新风险管理复习资料.docVIP

风险管理复习资料 1. (1) Derivatives Derivatives are financial instruments whose returns are derived from those of other financial instruments. That is, their performance depends on how other financial instruments perform. Derivatives serve a valuable purpose in providing a means of managing financial risk. (2) Options An option is a contract between two parties-a buyer and a seller-that gives the buyer the right, but not the obligation, to purchase or sell something at a later date at a price agreed upon today. The option buyer pays the seller a sum of money called the price or premium. The option seller stands ready to sell or buy according to the contract terms if and when the buyer so desires. (3) Futures Contracts A futures contract is also a contract between two parties-a buyer and a seller-to buy or sell something at a future date at a price agreed upon today. The contract trades on a futures exchange and is subject to a daily settlement procedure. Futures contracts evolved out of forward contracts and possess many of the same characteristics. (4) Exercise limits Exercise limits are similar to position limits. An exercise limit is the maximum number of options that can be exercised on any five consecutive business days by any individual or group of individuals acting together. The figure for the exercise limit is the same as that for the position limit. (5) Real Options Real options are not options on real estate, nor does the name real options suggest that other options are somehow not real. Real options are options that are commonly found in corporate investment decisions, which are themselves often referred to as real investment. (6) Option pricing model An option pricing model is a mathematical formula or computational procedure that uses the factors determining the option’s price as inputs. The output is the theoretical fair value of the option. If the model performs as it should, the option’s market price will equal the theoretica