金融市场实用总结.docx

金融市场实用总结.docx

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名词

lPrimarymarket:

themarketfornewlyissuedfinancialassets.

Registrationstatement

Prospectus（招股说明书）isdistributedtothepublic

SupplementalinformationisavailablefromSECuponrequest

Waitingperiod（等待期）isthetimebetweenfilingtheregistrationandtheeffectivedate.Duringthistimetheprospectusiscalledtheredherring

Duringtheunderwritingprocessduediligence（尽职调查）mustbeexercisedbytheinvestmentbanks

ShelfRegistrationRule

sellcertainamountofacertainclassofsecuritiesatdifferenttimesovernexttwoyears

PrivatePlacement（私募）securitiesarenotofferedtothegeneralpublicinvestors

lSecuritiesunderwriting:

Securitiesunderwriting（证券承销）referstotheprocessbywhichinvestmentbanksraisedfundsfrominvestorsonbehalfofcorporationsandgovernmentsthatareissuingsecurities（bothequityanddebtcapital）

Grossspread（承销毛利）:

thedifferencebetweenthepricepaidtotheissuerandthepriceatwhichtheunderwritingfirmthenoffersthesecuritytothepublic.

Boughtdeal（包销）occurswhentheunderwriterbuysthesecuritiesbypassingthesyndicationprocess

l二级市场：

Order-drivenmarket（指令驱动型市场）:

allparticipantsarenaturalbuyersandnaturalsellerswithnodealeractingasanintermediary.Alsocalledauctionmarket（竞价市场）

Continuousorderdrivenmarket（连续指令驱动型市场）:

pricesaredeterminedthroughouttheday

Periodiccallauction（集合竞价）:

ordersarebatchedtogetherforsimultaneousexecutionatpreannouncedtimes

Quote-Drivenmarket（报价驱动市场）:

wherethepriceisdeterminedbythedealerbasedonprevailingmarketconditions.Alsocalleddealermarketordealershipmarket.

lShortselling（卖空）:

sellingsecuritiesnotownedattimeofsaleandpurchasingthemlaterandreturned证券价格如果下降就盈利，上升则亏损

payoff=sellingprice–purchasingprice–commissions–costofborrowingthestock.

Margintransaction（保证金交易）

lBuyingonmargin（融资）:

Aninvestorborrowsfromabrokertobuysecuritiesusingthemascollateral

Payoff=sellingprice–purchasingprice–servicecharge–callrate*callmoney

MarginrequirementsiswhattheinvestormustpayincashinmargintransactionandissetbytheFederalReserve.

lEfficientportfolio:

maximizetheexpectedreturnwithagivenlevelofrisk

lRiskyasset:

oneinwhichthefuturereturnhasuncertaintysuchascorporations

lRisk-freeasset:

oneinwhichthefuturereturnhasnouncertaintysuchasshorttermobligationsoftheU.S.government

lMarkowitzefficientportfolio:

Aportfoliothathasthehighestexpectedreturnforagivenlevelofrisk

lSystematicrisk（系统性风险）isthatpartofreturnvariabilitythatissubjecttomarketriskandcannotbediversifiedawayrepresentingtheminimumlevelofrisk

lUnsystematicrisk（非系统性风险）isthatpartofreturnvariabilitythatcanbediversifiedawayreferredtoasresidualrisk

简答题

1.SML,CML,CAPM,MarketModel的含义和区别

CML:

theexpectedreturnonaportfolio,whichequalstherisk-freerateofreturnplustheproductofthemarketpriceofriskandthequantityofriskintheportfolio

SML:

TheSMLisanalogousinthattheCMLisforaportfolioandtheSMLisforanindividualsecurity

CAPM:

AmorecommonversionoftheSMLusestheBetaofasecurityandisknownastheCapitalAssetPricingModel（CAPM）.WerefertheequationastheCAPM,thegraphasSML.

InequilibriumtheexpectedratesofreturnforindividualsecuritieswilllieontheSMLandnottheCMLduetotheunsystematicriskthatremainsinsecuritiesthatcanbediversifiedoutofportfolios.

TheCMLandtheSMLrepresentapredictivemodelforexpectedreturns.Themarketmodelisadescriptivemodelusedtodescribehistoricaldata.

lFuturescontract（期货合约）isanagreementrequiringapartytoeitherbuyorsellsomethingatadesignatedfuturedate（settlementordeliverydate交割日）andatapredeterminedprice（futureprice）

lHedging

Hedging（套期保值，对冲）istheuseoffuturestransactionstotemporarilysubstitutefortransactionsinthecashmarket

Whenthepricesofcashandfuturesmovetogetherandlossinonepositionwillbeoffsetbyagainintheother

PerfectHedgeoccurswhenlossesandprofitsareequalbecausethebasismaintainthesame

—Alonghedge（多头对冲）isundertakentoprotectagainstanincreaseinthepriceofafinancialinstrumentorportfolio

—Itinvolvesthepurchaseoffuturescontractstodaybyaninvestorwhomustbuytheactualsecuritiesatalaterdate

—Ashorthedge（空头对冲）isusedtoprotectagainstadeclineinthefuturecashpriceofafinancialinstrumentorportfolio.

—Itinvolvesthesaleoffuturescontractstodaybyaninvestorwhomustselltheactualsecuritiesatsomelaterpoint

Acrosshedge（交叉对冲）iswhentheindividualinstrumentisnotidenticaltotheinstrumentunderlyingthefutures

Cross-hedgingriskthepricemovementoftheunderlyinginstrumentsofthefuturesmaynotaccuratelytracktheinstrumentbeinghedged

lSwap

Bothpartiesareexposedtocounterpartyrisk.

Swapcanbethoughtofpackageofforwards;capandfloorcanbeseenasapackageofoptions.

lTermtomaturity

Therelationshipbetweentheyieldsoncomparablesecuritiesbutdifferentmaturitiesiscalledthetermstructureofinterestrates

Thespreadbetweenanytwomaturitysectorsofthemarketiscalledamaturityspread（期限利差）,oryieldcurvespread（收益率曲线利差）

lOn-the-run（指标债券）orcurrentcoupon（当前息票债券）issuesmostrecentlyauctionedTreasuryissuesforeachmaturity

Off-the-run（非指标债券）:

在on-the-run之前发行的债券

lAnoptionthatisincludedinabondissueisreferredtoasanembeddedoption（内含选择权）：

callprovision赎回条款:

grantstheissuertherighttoretirethedebtbeforematurity

putprovision售回条款:

grantsthebondholdertherighttoselltheissuebacktotheissueratparvalueondesignateddates（持有人在指定日期将债券按票面价值卖回给发行人）

convertiblebond：

anissuegivingthebondholdertherighttoexchangethebondforaspecifiednumberofsharesofcommonstock

lMunicipalbondsaresecuritiesissuedbystateandlocalgovernmentsmostofwhicharetax-exemptsecurities.（免征联邦税，本来联邦要收税）

2MBS的简单流程：

lAssetsecuritizationinvolvesthepoolingofmortgagesandissuingsecuritiesbackedbythecashflowsofthesemortgagepools（先集合再分散）

lAtthemostsimplelevel,thesecanbestructuredaspass-throughsecurities,whereprincipalandinterestpayments"pass-through"tosecurityinvestorseachmonth

lForexample,athriftoriginatesmortgagesandthensellsthemtoaninvestmentbanker（oragency）

lThebankerthencreatesasecuritybackedbythatpool

lAsaconsequencethethrifthasshiftedthecreditrisktothebankerortheinvestor（morelikelyaninsurerorguarantor）;havingreceivedcashforthemortgages,itnolongerfundsthem

lMorelikely,itwillonlycontinuetoservicethesemortgagesforafee

3prepaymentrisk:

Aninvestorwhoownspass-throughsecuritiesdoesnotknowwhatthecashflowwillbebecausethecashflowdependsonprepayments.contractionrisk（缩期风险）:

Whenratesfall,theprobabilityofprepaymentrises,creatinguncertaintyinfuturecashflows.extensionrisk（延期风险）:

Risinginterestratesmakeprepaymentslesslikely,sincehomeownerswillnotrefinanceatcostshigherthancontractualrates.Risinginterestratesmakeprepaymentslesslikely,sincehomeownerswillnotrefinanceatcostshigherthancontractualrates

4Creditenhancement:

4

lInasenior-subordinatedstructure,twogeneralcategoriesoftranchesarecreated:

seniortrancheandsubordinatedtranches

lExcessspreadisbasicallytheinterestfromthecollateralthatisnotbeingusedtosatisfytheliabilitiesandthefees,canbeusedtorealizeanylosses

lOvercollateralizationistheexcesscollateralthatcanbeusedtoabsorblosses

lMonolineinsurance