Matakuliah
Tahun
: <<Manajemen Keuangan>>
: <<2009>>
DERIVATIVES DAN MANAJEMEN RISIKO
Pertemuan 26
Learning Outcomes
Pada akhir pertemuan ini diharapkan :
Mahasiswa dapat menghubungkan berbagai
cara dalam manajemen risiko menggunakan
derivatives.
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Outline Materi
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Derivatives: Forward, futures, options
Put call parity, Black Scholes Formula
Other derivatives: swaps, rights, warrants
Hedging with derivatives
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What is a derivative?
• A derivative is a financial contract between two parties to
transact an asset at a fixed price at a future date.
• It derives value from other assets or events.
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Definitions
•
•
•
•
•
Buyer: one who buys the derivative.
Writer: one who sells the derivative.
Long position: the position of the buyer.
Short position: the position of the writer.
Expiry date: the date when cash flows would be
exchanged.
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• Underlying asset: the asset to be transacted.
• Strike price (or exercise price): the transaction price of
the underlying asset at the expiry date.
• Counter parties: the opposite party in the derivative
contract
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The Forward Contract Payoff
• Payoff: the profit brought about by the contract.
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The Futures Contract
• Similar to forward contracts
• Specifications standardized: underlying asset, contract
size, expiry date.
• Traded in exchanges
• Many types: e.g. commodity, interest rates, equity, FX
etc.
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What is an option?
• A contract that gives its holder the right, but not the
obligation, to buy (or sell) an asset at some
predetermined price within a specified period of time.
• It’s important to remember:
– It does not obligate its owner to take action.
– It merely gives the owner the right to buy or sell an asset.
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Option terminology
• Call option – an option to buy a specified number of
shares of a security within some future period.
• Put option – an option to sell a specified number of
shares of a security within some future period.
• Exercise (or strike) price – the price stated in the option
contract at which the security can be bought or sold.
• Option price – option contract’s market price.
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Option terminology (con’t)
• Expiration date – the date the option matures.
• Exercise value – the value of an option if it were
exercised today (Current stock price - Strike price).
• In-the-money call – a call option whose exercise price is
less than the current price of the underlying stock.
• Out-of-the-money call – a call option whose exercise
price exceeds the current stock price.
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The Call Option Payoff (long position)
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The Call Option Payoff (short position)
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Determining option exercise value and
option premium
Stock
price
$25.00
Strike
price
$25.00
Exercise
value
$0.00
Option
price
3.00
Option
premium
3.00
30.00
35.00
40.00
45.00
25.00
25.00
25.00
25.00
5.00
10.00
15.00
20.00
7.50
12.00
16.50
21.00
2.50
2.00
1.50
1.00
50.00
25.00
25.00
25.50
0.50
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Call Option Intrinsic Value and Time Value
• Intrinsic Value: the value of the call option if exercised
now
• Time value (or premium): the difference between the
value of the call option and the intrinsic value
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Call Option Intrinsic Value and Time Value
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Relationship of Call Value with other Factors
Factor Change: An increase in…
Call Value
Change
Relationship
spot price of the underlying asset
Increase
Positive
time to expiry date
Increase
Positive
strike price
Decrease
Negative
risk-free interest rate
Increase
Positive
the return volatility of the
underlying asset
Increase
Positive
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The Put Option Payoff (long position)
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The Put Option Payoff (short position)
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Relationship of Put Value with other Factors
Factor Change: An increase in…
Call Value
Change
Relationship
spot price of the underlying asset
Decrease
Negative
time to expiry date
Increase
Positive
strike price
Increase
Positive
risk-free interest rate
Decrease
Negative
the return volatility of the
underlying asset
Increase
Positive
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Put Call Parity
• Relates the call price and the put price with the strike
price and the spot price
• P = K exp(-rT ) - S + C
• Arbitrage opportunities exist if put and call prices violate
the relationship
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Swaps
• The exchange of cash payment obligations between two
parties, usually because each party prefers the terms of
the other’s debt contract.
• An interest rate swap is a financial contract based on a
notional amount, whereby the buyer of the contract pays
a fixed interest based on the notional amount periodically
to the seller, and the seller of the contract pays a floating
rate interest based on the same notional amount
periodically to the buyer.
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Other Types of Derivatives
• Rights and Warrants: like call options allowing the holder
to buy stocks at a strike price.
• The Shares as a Call Option: shares have a limited
liability, hence it is like a call option.
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An Approach to Risk Management
• Identify the situations when the firm would make a loss—
quantify the loss.
• Find a hedging instrument that rewards when the lossmaking situations occur—quantify the rewards.
• Compute the satisfactory quantity of hedging instrument
to purchase.
• Purchase the satisfactory quantity of the hedging
instrument.
• Monitor the cash flows necessary to maintain the hedge.
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Why Derivatives are Good Hedging and
Speculating Instruments
• Good speculating instrument: built in leverage magnifies
investment risk and return.
• Good hedging instrument: built in leverage allows little
overhead cost to get into hedge position.
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Closing
• Perusahaan-perusahaan menghadapi berbagai risiko
setiap hari. Perusahaan-perusahaan sulit menjadi
sukses tanpa berani mengambil risiko karena ada tradeoff antara risk dan return.
• Tetapi ada tindakan yang dapat menurunkan risiko tanpa
menurunkan terlalu banyak return sehingga dapat
meningkatkan nilai. Salah satu alat untuk mengelola
risiko adalah pasar derivatif.
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