清华大学经管学院--金融工程1.pptx

清华大学经管学院--金融工程1.pptx

《清华大学经管学院--金融工程1.pptx》由会员分享，可在线阅读，更多相关《清华大学经管学院--金融工程1.pptx（32页珍藏版）》请在冰点文库上搜索。

INTRODUCTIONTOFINANCIALENGINEERING,FredSongSeptember2001,1,Introductory,WhatisFinance?

WhatisFinancialEngineering?

WhatstheroleofFinancialEngineeringinNewEconomy?

Neweconomy,Financialengineeringande-commerce,2,WhatisFinance?

Money&BankingMonetaryEconomics,InternationalFinanceInternationalEconomics,3,CorporateFinance,CapitalMarket（Investments）,FinancialEconomics,MultinationalCorporateFinance,InternationalFinancialMarket,FinancialEngineering,4,WhatisFinancialEngineering?

Generalizing:

FinancialEngineeringinvolvesthedesign,thedevelopment,andtheimplementationofinnovativefinancialinstrumentsandprocesses,andtheformulationofcreativesolutionstoproblemsinfinance.Specializing:

FinancialEngineeringisriskmanagementviacreativestructuraltools.,5,FINANCE,I.T.,ENGINEERING,F.E.,6,CHAPTERONE:

MMTheoryandNoArbitrage,MMTheory,TwomeasurementsofvalueAccounting:

bookvaluehistoriccost,Finance:

marketvaluenetpresentvalue,7,Assets=Liabilities+Equity,AccountingEquality:

duelentitysystemBookvaluemeasurement,Funduse,Fundsource,FinanceEquality:

Funduse=FundsourceMarketvaluemeasurement,8,CorporateFinanceAssetsLiabilitiesandEquityAsset1Asset2LiabilitiesAsset3.Equity.AssetnTotalAssetsTotalLiabilitiesandEquity,Accounting:

Yes!

Finance:

No!

CapitalMarket,RealEconomy,NPV,FirmValue,+NPV,9,LiabilitiesValueEquityValue,LiabilitiesValueAssetsValue,CapitalStructure,Financialleverage:

or,Hasachangeoffinancialleverageanyimpactonthefirmvalue?

10,M&MTheory,M&Massumptions:

FrictionlessassumptionsNoincometaxesNotransactioncostsNoinformationasymmetryNocosttoresolveinterestconflictsamongstakeholdersAllliabilitiesarerisk-free,11,Notes:

Amini-case,TwocompaniesEBITCapitalstructureFirmvalue,$10millionp.a,bonds:

$40million,8%shares:

600,000,Asshareprice:

$100pershare,expectedreturn:

10%,1millionshares$100million,B,?

A,Bsbond:

risk-freethesharenumberissupposedshareexpectedreturn:

?

12,（Risk-free）,No,PositionImmediateCashFlowCashFlowintheFuture,ReplicationofAsStockUsingBsStockandBonds,BsTotalPayments=BsNetEarnings+InterestPayments,=（EBIT-$3.2million）+$3.2million=EBIT,SupposepriceofBsstock=$90pershare,Shortsell1%Assharesat$100pershare,Buy1%Bssharesat$90pershare,Buy1%Bsbonds,+$1,000,000,1%ofEBIT,$540,000,1%（EBIT$3,200,000）,$400,000,1%$3,200,000,NetCashFlow,$60,000,0,Arbitrage,PriceofBsstock=$100pershare,13,M&MProposition1,Proposition1:

UnderM&MAssumption,i.e.,inthefrictionlessenvironment,thetotalmarketvalueofafirmisindependentofitscapitalstructure.,Thinkofthefirmasagiganticpizza,dividedintoquarters.Ifnow,youcuteachquarterinhalfintoeights,theM&Mpropositionsaysthatyouwillhavemorepieces,butnotmorepizza.,MertonMiler,14,ProbabilityDistributionofEBITandEPSfortheTwoCompanies,StateoftheEconomy,EBIT,CompanyACompanyBEPSNetEPS（1millionshares）Earnings（600,000shares）,Badbusiness$5million$5$1.8million$3.00Normalbusiness10106.811.33Goodbusiness151511.819.67Mean10106.811.33Standarddeviation46.81Beta1.01.01.67NOTE:

Eachstateoftheeconomyisequallylikely.,15,Thecostofcapitaldependsonitsuseandnotonitssource.,Proposition!

16,WeightedAverageCostofCapital,Costofcapitalofthefirmwithoutliability,RiskpremiumofWACC,Financialleverage,M&MProposition2:

ThecostofcapitalofafirmequalsthecostofcapitalofthefirmwithoutliabilityandtheriskpremiumofWACCmultipliedbyfinancialleverage.,17,AlltransactionsinfinancialmarketsarezeroNPVtransactionactivities.,Proposition!

18,ImplicationofM&MTheory,Frictionlessenvironmentdoesnotexistintherealworld.TaxesTransactioncostsInformationasymmetryCostsresolvinginterestconflictLiabilitiesarerisk-bearing,19,TaxShield,CompanyA:

Taxrate:

T=33%,CompanyACompanyB,Claimant,CreditorsShareholdersGovernmentTaxAuthority,TotalFirmValuebeforeTaxation,$100million$100million,0,67million,33million,CompanyB:

（1T）（EBITInterests）+Interests=（1-T）EBIT+TInterests,40.0million,40.2million19.8million,$13.2million,20,WACCwithTaxes,OtherM&Massumptionshold,Hasachangeoffinancialleverageanyimpactonthefirmvalue?

Answer:

Yes!

Discountrateforcashflowofthefirm,21,StockPrice,ShareNumberTotalEquitySharePrice,CompanyA:

1million,67.0million,$67,CompanyB:

600,000,40.2million,$67,?

IfCompanyAweretoannounceanissueof$40milliondebttobeusedtorepurchaseandretirecommonstock,Ascapitalstructure=Bscapitalstructure,Marketreaction:

priceofAssharewouldgouptoreflectthe$13.2milliontaxshield:

$（67.0+13.2）million/1million=$80.2pershare.,Whereisthebenefitofthetaxshield?

22,StatePrices,Risk-freesecurity,Risk-freeinterestrate,BondA,BondB,23,BasicSecurities,BasicSecurity1BasicSecurity2,=?

=?

PortfolioBasicSecurity1,BasicSecurity2,replicating,BondA,=,NoArbitrage,24,Replicatingriskfreesecurity,PortfolioBasicSecurity1,BasicSecurity2,replicating,=,Let,StatePrices,25,ReplicatingBondAandBondB,NoArbitrage,Questions?

Dothereexistsuchkindbasicsecuritiesintherealworld?

Arethereenoughbasicsecuritiesthatcanbeusedtoreplicateallthepayoffofsecuritiesinthemarket?

Answers:

Findsomeequivalentinstrumentsinsteadofbasicsecurities.Itinvolvesinmarketcompleteness.,26,Replicationviaequivalentinstruments,PortfolioBondA,marketvaluerisk-freesecurity,replicatingBondB,27,MarketCompleteness,Wheneverthenumberofdifferentinstrumentsusedtoreplicatesecuritiesequalsthenumberofstatessothatwecanattainanypayoffofsecuritiesinfuture,insuchacircumstance,themarketisacompleteone.Otherwise,themarketisincomplete.,Completenessisacoreconceptoffinancetheories!

28,SummaryofChapterOne,NoArbitrageEquilibriumReplicationMethodologyStatePricesTechnology,29,CHAPTERTWO:

TimeValueofMoneyandTermStructureofInterest,DiscountedCashFlowFormula,Yes!

istheexpectedrateofreturn,i.e.,themeanofthediscountratesfordifferentterms,Let,No!

isthediscountratethatcannotbeusedforsolongperiod,?

30,DeterminationofInterest,Capitalproductionabilitythemorethecapitalsexpectedreturn,thehighertheinterestratesandviceversa.Uncertaintyofcapitalproductionabilitythemoretheuncertainty,thehighertheriskpremiumrequiredandthehighertheinterestratesandviceversa.Timepreferenceofconsumptionthestrongerpreferencetocurrentconsumption,thehighertheriskpremiumrequiredandthehighertheinterestratesandviceversa.Riskaversionthemoretheriskaversion,thehighertheriskpremiumrequiredandthelowertherisk-freeinterestrates.,Fourbasicfactors,31,TheBenchmarkofInterest,YieldtoMaturity（YTM）,YTMvarieswithdifferentfinancialinstruments,becausetheexposureoffinancialinstrumentsarequitedifferentandtherequiredriskpremiumsdifferfromeachother.,Risk-freeinterestvarieswithterms.Itscalledthetermstructureofinterests.,Risk-freeinterests,?

?

No!

Yes!

32,