???????1970???????(Parallel Loan ),???????????,???????????,???????????????????,????????????

1
?????????
??
2
(No Transcript)
3
(No Transcript)
4
?.?????????? ?. ?? ???????1970???????(Parallel
Loan ),???????????,???????????,???????????????????
,????????????
5
? .?? 1.????(Interest Rate Swap) 2.????(Currency
Swap) 3.????(Equity Swap) 4.????(Asset
Swap) ?. ??
6
?.??????(Interest Rate Swap)
?.?? ??????(Interest Rate Swap)?????????????????
??????,?????????????,?????????????????????o
???????????,??????,?????????(notional principal)o
7
(No Transcript)
8
?.???????????? ?? 1.?????????????(currency
swaps) 2.????????????(IRS) 3.??????????????????
?? IRS??,?????????? 4.86?11?????????IRS. ??
1982? -gt US 50?? 1992? -gt US 3?? 1995? -gt
US 8?6990??, ?? 39.4
9
?. ????????? 1.??????? 2.???????????????????80??
??,?????????,????????? ?,???????????,???????? ?
?,?????????? 3.????(Comparative Advantage)/
???? (positive sum)?
10
???????????????,????????????????,??????????????5??
l???????,??????????1??? ?1??????????????????????
???? ???? ???? ???? 10
LIBOR0.5 ???? 12 LIBOR1.5
?? l??,??????????,???????????,???????????????????
?????????1,???????????2,?????????????????
11
(1).????????10??,????LIBOR?1.5 ??,??????????????
????? ??,?????10??????????,?? ??,????1???????
?? 1??,??????????????,???????????10?????????????
????????,??????????LIBOR?0.5??0.5?????????11.5
(???10????????l.5),???????????12??0.5,????????
???
12
?????????- ???? ????????????????X,?????????Y,?(
X?Y)?????????????????????????,?????????????,????(X
?Y)???????????????????,
13
??2??,???????????,????????9.75???,????????????LIB
OR?0.25,?LIBOR10 - 9.75,????????0.25????????
???,????LIBOR???,????????????11.75,?(LIBORl.5)
10.25 - LIBOR,??????????0.25????????????0.5????
??????????
14
???????????????? (?) ????(interest rate
caps) 1.??????????????,????
???????????? 2.????T-bill,?????? 10?,?? ????
12,??????2???
15
?????????????????,???????? (1).???? (2).????(???
??),??3????????? ?????? (3).????,?????????? (4).
?????,???????????????? ?,???????????????????? ????
?????,???????????? ????? (5).????(??????),???????
??? ??????? (6).???,?????????????????? ??
16
?
17
? ????
18
?????? ??????
19
?????????????? 1??????? .??????????(call
option) .??????????(put option)
2???????????? ??????????????,???? ?????
3?????????????,?????? ??,??????????
4????????????? ??????????
20
???????????? 1?????????
2?????????,?????????? 3???????????,????????
????
21
????????????? 1????? 2????? 3??????
4?????? 5?????
22
(No Transcript)
23
(No Transcript)
24
????????? 1???????????? .?????????????
2??????????(duration)?? .????????????????????
?,????????????,?????? ?duration??
3?????????(maturity gap management)
.?????,?????????,???? ?????????? 4??????
.????(??),??(??)?????? .????????????????????
25
??????(Currency Swap) ?.?? ????????????????????
???????? 1.????? 2.?????
26
?.???? 1.???????(fixed to floating interest
rate)????? 2.???????(fixed to fixed interest
rate)?????
27
(No Transcript)
28
?? ?????????,??1970????????? (Parallel
loans)?????????????,????????????????????????????,
???????? (???)???,????????????,???????????????,???
?????
29
(No Transcript)
30
?????IBM???????????9??????,???????VW?????????7
,?IBM??????,?VW??????,??????????????????? ????/??
???? ???? IBM 9 8 VW
10 7 ????????????? .????????, .????
??????, .?????????
31
(No Transcript)
32
(No Transcript)
33
(No Transcript)
34
?.????(equity swap) ?.?? ????????????????????????
?????????????,??????????????(?????)?????????? ??
??????????????,?????????????,??????????????,??????
???(equity leg),????????,???????(floating
leg),??????????(?LIBOR,SIBOR).
35
?. ?? 1989?,?????(Bankers Trust)?????? ?????? ?.?
???????????????,????????????????????,????????????
?????????????????????,?????????????????,?????10???
???????2?,?????????,?????????????????????,????????
???????9(???4.5),?????? ???
36
(No Transcript)
37
?? ???,???????,??????????????????????,??????????
?,?????,???????(???)??,?????????????,???????? ???
??,????????7,??????(???)??,???????????4,500??(4.5
x10??)????????????????7,000??(7
x10??)?????,????????? 4,?????????4,000???????,?
???????,???????????????,???????????4,000??,???????
????8,500???
38
????,?????????,?????????????????????????,????????
???7,000??,???????4,500???????,?????,?????????????
?2,500??????????? ???????????????? (R
0.09)/2 x NP ??NP?????,
R??????????????? ??? ????????????????,??
???????,??????????????2?,??????????,??????????????
????????
39
?.?? (?)???? (?)???? (?)?????? (?)??????
40
????(asset swap) (?).????(asset swap)
??????????????(IRS)??????????????????????,????????
????,??????????????????,?????????,?????????(?????)
??????
41
(?).??????(Reverse Asset Swap) ??????(Reverse
Asset Swap)????????????,???????????,??????????????
?????????,?????????????,????????
??,???????????,???????,???????,????????????,?????(
Equity Swap )???
42
?????(Asset securitization) (?)?? (?)?? 1.????????
?? 2.???????? 3.????????? (?)????????
43
(?)???????? 1. ????(pass-through structure)
??????????????????????? ?????,?GNMA?1970????? ??
???????????,????????? ?????????, ????????? 2.
?????(pay-through structure) ????????
??????????? ?????????????,????????,
????????????????????,???????????????, ???????????
?????,????????????, ???????????,????
44
(No Transcript)
45
??????(mortgage backed securities , MBS) 1.
?? 2.??
46
(No Transcript)
47
????????(collateralized mortgage obligations,
CMOs) 1.?? ??????????????(???????),??????????,?
????????? CMOs??????????????(double
securities) 2.????
48
(No Transcript)
49
(No Transcript)
50
(No Transcript)