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一、掌握Covered call与Protective put:
Covered call (S - c)(备兑买入):
An option strategy involving the holding of an asset and sale of a call on the asset.

备兑买入:
是指拥有这项资产且卖出这项资产的看涨期权。
备兑买入举例:

以每股39美金购买了股票,同时卖出执行价格为40美金看涨期权,看涨期权为3美金,先画出股票的多头头寸以及看涨期权的空头头寸,然后根据两个头寸合成组 合的备兑买入的折线,可以算出,当股票价格跌到0时,有最大损失为3-39=-36美金,当股票价格为40美金或以上时,期权会被执行,则最大盈利为 40-1+3=4美金,当股票价格为36美金时,盈亏平衡。

Protective put (S + p)(保护性看跌期权/备兑看跌期权):
An option strategy in which a long position in an asset is combined with a long position in a put.

备兑看跌期权:


是一种防止未实现收益账户的中产生损失的风险规避策略,保护性看跌期权是同时拥有股票和这个股票相对应的看跌期权组成的,当投资者拥有正在上涨阶段的股票时,仍要规避股票可能下跌这种不确定性带来的风险时,一般会选择备兑看跌期权。

盈利和损失:
备兑看跌期权的最大化盈利在理论上是无限的,而最大的损失是股票标价格减去执行价格加上购买期权的价格。备兑看跌策略的理想的状况是股票价格上升,投资者可以从上升的股价中获利,盈余平衡点是当前的股票价格等于股票标的价格加上看跌期权的溢价。

备兑看跌期权举例:

当 股价41美金时购买了股票,同时花了3美金购买了执行价格为40美金的看跌期权。由股票的多头头寸和保护性看跌期权的多头头寸合成组合的头寸,当股票价格 为40美金及以下时,会有最大的损失为亏损40-41-3=-4美金,当股票价格为44美金时,会达到盈亏平衡点,当股票价格大于44元美金时会有收益, 且由于股票上升空间理论上是无限的,所以这个组合头寸理论上最大收益也是无限的,不论是哪种组合策略,盈利和损失等这些计算式不好记,关键要学会画图分 析。

例:An investor has purchased a share of stock for $190. A call option on this stock, expiring in seven months and with an exercise price of $200, is priced at $11.40. If the investor enters into a covered call now, the profit on this strategy if the stock price at expiration is $215 is closest to:
A. –$3.60.
B. $21.40.
C. $28.60.
解析:B is correct,The profit on a covered call is calculated as follows:        
π = ST – S0 – max( 0, ST – X) + C0
Ð = $215 – $190 – max(0, $215 – $200) + $11.40 = $21.40.
备 抵买入是持有股票且卖出看涨期权,因为看涨期权的行权价是200,所以只要股票价格高于200的部分投资者都拿不到,到期日的价格为215高于执行价格, 所以投资者会以行权价200出售,在股票的头寸上获利200-190=10,在空头看涨期权上的获利为期权价格11.4,所以投资者的总获利为 11.4+10=21.4

二、 forward commitment 和 contingent claim的差别是什么?

衍生品有两个分类:远期承诺和或有求偿权,两者的区别是,远期承诺是一种义务,到期时需要以约定的价格来交割,而或有求偿权是一种权利而不是义务,根据到期日的价格交易者可以选择是否交割。

Forward commitment(远期承诺):
Class of derivatives that provides the ability to lock in a price to transact in the future at a previously agreed-upon price.

远期承诺:
合同双方包含多头和空头,双方约定好了未来某一时点的以特定的价格进行交易的合约,这个合约到期时会执行,执行时按照约定的固定价格执行,这个固定价格就是远期价格。
远期承诺中包括三种:远期、期货、互换。
远期合约:场外交易合约,合约双方约定在未来某一时刻按约定的价格买卖约定数量的金融资产。
期货:是以某种大众产品如棉花、大豆、石油等及金融资产如股票、债券等为标的标准化可交易合约;
互换:场外交易合约,当事人按照共同商定的条件,在约定的时间内定期交换现金流的金融交易,可分为货币互换、利率互换、股权互换、信用互换等。

Contingent claim(或有求偿权):
Derivatives in which the payoffs occur if a specific event occurs; generally referred to as options.

或有求偿权:
是 一种可以以特定价格购买或出售标的资产的权利,支付依赖于标的资产的情况。是一种权利而不是义务,如果你背负了一项债务或是签订了类似的合约,你的出借人 或是债权人对你的资产可能有的求偿权,这个求偿权依赖于未来的某些事件是否发生,一些特定事件的发生会触发求偿权,比如说债务人的破产。
期权是最主要的或有求偿权。

 

例:In contrast to contingent claims, forward commitments provide the:
A. right to buy or sell the underlying asset in the future.
B. obligation to buy or sell the underlying asset in the future.
C. promise to provide credit protection in the event of default. to contingent claims, forward commitments provide the:

解 析:B is correct. Forward commitments represent an obligation to buy or sell the underlying asset at an agreed upon price at a future date.
A is incorrect because the right to buy or sell the underlying asset is a characteristic of contingent claims, not forward commitments.
C is incorrect because a credit default swap provides a promise to provide credit protection to the credit protection buyer in the event of a credit event such as a default or credit downgrade and is classified as a contingent claim.
根据定义B正确,远期承诺代表了买方及卖方在到期日有义务进行交割的合约;A说明的是或有求偿权的特质,C中会提供信用保护的是信用违约互换。

三、Exchange-traded markets 与Over-the-counter (OTC) markets的区别
Exchange-traded markets (场内交易):
An exchange, is a highly organized market where (especially) tradable securities, commodities, foreign exchange, futures, and options contracts are sold and bought.

交易所交易市场:
合同是由交易所定好的标准化合同,每个投资者的交易对手都是清算所,所以没有违约风险,在交易所交易有严格的监管,交易很透明,交易所会要求投资者在交易时做相关的披露,交易价格和交易量都是实时的,交易所交易包括期货和一部分期权。
缺点是,透明度高意味着交易是相对暴露的,所有交易都可以被监管者所了解,
标准化的合约意味着丧失了交易的灵活性,参与者只能参与交易所允许的合约。

Over-the-counter (OTC) markets(场外交易):
A decentralized market where buy and sell orders initiated from various locations are
matched through a communications network.

场外交易:
是交易双方自行谈判的个性化合同,因为不在交易所交易,有违约风险和对手方风险,没有监管,透明度较差。
场外交易包括:远期、互换、部分期权。
对 于场外交易,常让人误以为其流动性会比交易所的交易流动性差,其实不完全是,很多场外交易工具是很容易签订的同时,如果想要抵消只要做一个相反的交易就可 以,比如说,公司A从交易商B那里购买了衍生品,在到期日之前,如果公司A想要终止这个头寸,只要再把相同期限的衍生品卖给交易商B即可,当然,公司A也 可以选择卖给其他的交易商,也同样可以终止头寸;而在交易所交易的衍生品,有些只有很小的交易量因此流动性会较低。

例:Which of the following statements most accurately describes exchange-traded derivatives relative to over-the-counter derivatives? Exchange-traded derivatives are more likely to have:
A. Greater credit risk.
B. Standardized contract terms.
C. Greater risk management uses.

解 析:B is correct. Standardization of contract terms is a characteristic of exchange-traded derivatives. A is incorrect because credit risk is well-controlled in exchange markets. C is incorrect because the risk management uses are not limited by being traded over the counter.
考察场内与场外交易市场的区别,A和C都是属于场外市场的特点。

四、Internal credit enhancement 与External credit enhancement 的差异
Credit  enhancements:
are provisions that may be used to reduce the credit risk of the bond issue.

信用增强是用于可以减少信用风险的多种条款,因此,可以增加发行人的信用质量和降低债券的收益率,信用增强常用于资产抵押证券中。信用增强分为两类,内部和外部。

Internal credit enhancement (内部信用加强):
Subordination (次级化/分层) : waterfall structure, tranches.
Overcollateralization (超额抵押): post more collateral than is needed to obtain or secure financing.
Excess spread (超额利差): more cash flow received from the assets used to secure the issue than the interest paid to investors.

内部信用增强:
内部信用增强依赖于债券发行的结构特点。包括如下几种:
次级化/分层:对信用风险进行分层,是最常见的内部信用增强技术。资产产生的现金流根据不同的优先等级顺序而进行偿还,先偿付最高等级的然后对次等级的依次偿付。
超额抵押:是从本金的角度考虑的,抵押品的价值远远大于发行债务的价值,比如发行了100元的债券但是抵押品价值110万,超额抵押了10万。
超额利差:抵押品本身是产生现金流的,每期产生的现金流大于利息的支出,收入大于支出,所以有足够的资本偿还。

External credit enhancement (外部信用加强):
Surety bond (履约保证): reimburse investors for any losses incurred if the issuer defaults, by an insurance company.
Bank guarantee(银行担保): same as surety bond but by a bank.
Letter of credit(信用证): promise to lend money to issuing entity for any cash flow shortfalls.

外部信用加强:
会有第三方的财务担保,或者说有担保人。常见的外部信用加强包括履约担保,银行担保和信用证:
履约保证:有背书,相当于给发行的债券购买了保险,履约保证和银行担保有些类似,都是发行人违约时会赔偿给债券持有者。两者的区别是银行担保是银行发行的,而履约担保是保险公司发行的。
银行担保:发行者违约,投资者可以找银行还款。
信用证:发行者违约,银行先把款借给发行者还款。现在信用证用的较少,因为提供信用证的信用机构的信用等级下降会造成金融危机。
例:Which of the following is least likely to be a form of internal credit enhancement associated with a corporate bond issue?
A.Debt overcollateralization
B. Letter of credit
C. Debt subordination

解 析:B is correct,A letter of credit is a form of external credit enhancement in which a financial institution provides the issuer with a credit line to be used for any cash flow shortfalls related to its debt issue.
信用证是属于外部信用加强。

五、Discount rates和Add-on rates 的计算

Discount rates or add-on rates are used for quoted money market rates.
货币市场中有两大收益率的衡量:贴现率和附加利率。

Discount rates(折现率) :
In general, the interest rate used to calculate a present value. In the money market,
however, discount rate is a specific type of quoted rate.

折现率的计算:

折现率常用在商业票据和短期国库券以及银行承兑中,因为货币市场的折现率是利率除以到期赎回时的面值,而不是投资者的实际投入,所以低估了投资者的收益率。

折现率算现值的公式为:


Add-on rates(附加利率) :
Bank certificates of deposit, repos, and indices such as Libor and Euribor are quoted on an add-on rate basis (bond equivalent yield basis).

附加利率的计算:

附加利率一般用在存款证和回购协议中。
附加利率算现值的公式为:

 


举个例子说明两者的算法差异,一个期限90天的债券,面值是1000元,目前价格时950元,它的贴现率的算法是,附加利率的算法为,所以两者的差异为贴现的分母是面值,而附加利率的分母为价格。

16. Which of the following is most likely regarding the bond equivalent
yield?
A. It is stated on a 360-day year and on an add-on yield basis.
B. It is stated on a 365-day year and on an add-on yield basis.
C. It is stated on a 365-day year and on a discount rate basis.
Answer: B is correct,The bond equivalent yield is a money market yield stated on a 365-day year on an add-on rate basis.
债券等价收益率的计算公式:

 

 

 


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