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基本説明
Explains evetything from the basic principles through to the nature and use of a variety of financial tools, including derivative instruments.
Full Description
As with previous titles in the IIA (Institute of Internal Auditors) series this is a clear and practical guide to a subject of key importance to financial managers. Whether borrowing, investing, saving or trading, a company will always have to take into account the cost of capital and therefore interest rate risk. The highly accessible style explains everything from the basic principles through to the techniques allowing those without prior knowledge to understand the nature and use of a variety of financial tools, including derivative instruments. This is the third part of the trilogy on market risk, the previous two being Managing Currency Risk and Managing Commodity Risk.
Contents
PREFACE
Modern Risk Management and the Non-Financial Sector
The Scope and Purpose of the Book
The Methodology
Risk Management and Risk Quantification
The Role of Pricing Derivatives
Structure of the Book
CHAPTER 1 INTEREST RATE RISK, INTEREST RATE DERIVATIVES AND THE MANAGEMENT FUNCTION
Introduction
Fundamentals of Interest Rate Risk
Financial Derivatives
Interest Rate Derivatives
The Interest rate Risk Management Function
CHAPTER 2 INTEREST RATE RISK MANAGEMENT IN THE NON-FINANCIAL SECTOR
Introduction
The Critique of Corporate Risk Management
In Defence of Corporate Risk Management
Conclusion on Corporate Risk Management
Maintaining a Sound System of Control
Diversification
Hedging With Financial Derivatives
CHAPTER 3 INTEREST SPOT AND FRA MARKETS
The Spot Interest Rate Market
Forward Rate Agreements
Case Study 1 Using a FRA to Lock in Future Borrowing Rates
CHAPTER 4 INTEREST RATE FUTURES CONTRACTS
Introduction to Interest Rate Futures
An Exchange Traded Forward Rate Agreement
A Standardised Contract - the Minimum Conditions
Major Interest Rate Futures Contracts
Futures Market Terminology
The Role of Basis in Interest rate futures
The Futures Hedge Ratio
Case Study 2 Hedging a Borrowing Rate with Eurodollar Futures
Case Study 3 Hedging an Investment Rate with Eurodollar Futures
Discussion of the Case Studies
CHAPTER 5 INTEREST RATE SWAPS
Introduction to Interest Rate Swaps
Principles of Interest Rate Swaps
Uses of interest rate swaps
Structuring Interest Rate Swaps
The Swap Rate
Practical Interest Rate Swaps
Case Study 4 Hedging a term loan with an interest rate swap.
Asset Swaps
Interest Rate Basis Swaps
Case Study 5 Managing Interest Rate Risk with a Basis Swap
CHAPTER 6 INTEREST RATE OPTIONS
Introduction
The Fundamental Principles of Options
Option Pricing
The Intrinsic Value of an Option
The Time value of an Option
The Greeks
Exercising Options
The Risk of the Parties to an Option
OTC Interest Rate Guarantees
Case Study 6 Locking in a borrowing rate with an IRG
OTC Option Variants
Options on Interest rate futures
Option Standardisation
Option Classification
Selling Options on Futures
Case Study 7 Hedging an interest bearing investment using options on futures
CHAPTER 7 STRATEGIES WITH INTEREST RATE SWAPS, SWAPS BASED DERIVATIVES AND SWAPS MIMICS
Introduction
Strategies with Standard Interest Rate Swaps
Case Study 8 A Debt Market Arbitrage
Case Study 9 Arranging an Off-Market Swap
Swaps Strategies with special terms
Case Study 10 Structuring a Callable Fixed Rate Swap
Case Study 11 Hedging a borrowing rate with an adjustable fixed rate swap
Swaps as the Underlying Asset of Other Derivatives
Futures on Swaps
Options on Swaps
Case Study 12 Hedging the swap rate on future borrowings using a swaption
Strategies Mimicking Swaps
Case Study 13 Hedging a borrowing rate with a futures strip
CHAPTER 8 STRATEGIES WITH INTEREST RATE OPTIONS AND EXOTIC INTEREST RATE OPTIONS
Introduction
Cost Reduction Strategies
Case Study 14 Locking in a borrowing rate with OTM options on futures
Case Study 15 Hedging borrowing rates with an interest rate collar
Zero Cost Strategies
Case Study 16 Hedging future borrowing rates using a borrower's interest rate lock
Case Study 17 Hedging a borrowing rate with a Participating Interest Rate Cap
Exotic Options
