typora-copy-images-to: Risk and institurion
文章目录
Risk Management and Financial Institution Chapter 8 —— How Traders Manage Their Risk
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交易功能一般是指金融机构的前台,front office
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金融机构关注资本合规以及监管合规等部分风险的,称之为middle office
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记录的保存功能称之为后台,back office
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本章主要是说明前台的独立对冲
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Each of the Greeks measures a different aspect of the risk in a trading position
8.1 Delta
- In general, the delta of a portfolio with respect to a market variable is
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δS is a small increase in the value of the variable,δP is the result change in the value of the portfolio
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delta 是组合价值关于变量的偏导数
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When the hedging trade is combined with the existing portfolio the resultant portfolio has a delta of zero. Such a portfolio is referred to as delta neutral,对冲交易加上已存组合delta 为 0 ,则称为delta 中性
8.1.1 Linear products
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底层资产与组合价值在任何时候都是线性相关的,linearly dependent
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forward contract and gold is a linear product,option is not
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Once the hedge has been set up, never needs to be changed
8.1.2 Nonlinear Products
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两个理由非线性的产品更难对冲:
- delta neutral 只有在底层资产又小变动的时候有效
- 我们不能 hedge and forget situation,只能dynamic hedging
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例子:
- S0 = 49
- ST = 50
- R = 0.05
- σ = 0.2
- T = 20weeks
- 从图中可以得出,delta随着股价的变化不断变化,从0 变化到1 是切线的关系
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the trader c