Ch35-Derivatives-Mishaps衍生品危机中的启示(Hull).ppt

Chapter 35Derivatives Mishaps and What We Can Learn From ThemOptions, Futures, and Other Derivatives, 8th Edition, 1 Big Losses by Financial InstitutionsAllied Irish Bank ($700 million)Amaranth ($6 billion)Barings ($1 billion)Daiwa ($1 billion)Enron Counterparties (Several over $1 billion)Kidder Peabody ($350 million)LTCM ($4 billion)Midland Bank ($500 million)Société Générale ($7 billion)Subprime Mortgages (up to $40 billion)Options, Futures, and Other Derivatives, 8th Edition, Copyright ? John C. Hull 20122 Big Losses by Non-Financial CorporationsAllied Lyons ($150 million)Gibsons Greetings ($20 million)Hammersmith and Fulham ($600 million)Metallgesellschaft ($1.8 billion)Orange County ($2 billion)Procter and Gamble ($90 million)Shell ($1 billion)Sumitomo ($2 billion)Options, Futures, and Other Derivatives, 8th Edition, Copyright ? John C. Hull 20123 Lessons for All Users of DerivativesRisk must be quantified and risk limits definedExceeding risk limits not acceptable even when profits resultDo not assume that a trader with a good track record will always be rightBe diversifiedScenario analysis and stress testing is importantOptions, Futures, and Other Derivatives, 8th Edition, Copyright ? John C. Hull 20124 Lessons for Financial InstitutionsDo not give too much independence to star tradersSeparate the front middle and back officeModels can be wrongBe conservative in recognizing inception profitsDo not sell clients inappropriate productsLiquidity risk is importantThere are dangers when many are following the same strategyOptions, Futures, and Other Derivatives, 8th Edition, Copyright ? John C. Hull 20125 Lessons for Financial Institutions continuedBeware of potential liquidity problems when long-term funding requirements are financed with short-term liabilitiesMarket transparency is importantMange incentivesNever ignore risk management, even when times are goodOptions, Futures, and Other Derivatives, 8th Edition, Copyright ? John C. Hull 20126 Lessons for Non-F