synonymFinancial derivatives(Based on or derived from basic financial products) generally refers to financial derivatives (financial contracts based on basic financial instruments)
Floor trading, also known asexchangeTrading means that all suppliers and demanders are concentrated in the exchangecompetitive price transactionOftransaction mode。This transaction mode has the following features:bond. Be responsible for liquidation and performanceGuarantee liabilityCharacteristics of.In addition, because each investor has different needs, the exchange has designed standardizedFinancial contractsThe investor selects the contract and quantity closest to his own needs for trading.All traders are concentrated in one place for trading, which increases the transaction density and generally forms a market with high liquidity.Futures trading and some standardized option contract trading belong to this trading mode.
OTC trading, also known as over-the-counter trading, refers to the trading mode in which both parties of the transaction directly become counterparties.This transaction mode has many forms, and products with different contents can be designed according to the different needs of each user.At the same time, in order to meet the specific requirements of customersDerivative productsOur financial institutions need to have superb financial technology andrisk management Ability.OTC transactions continue to emergefinancial innovation 。However, since the clearing of each transaction is the responsibility of both parties, transaction participants are limited to customers with high credit.SwapsandForward transactionYes withRepresentativenessOTC derivatives.
According to statisticsopen interestMedium, by transactionMorphological classification, the position of forward transaction is the largest, accounting for 42% of the total position, and the following is in orderSwaps(27%), futures (18%) and options (13%).Classified by Trading Partner toInterest rate swap, interest rate forward transactions and other financial derivatives transactions related to interest rates accounted for the largest market share of 62%, followed by currency derivatives (37%) and stock and commodity derivatives (1%). During the six years from 1989 to 1995, financial derivativesmarket size It is 5.7 times larger.The gap between various trading forms and various trading partners is not large, and the overall trend is rapid expansion.
stayinternational financeIn this field, there are four popular derivatives: swaps, futures, options andforward rate agreement。The main purpose of adopting these derivatives is hedging or speculation.However, the existence and development of these derivatives have their preconditions, that is, developedforward market 。
Risk causes
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Financial derivativesProduct riskMicro subject causesinternal controls Weak, rightTraderLack of effective supervision is an important reason for the risk of financial derivatives.For example, internalrisk management The chaos is extremeBarings Bank The main cause of the collapse.First of all, there is a lack of basicRisk prevention mechanismLi Sen, who is both clearing and trading, lacks checks and balances and is easy to rewriteTransactionsTo cover up risks or losses.At the same time, the Bank of Bahrain also lacks an independentRisk Management The inspection department monitors what Leeson does;Second, Bank of Bahrainmanagement layerLax supervision,risk awareness Weak.In Kansai, Japangreat earthquakeLater, LeesonbondThe headquarters even transferred hundreds of millions of dollars toSingaporeBranch, providing unlimited financial support;Moreover, the leadership of the Bank of Bahrain was divided, and the relationship between various internal business links was tense, which made many informed managers ignore the warnings issued by market people and the internal audit team many times, which eventually led to the collapse of the entire Bahrain Group.
financial regulationIneffectiveness is another major reason for the risk of financial derivatives.British and SingaporeFinancial supervision authorityLack of prior supervision or cooperation is one of the important reasons for the failure of Bahrain Bank.The problems of the British regulatory authorities are: First, they are responsible for supervising Bahrain, etcinvestment bankThe department ofNikkei IndexNo need to ask for instructionsBank of England。Second, the Bank of England allows banks within the Bahrain Group to provide unlimited financial support to the securities sector.The problems of Singapore's financial regulatory authority are: first,Singapore International Financial ExchangeIn the face of fierce international competition, in order to promote business developmentopen interestThe control of is too loose, and the position ceiling is not strictly implemented, allowing a singleTrading accountAccumulate a large number of positions in Japanese economic futures and Japanese debt futuresMember companiesNumber of contracts that can be held and paymentbondThe situation was not monitored in a timely manner.Secondly, Leeson frequently engaged inInvertedTransaction, and the transaction amount is extremely large, but it has not causedexchangeAttention.If the Bank of England, Singapore andOsakaIf exchanges can strengthen exchanges and share sufficient information, the huge positions held by Bank of Bahrain in the two exchanges will be found in time. Perhaps Bank of Bahrain will not fail.
In addition, China“327 National debt”Futures disturbance, except at that timemarket demandIt is not strong and the conditions for developing derivatives are not enough,Excessive speculationAnd insufficient supervision capacity are the causes that cannot be ignored.
For the supervision of financial derivatives, internationally, it basically adopts enterprise self-controlIndustry AssociationandexchangeThree level risks of self-discipline and government supervisionmanagement model 。
Internal self supervision and management of micro financial entities
Financial derivatives
First, establishRisk decision-making mechanismAnd internal supervision system, including the purpose, object, target price, contract type, position quantity, stop loss point, trading process and responsibility allocation of different departments.Secondly, strengtheninternal controls , strictly control the trading proceduresSupervisory powerSeparated, there are strict and clear levels of business authorization, and the punishment for ultra vires transactions will be increased;Thirdly, set up a special risk management department“Value at risk approach”(VAR) and“Pressure testThe "method" records, confirms and calculates the market value of the transactions of traders, evaluates, measures and prevents the credit risks faced in the process of financial derivatives transactionsmarket risk 、Liquidity risk、Settlement risk、Operational riskEtc.Exchange internal supervision
exchangeIs a derivative transactionorganizerAnd the market manager. It supervises the business operation of the market by formulating the rules of OTC trading, and ensures that transactions are conducted under open, fair and competitive conditions.First, create complete financeDerivative marketSystem, including: strict marketInformation disclosure system, enhance transparency;Large amount reporting system;perfectMarket access systemInvestigate and evaluate the market credit status of derivatives market traders, and formulate capital adequacy requirements;And other over-the-counter and over-the-counter marketsTrading ruleswait.Second, the establishment of derivative marketsSecurity system, including: reasonably formulate and timely adjust the margin ratio to play the role of the first line of defense;Position limit system, play the role of the second line of defense;Daytime margin increase clause;Daily mark-to-market system Or mark to marketPayment systemManagement;Price limit system, etc.Third, strengthenfinancial supervisionReform traditional accounting according to the characteristics of derivativesbookkeeping system And principles, and formulate unifiedInformation disclosure rulesAnd procedures tomanagement layerAnd users can clearly graspRisk exposuresituation.
Macro regulation and supervision of government departments
First, improve the legislation, set up special and complete laws for financial derivatives, and formulate unified standards for transaction management;Secondly, strengthen the supervision of financial institutions engaged in financial derivatives transactions, and stipulate thatMinimum capital, OKRisk takingLimit, carry out regular and irregular on-site and off-site inspections on financial institutions to form effective control andrestraint mechanisms；Responsible for approving derivativesexchangeThe establishment of and the derivatives varieties applied for by the Exchange.Thirdly, strictly distinguishbanking businessControl the degree of business intersection with non banking business and financial institutions.At the same time,central bankIn a financial institution due toEmergenciesIn case of crisis, corresponding rescue measures should be taken in time, and funds should be injected quickly or temporary intervention should be carried out to avoidfinancial marketExcessive vibration.
The United States is a global exchangeFinancial derivatives transactionsBut its position is decliningDerivative contracts In 1986, 1988, 1990, 1992 and 1994Trading volume91.4%, 74.7%, 65.1%, 53.5%, 44.7%;European marketThe transaction volume in 1994 was 399% of that in 1986;During this period, the transaction volume in Japan increased by about seven times.froma turnoverAccording to statistics, until 1986, the United States still accounted forexchange80% of the market turnover and outstanding contract value.After 1990, markets outside the United States became increasingly activegrowth rateIt began to surpass the United States. By 1995, the trading volume of markets outside the United States had exceeded that of the United States, while the value of outstanding contracts was slightly lower than that of the United States.From the perspective of transaction volume statistics, markets outside the United States after 1990derivativeThe active trend of trading is more obvious.
OTC
AndexchangeSimilar to the market, OTC financial derivatives market is also mainly distributed inEurope and Americacountry.Britain has always maintainedOTC marketAndmarket shareRising, beyondOTC transactionMainly distributed in the United States, Germany, FranceJapanAnd other countries (see Table 6).LondonIt is the most important center of OTC financial derivatives market. In 2001, the average daily trading volume reached 628 billion US dollars, an increase of 6% over 1998.New York ranked second with an average daily trading volume of US $285 billion, down 3% from 1998,FrankfurtThe transaction volume ranked third, which has replaced Tokyo's position in the OTC market. The rise of Frankfurt's position is obviously due to the introduction ofeuroandEuropean Central Bank(ECB).
investment structure
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financial institution
Financial institutions are financial institutionsderivativeThe main market participants, taking the United States as an example, are mainly commercial banks, non bank savings and loan institutions (Thrift) andLife Insurance CompanyAmong the three categories, commercial banks are the earliest and most skilled participants.According to threeGroup of TenIn a 1993 report, most of the financial institutions surveyed participated inFinancial derivatives transactions, of which 92% have used itInterest rate swap69% of institutions have used itForward foreign exchange contract69% of institutions have used itInterest rate option, 46% of institutions have used itCurrency swap , 23% of institutions have used itCurrency options。BISAccording to the statistics of, the trading volume of financial institutions in the global OTC financial derivatives market has grown steadily, increasing by 60% in 2001 compared with 1995.Transactions mainly occurred between financial institutions, with the average daily transaction volume rising from 710 billion yuan in 1995dollarThe market share of transactions between financial institutions increased from 80.7% in 1995 to 86.7% in 2001.
Banks are definitely financialderivativeThe leading players in the market (especially in the OTC market), since the late 1970s, banks have become increasingly keen onFinancial derivatives transactions, for example,Bank of AmericaThe industry is very active in financial derivatives transactions. From 1990 to 1995, the assets held by banks related to derivatives increased by about 35%, reaching 3.1 trillion US dollarsDerivative contracts The nominal value has tripled.The bank isFinancial swap marketMajor player of, the world at the end of 1992Interest rate swapThe outstanding value of the contract reached $6 trillion. The 20 financial institutions with the largest positions accounted for more than two-thirds, including 18 banks.
Non institutional
Non financial institutionsIn financial derivatives trading, it is obviously not as active as financial institutions. For example, non-financial institutions only account for 10% of OTC financial derivatives trading volume, and their market share has shrunk significantly compared with 1995.According to the 1993 report of the Group of Thirty, among the non-financial companies surveyedInterest rate swap、Currency swap 、Forward foreign exchange contract、Interest rate optionThe proportion of companies with and currency options is 87%, 64%, 78%, 40% and 31% respectively.
development history
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In 1865,ChicagoThe Grain Exchange introduced a new type of“Futures contract”The standardized protocol ofForward contractAnd become the first financial derivatives developed in human history.futures marketEarly participants, mainly for the purpose of hedging forward riskHedgingThe.In fact, financial derivatives represented by futures, options, forwards and swaps have become capable ofeffective management And reduceMarket participantsRisk tools.
In the 150 years of development of financial derivatives, the United States has always been“Leader”, where there are the most extensive markets and cutting-edge technologies.China's financial industry is in a period of vigorous development, while the financial derivatives marketDevelopment speedHowever, it lags behind obviously, mainly in three aspects: financial derivatives themselves and financial derivativesMarket supervision、Industry self-disciplineAnd specifications.Although the types of financial derivatives products in China are gradually increasing, they are still different from those in developed countries or regions such as Europe, the United States and Hong Kong.ripefinancial marketIn the system, the types and quantities of derivatives should often far exceed stocks, bonds, etcfinancial products However, China still has a long way to go in this regard. Not only are there a few varieties, but alsoProduct homogenizationMore serious, which further limits the productapplication area The expansion of.The essence of financial derivatives is toDiversify riskTo serve investors, it can be seen that only continuous in-depth research and innovation and expansion of financial derivatives can gradually meet the needs of investorsInvestment demand。
The legal supervision of financial derivatives in China is relatively backwardlegal systemIt needs to be improved. On the one hand, it is due to the lack of industry development experience and the lack of understanding of the internal linkage between products.And that's exactly whatChina Academy of Financial Derivatives(hereinafter referred to as "CICC").Combining the current national conditions with the successful experience of developed countries, and relying on its own solid research foundation, the Chinese Academy of Finance has formed a professional, referential and practicalIndustry reportAnd further implement the professional guidance and strategic recommendations of the Chinese Financial Institutesocial responsibility。
In December 2000 and September 2007, China establishedChina Futures AssociationandChina Association of Interbank Market Dealers, both belong to the financial derivatives marketIndustry self regulatory organizations, and becausemanagement systemBecause of the difficulty of supervision, it is difficult to give full play to the effect of supervision.On the other hand, at present, the participants of financial derivatives in China are mainly individuals and institutions, but their quality is generally low, and they lack industry related knowledge, which is easy toBlind investmentUnder the lure of money, some institutions do not even have the most basicProfessional integrity, resulting in the breeding of "black villages", causing investors to suffer huge losses, and disturbing the normalfinancial order。
Among American regulators,Government regulationInstitutions:federalCommodity Futures Trading Commission（CFTC）And the Securities and Exchange Commission（SEC）In addition, the American derivatives market and the National Futures Association（NFA）Such a self regulatory organization.According to the development experience of financial derivatives markets in developed countries such as the United States, at the initial stage of development, establish an industry self-discipline system and regulate the industryCode of ConductEspecially important.The financial derivatives market has its own operating rules, and China is buildingfinancial futures In the market process, we need to carefully study and learn from the experience of developed countries, but we should not blindly copy them all. We should combine the specific national conditions of our country, transform them, improve them, and then absorb and use them.In this process, we should gradually improve the development of industry training and education plans, professional education for institutions and investors, as well as professional assessment of market participants and other measures.This is the direction of our unremitting efforts.
Financial institutionsRisk avoidance, in the intensemarket competition China strives for survival and development, and innovates traditional financial instruments.As an emergingrisk management Important means, derivative financial instruments came into being, andDevelopment speedAmazing.Due to derivationfinancial instrumentsHigh yieldhigh-riskAs well as the characteristics of future transactions, it has not only become a means for enterprises to raise funds and transfer risks, but also become a means for enterprises to speculate, arbitrage and conductFinancial speculationTools.This duality makes the emergence of a series of financial disturbances and crises that shocked the world almost all related to derivative financial instruments.
As derivative financial instruments are often in a "free" state, they cannot enter the traditionalFinancial reporting system, which has caused a huge impact on the traditional accounting theory and practice.Therefore, for derivative financial instrumentsAccounting confirmationMeasurement and disclosure has always been a hot issue in the accounting field.This time byUS subprime crisisTrigger globalfinancial crisis, once again highlighting this issue.
1. The fair value measurement conforms to the decision-making usefulness standard of accounting:stock marketThe trust and entrusted relationship of resources is established through the developed securities market. The coexistence of income and risk in the securities market makes investors pay more attention toRevenue riskRelevant information, so as to weigh the advantages and disadvantages and make a decision.It can be said that withcapital marketThe development of, the increasingly complex nature of transactions and tools, and social obligationsInformation decision-makingThe requirement of usefulness is getting higher and higher, and the future orientedDecision usefulnessIt is also recognized by more and more people, and the fair value measurement, which is suitable for the decision-making usefulness of accounting, should naturally play its role.
twofair value Measurement is beneficialCapital preservationAccording to the theory of capital preservationProduction and operationThe cost compensation and profit distribution in the process should maintain the integrity of capital and ensure that the rights and interests are not eroded.Enterprise incomeShould not erode the originalInvested capitalOn the premise that the original capital has been preserved or the cost has been recovered, the income can be recognized.Adopt fair value asMeasurement attribute, according toPhysical capital maintenanceThe theory of.Because if the historical cost measurement is adopted, the measured amount isPrice riseOfeconomic environmentChina will not be able to buy back the originalthroughputThe production of enterprises can only be carried out in a shrinking state;However, it is measured at fair value, especially at fair valueInitial measurementAndSubsequent measurementIn the case ofValue performanceIt can constantly reflect the changed asset value in reality, so as to effectively maintain the physical production capacity and better preserve capital.
3. Dynamic measurement of fair valueaccounting information Morerelevance: As a measurement attribute, fair value has strongTimeliness, emphasizing the value of assets or liabilities at the time point of measurement date.according toFASBPolicy No. 133 issuedaccounting standard And IASC（International Accounting Standards Board）No. 32 and No. 39 issuedinternational accounting standardAll derivative financial instruments should be recognized on the balance sheet, and it should be pointed out that fair value is the best measurement attribute for measuring financial instruments and the only relevant measurement attribute for derivative instruments.Because derivative financial instruments focus on the future, the transfer of their risks and rewards is not on the completion date of the transaction, but on the signing of the contract. During this period, the price changes frequently, which requires continuous reflection. If measured at historical cost, it is obviously not relevant.However, fair value can truly, timely and verifiably reflect the value of assets or liabilities.
Principle defects
The development of everything has two sides, and the fair value measurement method also has unsatisfactory defects.
1. By definition, fair value is the estimate of future transactions based on contracts, the estimated price of current transactions that have not actually occurred but will be conducted, and the estimated and current transactions that have not actually occurred becomefair value Important features of.althoughmarket priceIt is the basis of fair value, or even the best estimate of fair value. However, fair value is different from market price: first, fair value is not based on transactions (including events) that have occurred in the past, or even on current transactions;First, it is the amount that both parties familiar with the transaction intend to carry out the transaction and transfer (pay off) a liability by referring to the purchase of an asset (or a batch of assets) agreed by the current exchange;Second, since the contract (both parties are willing to buy and sell) has been signed, the transaction has not yet started or i1 is in progress but not yet completed.In this case, it is impossible to generate the cost or price of the transaction that has occurred.Therefore, fair value can only be an estimated price referring to current transactions.andhistorical cost andCurrent costBothActual priceThis kind of estimated price gives accountants a difficult problem and also leaves room for operation.
2. According to the definition of fair value at home and abroad, the unreasonable pricing reflected by irrational behaviors such as speculation and speculation, as long as it is not the result of forced transactions, is also included in the fair value, which cannot be said to be a major defect.
3. U.S. Standard No. 157, Fair Value Measurement, defines fair value as "the price that market participants can receive if they sell an asset or pay if they transfer a liability in an orderly transaction on the measurement date." This latest definition assumes that there is a conventional trading market for the measured assets or liabilities.However, this subprime crisis shows that this assumption is not always true.For example, because of the excessive panic of investors and the extreme contraction of credit, the market transactions of CDOs have died in name only.Similarly, the standard does not consider the impact of assets with lack of liquidity on fair value measurement.
4. Whereas the fair value as aMeasurement attributeThe recognition process itself requires the subjective judgment, estimation and prediction of the appraisers, which may affect the reliability of the accounting information disclosed according to the fair value.At the same time, the measurement of fair value also requires a higherIndependenceAnd professional valuation information, otherwise it may lead to the arbitrariness of the implementation of this kind of accounting standards and the occurrence of artificial manipulation of profits.
5. FairnessValue principlestaysubprime crisis Caused byProcyclical effectThat is, when the market rises, the high transaction price is likely to cause related financial problemsProduct valueWhen the market is low, the low transaction price often leads to the undervaluation of related products.In this critical tear L, due toBond priceThe fair value of the bonds has declined, and investors' confidence has been hit, so they continue to sell bonds, resulting in a new round of decline in bond prices.For financial institutions, it is easy to fall into the trap of withdrawing falling price reserves and reducing equity once the transaction price fallspanic sellingFirst, the price fell further. Second, the vicious circle of increasing the provision for falling price reserves and continuing to reduce rights and interests.
withCiti、Merrill Lynch、UBS,AIG(AIG）The financial institutions represented by Bai Shitong pointed out that in the subprime crisis, ABS（Asset backed securities),MBS(mortgage-backed securities) and CDOs (mortgage-backed debt bonds), etcSubordinated debtThe measurement of products has led financial institutions to recognize that a huge amount of unrealized items are not involvedcash flow Loss.these ones hereAstronomical figuresSuch "book losses" distort the psychology of investors and cause a wave of panic selling of shares of financial institutions holding subprime debt products.This irrationalitySpeculationIn turn, it forces financial institutions to reduce theRisk exposure, already fragile subprime debtProduct marketOn the verge of collapse, financial institutions had to further recognize impairment losses in their accounts, thus forming a destructive vicious circle.The unique feature of fair value accountingFeedback effectIn fact, it played a role in the subprime crisis.
Course offering
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Opening colleges and universities
University of International Business and Economics
Opening a college
School of Statistics
Course name:
Financial derivatives investment and management
Course Background
With the rapid development of financial globalization, the derivatives market has become an important area of risk management and financial investment,Derivative productsThe important function of is not only reflected in the future assetsPrice discovery、risk management Also reflected in derivatives investmentMerger arbitrage Formulation, more integrated intoStructured productsIn design and application.How to apply derivatives artistically for enterprisesHedgingProvide risks for asset liability managementmanagement toolIt has become the focus of the industry to invest in products for investors in multiple markets.China's derivatives market has undergone great changes,Commodity futures tradingThe volume ranks first in the world,Stock index futures、Foreign exchange futures、Foreign exchange optionsExchange has been launched, and there are still many varieties ready to come out.
To adapt to the government, financial institutions and variousenterprises and institutionsThe rapidly growing demand for investment and management talents in derivative productsfinancial marketThe University of International Business and Economics is specially set up to provide professional theoretical level for the in-service personnel in the fields of investment, risk management, structured financial product design, hedging, etcFinanceOn the job postgraduate course in the direction of specialized derivatives investment and management aims to cultivate compound professional talents.
On the job postgraduate of foreign trade financial derivativesCurriculum
