Chapter_27Risk Management(公司金融,英文版)

Principles of Corporate FinanceSeventh Edition

Chapter 27Risk Management

Richard A. Brealey Stewart C. Myers

Slides by Matthew WillMcGraw Hill/IrwinCopyright © 2003 by The McGraw-Hill Companies, Inc. All rights reserved

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Topics Covered Insurance Hedging With Futures Forward Contracts SWAPS How to Set Up A Hedge

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Insurance Most businesses face the possibility of a hazard that can bankrupt the company in an instant. These risks are neither financial or business and can not be diversified. The cost and risk of a loss due to a hazard, however, can be shared by others who share the same risk.

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InsuranceExampleAn offshore oil platform is valued at $1 billion. Expert meteorologist reports indicate that a 1 in 10,000 chance exists that the platform may be destroyed by a storm over the course of the next year.

? How can the cost of this hazard be sharedMcGraw Hill/IrwinCopyright © 2003 by The McGraw-Hill Companies, Inc. All rights reserved

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InsuranceExample - contAn offshore oil platform is valued at $1 billion. Expert meteorologist reports indicate that a 1 in 10,000 chance exists that the platform may be destroyed by a storm over the course of the next year.

? How can the cost of this hazard be sharedAnswer A large number of companies with similar risks can each contribute pay into a fund that is set aside to pay the cost should a member of this risk sharing group experience the 1 in 10,000 loss. The other 9,999 firms may not experience a loss, but also avoided the risk of not being compensated should a loss have occurred.McGraw Hill/IrwinCopyright © 2003 by The McGraw-Hill Companies, Inc. All rights reserved

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InsuranceExample - contAn offshore oil platform is valued at $1 billion. Expert meteorologist reports indicate that a 1 in 10,000 chance exists that the platform may be destroyed by a storm over the course of the next year.

? What would the cost to each group member be for this protection.Answer

1,000,000,000 $100,000 10,000McGraw Hill/IrwinCopyright © 2003 by The McGraw-Hill Companies, Inc. All rights reserved

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Insurance Why would an insurance company not offer a policy on this oil platform for $100,000?Administrative costs Adverse selection Moral hazard

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Insurance The loss of an oil platform by a storm may be 1 in 10,000. The risk, however, is larger for an insurance company since all the platforms in the same area may be insured, thus if a storm damages one in may damage all in the same area. The result is a much larger risk to the insurer Catastrophe Bonds - (CAT Bonds) Allow insurers to transfer their risk to bond holders by

selling bonds whose cash flow payments depend on the level of insurable losses NOT occurring.

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HedgingBusiness has risk Business Risk - variable costs Financial Risk - Interest rate changes Goal - Eliminate risk HOW? Hedging & Futures Contracts

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HedgingEx - Kellogg produces cereal. A major component and cost factor is sugar. Forecasted income & sales volume is set by using a fixed selling price. Changes in cost can impact these forecasts. To fix your sugar costs, you would ideally like to purchase all your sugar today, since you like today’s price, and made your forecasts based on it. But, you can not. You can, however, sign a contract to purchase sugar at various points in the future for a price negotiated today. This contract is called a “Futures Contract.” This technique of managing your sugar costs is called “Hedging.”

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Hedging1- Spot Contract - A contract for immediate sale & delivery of an asset. 2- Forward Contract - A contract between two people for the delivery of an asset at a negotiated price on a set date in the future. 3- Futures Contract - A contract similar to a forward contract, except there is an intermediary that creates a standardized contract. Thus, the two parties do not have to negotiate the terms of the contract. The intermediary is the Commodity Clearing Corp (CCC). The CCC guarantees all trades & “provides” a secondary market for the speculation of Futures.

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Types of FuturesCommodity Futures -Sugar -Corn -OJ -Wheat-Soy beans -Pork bellies

SUGAR

Financial Futures -Tbills -Yen -GNMA -Stocks -EurodollarsIndex Futures -S&P 500 -Value Line Index -Vanguard IndexMcGraw Hill/IrwinCopyright © 2003 by The McGraw-Hill Companies, Inc. All rights reserved

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Futures Contract ConceptsNot an actual sale Always a winner & a loser (unlike stocks) K are “settled” every day. (Marked to Market) Hedge - K used to eliminate risk by locking in prices Speculation - K used to gamble Margin - not a sale - post partial amount

Hog K = 30,000 lbs Tbill K = $1.0 mil Value line Index K = $index x 500

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SWAPSbirth 1981 Definition - An agreement between two firms, in which each firm agrees to exchange the “interest rate characteristics” of …… 此处隐藏：4418字，全部文档内容请下载后查看。喜欢就下载吧 ……