Thesis (M.Phil.)--Hong Kong University of Science and Technology, 2007. / Includes bibliographical references (leaves 62). Also available in electronic version.

by Hui Chi Hang and Wong Wai Ming. / Thesis (M.B.A.)--Chinese University of Hong Kong, 1997. / Includes bibliographical references (leaves 89-92). / ABSTRACT --- p.iv / TABLE OF CONTENT --- p.v / Chapter Page / Chapter PART I : --- Interest Rate Swap --- p.1 / Chapter 1. --- INTRODUCTION AND HISTORY OF SWAP --- p.2 / Chapter 2. --- INTRODUCTION TO INTEREST RATE SWAP --- p.6 / Chapter 3. --- ECONOMICS AND PRICING OF INTEREST RATE SWAP --- p.8 / "Exhibit I - Example 1,2 & 3" --- p.19 / Chapter 4. --- APPLICATION OF INTEREST RATE SWAP --- p.25 / Chapter PART II: --- Currency Swap --- p.27 / Chapter 5. --- INTRODUCTION TO CURRENCY SWAP --- p.28 / Chapter 6. --- ECONOMICS AND PRICING OF CURRENCY SWAP AND LTFX CONTRACTS --- p.30 / Exhibit II - Example 4 --- p.38 / Chapter Part III : --- Implication of Swap in Major Markets --- p.41 / Chapter 7. --- MAJOR SWAP MARKETS --- p.42 / Chapter 8. --- THE HONG KONG SWAP MARKET --- p.49 / Chapter Part IV : --- Risks and Control in Swaps --- p.53 / Chapter 9. --- COMMON RISKS AND CONTROL IN SWAPS --- p.54 / Appendix --- p.60 / Chapter I. --- INTRODUCTION TO OTHER MAJOR SWAPS --- p.61 / Chapter II. --- USER GUIDE FOR USING THE DISKETTE FOR PRICING OF SWAPS --- p.71 / Chapter III. --- QUESTIONNAIRE FOR INTERVIEWS --- p.79 / Chapter IV. --- BRIEF REPORT ON INTERVIEWS --- p.81 / Bibliography --- p.89 / Exhibit I - Example 1 --- p.93 / Exhibit I - Example 2 --- p.94 / Exhibit I - Example 3 --- p.95 / Exhibit II - Example 4 --- p.96 / "Diskette for SWAP. XLS for pricing of interest rate swap, and LTFX contracts" --- p.97

The thesis is presents in detail selected financial derivatives, including interest and currency swaps and other appropriate tools to hedge against interest rate and currency risk. It also shows the accounting and valuation procedures and also leads to the classification of risks associated with the selected instruments. Interpretation and analysis are focused on the economic environment in the Czech Republic and is based on the conventions of the local capital market. Theoretical aspects apply a simple model of interest-sensitive portfolios and examine the effectiveness and validity of two basic methods of quantification and risk management - duration and gap analysis. The aim is to demonstrate the importance of the use of derivatives in risk management in the domestic banking system and to identify strengths and weaknesses in the whole process of applying the two compared methods.

by Choi Ming Yee, Fung Lai Shun, So Wai Ching. / Thesis (M.B.A.)--Chinese University of Hong Kong, 1996. / Includes bibliographical references (leaves 87-91). / ABSTRACT --- p.ii / TABLE OF CONTENTS --- p.iii / LIST OF FIGURES --- p.v / LIST OF TABLES --- p.vi / LIST OF ABBREVIATIONS --- p.vii / Chapter / Chapter I. --- INTRODUCTION --- p.1 / Chapter II. --- PERSPECTIVES OF INTEREST RATE --- p.3 / Interest Rate and Capital Market --- p.3 / Trade-off between Current and Future Consumption --- p.3 / An Economy without Exchange --- p.4 / An Economy with Capital Market --- p.5 / Determinants of Interest Rate --- p.7 / Credit Considerations --- p.8 / Term Structure --- p.9 / Loanable Funds --- p.11 / Interest Rate Risk --- p.11 / Interest Rate Volatility --- p.15 / Chapter III. --- DEVELOPMENT OF INTEREST RATE DERIVATIVES --- p.20 / The Emergence of Derivatives Markets --- p.20 / Interest Rate Derivatives Market --- p.23 / Interest Rate Futures --- p.24 / Interest Options --- p.25 / Interest Rate Swaps --- p.27 / Forward Rote Agreements (FRAs) --- p.29 / Chapter IV. --- MACROECONOMIC DEVELOPMENT IN ASIA PACIFIC REGION --- p.31 / Chapter V. --- MOTIVATION FOR FINANCIAL LIBERALIZATION --- p.33 / Limitations in Old Systems --- p.33 / Interest Rate Ceilings --- p.33 / Exchange Controls --- p.34 / Portfolio Selection and Credit Rationing --- p.35 / Taxes and Reserve Requirement --- p.37 / Advantage of Liberalization --- p.38 / Chapter VI. --- ECONOMIC VOLATILITY --- p.41 / Capital Mobility and International Integration --- p.41 / Monetary Policy --- p.45 / Chapter VII. --- THE DEMAND AND SUPPLY OF INTEREST RATE DERIVATIVES --- p.48 / Can Hedging Add Value to the Company? --- p.49 / Can Hedging Alter the Discount Rate of a Company? --- p.49 / Chapter VIII. --- THE ASIAN MARKET --- p.58 / New Derivatives Exchanges --- p.61 / Chapter IX. --- FORCES DRIVING DERIVATIVES GROWTH --- p.63 / Sustained Shifts in Volatility --- p.64 / The Demand for New Ways to Transfer Interest Rate Risk --- p.66 / The Demand for Liquidity --- p.69 / Chapter X. --- THE FUTURE --- p.81 / APPENDIX --- p.86 / BIBLIOGRAPHY --- p.87

<p>In 2005, all groups listed on European stock exchanges are required to prepare their consolidated financial statements according to International Financial Reporting Standards (IFRS). IFRS are different from local regulations across Europe in many aspects, and observers expect the transition process thorny and resource-draining for the companies that undertake it.</p><p>The study explores transition difficulties by Swedish bank groups on the way of implementing IAS 39, Financial Instruments: Recognition and Measurement. Deemed the most controversial and challenging standard for adoption by the financial sector, it indeed poses new demandson classification, recognition and measurment of financial instruments, and sets out new hedge accounting rules, previously unseen in Swedish practice. Additionaly, the structure of bank's balance sheets makes IAS 39 also the central one among all other standards in terms of numbers of balance sheet items it impacts.</p><p>The study uses qualitative method to explore whether transition to IAS 39 is likely to improve transparency in reporting derivatives. Focus is on use of interest rate swaps as hedging instruments in mitigation of interest rate risk.</p><p>It is concluded that differences between two reporting frameworks have been well understood by the banks early in the implementation process. A negative feature of the standard is increased volatility in earnings as a result of more wide-spread reliance on fair value measurement method. This accounting volatility impedes comparability of performance results, as well as conceals true efficiency of economic hedge relationships. To some degree, the volatility can be minimized by the application of hedge accounting. However, a bank must methodically follow a set of rigourous if hegde accounting is to be adopted. Fair value is a more straightforward alternative to hedge accounting , but it brings in additional concerns, and has not yet been endorsed in the EU.</p><p>It is additionally argued that recognition of all derivatives on BS and measurement at fair value are two important features of IAS 39 that indeed increases reporting transparency by minimizing risk of undisclosed hidden losses.</p>

In 2005, all groups listed on European stock exchanges are required to prepare their consolidated financial statements according to International Financial Reporting Standards (IFRS). IFRS are different from local regulations across Europe in many aspects, and observers expect the transition process thorny and resource-draining for the companies that undertake it. The study explores transition difficulties by Swedish bank groups on the way of implementing IAS 39, Financial Instruments: Recognition and Measurement. Deemed the most controversial and challenging standard for adoption by the financial sector, it indeed poses new demandson classification, recognition and measurment of financial instruments, and sets out new hedge accounting rules, previously unseen in Swedish practice. Additionaly, the structure of bank's balance sheets makes IAS 39 also the central one among all other standards in terms of numbers of balance sheet items it impacts. The study uses qualitative method to explore whether transition to IAS 39 is likely to improve transparency in reporting derivatives. Focus is on use of interest rate swaps as hedging instruments in mitigation of interest rate risk. It is concluded that differences between two reporting frameworks have been well understood by the banks early in the implementation process. A negative feature of the standard is increased volatility in earnings as a result of more wide-spread reliance on fair value measurement method. This accounting volatility impedes comparability of performance results, as well as conceals true efficiency of economic hedge relationships. To some degree, the volatility can be minimized by the application of hedge accounting. However, a bank must methodically follow a set of rigourous if hegde accounting is to be adopted. Fair value is a more straightforward alternative to hedge accounting , but it brings in additional concerns, and has not yet been endorsed in the EU. It is additionally argued that recognition of all derivatives on BS and measurement at fair value are two important features of IAS 39 that indeed increases reporting transparency by minimizing risk of undisclosed hidden losses.

No description available.

No description available.

The purpose of this research is to identify common characteristics of commercial banks that are likely to engage in large dollar volumes of OBS financial instruments. Four financial instruments examined are standby letters of credit, letters of credit, interest rate swaps, and loan sales.

差額互換是一種能提供投資人在不直接引起匯率風險的情況下，參與他國貨幣市場，以增加投資收益及降低資金成本的新金融商品。依照支付與計價貨幣的不同，可分為以本國貨幣、外國貨幣以及第三國貨幣為支付與計價貨幣三種不同的型態。由於Wei(1994)、唐英傑(1997)的定價模型僅評價出上述前兩種型態的差額互換，本研究的主要目的即為延續Wei(1994)的定價方法，評價出最一般化的差額互換，即本國與外國利率交換而以第三國貨幣為支付貨幣的差額互換，並且證明上述的兩種差額互換為此一般化差額互換的特例。三種差額互換詳細的評價過程均附於附錄，提供有興趣的讀者參考。 評價方法主要是分別計算本國與外國的現金流量，再以本國與外國的期望值折現到目前的時點，同時透過匯率效果將外國的期望值轉換為本國的期望值，於是可將每期所支付利息的現值整理為各國零息債券價格與相關參數的組合。 最後分別針對三種差額互換的評價結果與避險比率從事敏感度分析，以及嘗試由模擬數據探討評價與利差、到期日以及相關係數的關聯性，由模擬數據分析顯示以下結果： 1.利率隨機過程的風險市價並未直接出現在公式中，而隱含在各國的零息債券中。 2.國內的利率風險對差額互換的評價影響程度較國外大。 3.利率風險相較於匯率風險對評價影響更劇烈。 4.差額互換的評價中，利率與匯率的相關性風險比利率間的相關性風險所佔的份量更為吃重。 5.匯率主要是透過利率與匯率的相關係數來影響差額互換的評價。 6.差額互換的到期日越長，目前市場上的利差對評價的影響越小，尤其是以第三國貨幣為支付貨幣的差額互換。 7.契約訂定升水的絕對值會小於目前的利差的情況，僅在以本國貨幣為支付貨幣的差額互換發生，而其餘兩種差額互換則因被匯率風險所干擾，而無法直接從模擬數據中看出契約訂定升水能否反映兩國利率期間結構的相對性。 8.利率與匯率的相關性風險對差額互換評價的影響效果最明顯，其次為匯率間的相關性風險，利率間的相關性風險則居最末位。 此篇論文主要探討一般化的差額互換評價與避險，以及變數對差額互換評價與避險的影響。透過模擬數據的整理與分析，能讓我們對該新金融商品的特性與所面臨風險有更進一步的了解，以期在從事該商品的交易與操作更能得心應手。 第一章 緒論…………………………………………………………………1 第一節 研究動機與研究目的………………………………………………1 第二節 研究方法與研究架構………………………………………………2 第二章 差額互換概述………………………………………………………4 第一節 差額互換簡介………………………………………………………4 第二節 差額互換的產生動機………………………………………………6 第三節 差額互換的應用……………………………………………………8 第四節 差額互換的風險…………………………………………………14 第三章 文獻回顧……………………………………………………………16 第四章 理論模型與評價……………………………………………………18 第一節 理論模型假設……………………………………………………18 第二節 差額互換評價……………………………………………………19 第五章 差額互換避……………………………………………………27 第六章 模擬與相關問題探討………………………………………………32 第一節 參數變動對差額互換評價的敏感度分析………………………32 第二節 敏感度分析模擬總結……………………………………………35 第三節 問題探討…………………………………………………………36 第四節 避險比率相關模擬………………………………………………39 第七章 結論…………………………………………………………………40 附錄A…………………………………………………………………………41 附錄B…………………………………………………………………………44 附錄C…………………………………………………………………………50 附錄D…………………………………………………………………………57 附錄E…………………………………………………………………………65 附錄F…………………………………………………………………………67 附錄G…………………………………………………………………………69 附錄H…………………………………………………………………………75 參考書目與文獻……………………………………………………………100