《金融期货与期权》（英文版） Chapter 30 HullOFOD5Ebw

30.1 Derivatives Mishaps and what we can Learn from Them Chapter 30 Options, Futures, and other Derivatives, 5th edition 2002 by John C. Hull

Options, Futures, and Other Derivatives, 5th edition © 2002 by John C. Hull 30.1 Derivatives Mishaps and What We Can Learn from Them Chapter 30

30.2 Big losses by Financial Institutions Alied Irish Bank($700 million) Barings($1 billion) Chemical Bank($33 million) Daiwa($1 billion) Kidder Peabody($350 million) LTCM ($4 billion Midland Bank($500 million) National Bank($130 million) Sumitomo($2 billion) Options, Futures, and other Derivatives, 5th edition 2002 by John C. Hull

Options, Futures, and Other Derivatives, 5th edition © 2002 by John C. Hull 30.2 Big Losses by Financial Institutions • Allied Irish Bank ($700 million) • Barings ($1 billion) • Chemical Bank ($33 million) • Daiwa ($1 billion) • Kidder Peabody ($350 million) • LTCM ($4 billion) • Midland Bank ($500 million) • National Bank ($130 million) • Sumitomo ($2 billion)

Big Losses by Non-Financiar 303 Corporations Allied 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) °Shel($1 billion) Options, Futures, and other Derivatives, 5th edition 2002 by John C. Hull

Options, Futures, and Other Derivatives, 5th edition © 2002 by John C. Hull 30.3 Big Losses by Non-Financial Corporations • Allied 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)

30.4 Lessons for all users of Derivatives Risk must be quantified and risk limits set EXceeding risk limits not acceptable even when profits result Do not assume assume that a trader with a good track record will always be right Be diversified Scenario analysis and stress testing is important Options, Futures, and other Derivatives, 5th edition 2002 by John C. Hull

Options, Futures, and Other Derivatives, 5th edition © 2002 by John C. Hull 30.4 Lessons for All Users of Derivatives • Risk must be quantified and risk limits set • Exceeding risk limits not acceptable even when profits result • Do not assume assume that a trader with a good track record will always be right • Be diversified • Scenario analysis and stress testing is important

Lessons for financial 30.5 Institutions Do not give too much independence to star traders Separate the front middle and back office Models can be wrong Be conservative in recognizing inception profits Do not sell clients inappropriate products Liquidity risk is important There are dangers when many are following the same strategy Options, Futures, and other Derivatives, 5th edition 2002 by John C. Hull

Options, Futures, and Other Derivatives, 5th edition © 2002 by John C. Hull Lessons for Financial 30.5 Institutions • Do not give too much independence to star traders • Separate the front middle and back office • Models can be wrong • Be conservative in recognizing inception profits • Do not sell clients inappropriate products • Liquidity risk is important • There are dangers when many are following the same strategy

30.6 Lessons for non-financial Corporations It is important to fully understand the products you trade Beware of hedgers becoming speculators It can be dangerous to make the Treasurer's department a profit center Options, Futures, and other Derivatives, 5th edition 2002 by John C. Hull

Options, Futures, and Other Derivatives, 5th edition © 2002 by John C. Hull 30.6 Lessons for Non-Financial Corporations • It is important to fully understand the products you trade • Beware of hedgers becoming speculators • It can be dangerous to make the Treasurer’s department a profit center