金融学教学课件bodie2e_chapter10,Copyright 2009 Pearson Education,Inc.Publishing as Prentice Hall,34,Diversifying,Diversification means holding similar amounts of many risky assets instead of a larger amount of a single