A derivative is a financial instrument whose value depends on other, more basic, underlying variables.
Contracts to buy or sell an asset on or before a future date at a price specified today.
Contracts that give the owner the right, but not the obligation, to buy or sell an asset.
Contracts to exchange cash on or before a specified future date based on the underlying value of currenc
II. What Are Credit Derivatives?
Derivatives are defined as the exchange or contract which has economic values deriving from the reference assets or index. According to their types, there are overall forward, future, option, and swap. Derivatives are the financial derivatives, which are enabled to trade in the market while consisting of separating the credit risk only to the holder of basic p
contract.
Useful to hedge default risks
A more efficient way of risk management
Raise capitals by purchasing the insurance
Can diversify their portfolios
The leverage effect and the chance to participate in market; most of credit derivatives do not require real capital investment
★Benefits
* Reduction in systemic counterpart
Ⅰ. 기업리스크관리(기업위험관리)
1. 파생상품(Derivatives)이란
-파생상품이란 기초자산(underlying asset)의 가격에 의해 그 가치가 결정되는 계약으로서 계약의 형태에 의해 선도형, 옵션형, 합성형으로 분류된다.
1) 선도형 파생상품
-선도계약(forward contracts): 미래의 일정 시점에 사전에 약정한 가
확률 보행 & Brownian Motion
Ito’s process
dx = a(x,t)dt+b(x,t)dz
Generalized Weiner process
dx = adt+bdz
Brownian motion
ds/s = μdt+σdz
랜덤워크의 시간의 간격이 매우 작다면 이는Brownian Motion에 가깝게 된다.
The Stock Price Assumption
주식의 가격을 S
매우 짧은 시간의 간격을 Dt 라 하자.
주식의 기대수익률