Global Derivatives: a Strategic Risk Management Perspective

✍ Scribed by Andersen, Torben Juul

• Publisher: Prentice Hall; Andersen, Torben., Pearson Education UK
• Year: 2006
• Tongue: English
• Leaves: 481
• Category: Library

✦ Synopsis

This is a comprehensive overview of different types of derivatives including exchange traded contracts and over-the-counter instruments as well as real options embedded in corporate resources and asset structures.

✦ Table of Contents

Cover......Page 1
Global Derivatives......Page 2
Contents......Page 6
List of figures......Page 11
List of tables......Page 17
Preface......Page 18
About the author......Page 24
Publisher’s acknowledgments......Page 25
Part I Global markets and strategic risk exposures......Page 26
The globalization of markets......Page 28
International trade and balance of payment......Page 29
Capital flows in the global economic system......Page 33
The international financial system......Page 34
Global credit intermediation......Page 36
Credit intermediation, interest rates and the role of financial institutions......Page 39
Term structure of interest rates (yields, zero-coupon, and forward rates)......Page 43
Liquidity......Page 52
Credit risk and required return......Page 53
The foreign exchange market......Page 58
Foreign exchange rates......Page 59
Purchasing power parity......Page 60
Interest rate parity......Page 61
Summary......Page 64
Exercises......Page 65
Objectives......Page 69
Valuing financial assets and commercial cash flow streams......Page 70
Financial and commercial cash flow exposures......Page 80
Measuring interest rate gaps......Page 83
Interest rate sensitivity and the concept of duration......Page 86
Duration and interest rate risk......Page 89
Measuring foreign exchange rate gaps......Page 91
Portfolio optimization......Page 93
An integrative risk management perspective......Page 97
Modern risk management perspectives......Page 103
Summary......Page 106
Exercises......Page 107
Credit intermediation and risk-transfer......Page 111
Financial innovation and the effects of risk-transfer......Page 120
Risk-transfer and financing mechanisms......Page 126
Insurance and reinsurance......Page 130
Financial derivatives markets......Page 136
Regulatory and accounting issues......Page 143
Summary......Page 145
Questions......Page 146
Exercises......Page 147
Part II Exchange traded and OTC derivatives......Page 150
The futures contract......Page 152
Opening and closing transactions......Page 153
Role of the clearinghouse......Page 154
Market participants......Page 160
Types of futures contracts......Page 162
Commodity futures......Page 163
Energy futures......Page 164
Financial futures......Page 165
Currency futures......Page 166
Interest rate and bond futures......Page 169
Stock index futures......Page 174
Insurance futures......Page 175
Option contracts and options on futures......Page 176
Stock options......Page 177
Options on futures contracts......Page 186
Options on interest rate and bond futures......Page 187
Options on stock index futures......Page 188
Summary......Page 190
Exercises......Page 191
Forward agreements......Page 194
Currency options......Page 201
Option pricing......Page 205
Profitability patterns......Page 218
Option price sensitivity......Page 222
Product developments......Page 227
Double option products......Page 228
Interest rate option agreements......Page 231
Summary......Page 236
Exercises......Page 237
Objectives......Page 239
Interest rate swap agreements......Page 240
Currency swap agreements......Page 245
Interest rate swap quotes......Page 251
Currency and interest rate swap structures......Page 254
Credit derivatives......Page 261
Risk swaps......Page 265
Summary......Page 269
Questions......Page 270
Exercises......Page 271
Part III Hedging with financial derivatives......Page 274
Hedging with financial futures......Page 276
Price relationships......Page 289
Currency hedging......Page 293
Hedging interest rate gaps......Page 299
Hedging currency gaps......Page 302
Managing interest rate risk......Page 306
Summary......Page 309
Questions......Page 310
Exercises......Page 311
Hedging interest rate risk......Page 313
Hedging currency risk......Page 318
Double option strategies......Page 325
Ratio spreads......Page 329
Portfolio hedge......Page 341
Using options to establish a delta hedge......Page 344
Summary......Page 347
Exercises......Page 348
Hedging with interest rate and currency swaps......Page 351
Hedging with credit derivatives......Page 367
Hedging with risk swaps......Page 372
Alternative risk transfer......Page 374
Hybrid instruments......Page 375
Summary......Page 376
Questions......Page 377
Exercises......Page 378
Part IV Strategic risk management......Page 380
Objectives......Page 382
The importance of a risk management focus......Page 383
Risk and risk factors......Page 389
Other types of risk......Page 395
Dealing with the risks......Page 400
An integrative perspective on strategic risk......Page 402
Real option structures......Page 406
Summary......Page 417
Exercises......Page 418
Objectives......Page 422
Getting to grips with uncertainty......Page 423
Risk awareness......Page 436
Risk management culture......Page 437
Risk management as quality control......Page 438
Strategizing through real options......Page 440
Risk in the strategic management process......Page 447
Questions......Page 450
Exercises......Page 451
Glossary......Page 453
Index......Page 466