Risk Management and Financial Institution Chapter 8 —— How Traders Manage Their Risk

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typora-copy-images-to: Risk and institurion

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

• 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

• 记录的保存功能称之为后台，back office

• 本章主要是说明前台的独立对冲

• 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

• δS is a small increase in the value of the variable,δP is the result change in the value of the portfolio

• delta 是组合价值关于变量的偏导数
  

• 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

• 底层资产与组合价值在任何时候都是线性相关的，linearly dependent

• forward contract and gold is a linear product,option is not

• Once the hedge has been set up, never needs to be changed

8.1.2 Nonlinear Products

• 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

• 例子：

  • S₀ = 49
  • S_T = 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