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1、Chapter9Derivatives:Futures,Options,and?SwapsLearningObjectivesUnderstand...LO1HowderivativestransferriskLO2ForwardversusfuturescontractsLO3OptionsandtheirpricingLO4TheuseandabuseofswapsDerivativesplayedacentralroleinthefinancialcrisisof2007–2009.Oneofth
2、ekeyeventsduringthecrisiswasthefallofAIG,theworld’slargestinsurancecompany.Throughtheuseofderivativescontracts,AIGhadtakenenormousrisksthatitwasabletoconcealfromtheviewbothofgovernmentofficialsanditstradingpartners.Eachcontractwasarrangedoverthecounter(O
3、TC)—thatis,directlybetweenAIGandasinglecounterparty—ratherthanthroughanorganizedexchange.Inthecrisis,thesehiddenrisksthreatenedtheentirefinancialsystem.Leadinguptothecrisis,thetightbutlargelyunseenlinksthatOTCderivativescre-atedamongthelargest,mostimport
4、antglobalfinancialinstitutionsmadetheentiresystemvulnerabletotheweakestofthoseinstitutions.PartlyasaresultofthesystemicvulnerabilitiesposedbyOTCderivatives,phraseslike“toointerconnectedtofail”and“toobigtofail”fillednewspapersandthemedia(seeChapter5,Lesso
5、nsfromtheCrisis:SystemicRisk).WarrenBuffett,thefamedinvestor,calledderivatives“weap-onsoffinancialmassdestruction.”Evenintheyearsbeforethefinancialcrisis,storiesdetailingtheabuseofderivativesfilledthepagesofthebusinesspress.Derivativeswereatthebottomofth
6、escandalthatengulfedEnronimmediatelyafteritdeclaredbankruptcyinNovember2001.Aswehavelearnedsincethen,Enronengagedinavarietyoffinancialtransactionswhoseexpresspur-posewastogivetheappearanceoflowdebt,lowrisk,andhighprofitability.Thissleightofhandkeptthesto
7、ckpricehighandmadeshareholdershappy,sonoonecomplained.Infact,nooneevenlooked.Buteventuallythedayofreckoningcame,andthecompanycollapsed.FinancialderivativeswerealsolinkedtothecollapseofLong-TermCapitalMan-agement(LTCM),aConnecticut-basedhedgefund,infall19
8、98.OnasingledayinAu-gust1998,LTCMlostanastounding$553million.BylateSeptember,thefundhadlostanother$2billion.ThatleftLTCMwithmorethan$99billionindebtand$100billioninassets.Withloansaccountingfor99percentoftotalassets,repaym
