金融市场与金融机构基础(第2版)

书籍目录

Partl INTRODUCTION

Introduction

Financial Intermediaries

and Financial Innovation

The Role of the Government

in Financial Markets

Part 11 DEPOSITORY INSTITUTIONS

Chdpter 4 Depository Institutions: Activities

and Characteristics

Chapter 5 Central Banks and the Creation

of Money

Chapter 6 Monetary Policy

Part 111 NON-DEPOSITORY FINANCIAL

INTERMEDIARIES

Chapter 7 Insurance Companies

Chapter 8 Investment Companies

Chapter 9 Pension Funds

Part IV DETERMINANTS OF ASSET PRICES

AND INTEREST RATES

Properties and Pricing

of Financial Assets

The Level and Structure

of Interest Rates

The Term Structure

of Interest Rates

Risk/Rcturn and Asset

Pricing Models

Part V ORGANIZATION AND STRUCTURE

OF MARKETS

Chapter 14 Primary Markets and the

Underwriting of Securities

Secondary Markets

Part Vl MARKETS FOR GOVERNMENT

DEBT

Chapter 16 Treasury and Agency Securities

Markets

Chapter 17 Municipal Securities Markets

Part Vll MARKETS FOR CORPORATE

SECURITIES

Chapter 18 Common Stock Markets

in the United States

Chapter 19 Stock Markets around the World

Chapter 20 Markets for Corporate Senior

Instruments: 1

Chapter 21 Corporate Senior Instmments: 11

Chdpter 22 The Markets for Bank Obligations

Part Vlll MORTGAGE AND SECURITIZED

ASSET MARKETS

Chdpter 23 The Mortgage Market

Chdpter 24 Mortgage-Backed Securities

Market

Chdpter 25 Asset-Backed Securities Market

Part IX MARKETS FOR DERIVATIVE

SECURITIES

Chdpter 26

Chdpter 27

Chdpter 28

Chdpter 29

Chdpter 30

Chdpter31

Index

Financial Futures Markets

Options Markets

Pricing of Futures and Options

Contracts

The Applications of Futures

and Options Contracts

Interest Rate Swap and Interest Rate

Agreement Market

The Market for Foreign Exchange

Rate Risk Control Instruments

Preface xv

Acknowledgments xuiii

Biographical Sketches xx

Part 1 INTRODUCTION

Chapter 1 Introduction

Financial Assets

Debt versus Equity Claims 3 The Price of a Financial Asset and Risk 3 *

Financial Assets versus Tangible Assets 4 The Role of Financial Assets 4

Financial Markets

Role of Finandal Markets 6 CIassification of Financial Markets 6

Market Participants

Globalization of Financial Markets

Classification of Global Finandal Markets 9 Motivation for Using Foreign

Markets and Euromarkets

Derivative Markets

Types of Derivative Instruments 11 The Role of Derivative Instruments

Summary

Chapter 2 Financial Intermediaries and Financial Innovation

Financial Institutions

Role of Financial Intermediaries

Maturity Intermediation 20 Reducing Risk via Diversification 20 *

Reducing the Cost ofContracting and Information Processing 21 Providing

a Payments Mechanism

Overview of Asset/Liability Management for Financial Institutions

Nature of Liabilities 23 Liquidity Concerns 24 Regulations and Taxation

Financial Innovation

Categorizations of Financial Innovation 25 Motivation

for Financial Innovation

Asset Securitization as a Financial Innovation

Benefits to Issuers 28 Benefits to Investors 29 Benefits to Borrowers 29

Implications of Securitization for Financial Markets 29 Social Benefits 30

Summary

Chapter 3 The Role of the Govemment in Financial Markets

Purposes and Forms of Regulation

Justification for Regulation 35 An Introduction to Forms of Regulation 36

Regulation in the United States

Regulation in Japan

Regulation in Germany

Regulation in the United Kingdom

Regulatory Refonn

Summary

Part 11 DEPOSITORY INSTITUTIONS

Chapter 4 Depository Institutions: Activities and Characteristics

Asset/Liability Problem of Depository Institutions

Interest Rate Risk 54 Liquidity Concerns

Commercial Banks

Bank Services 61 Bank Funding 62 Regulation

�avings and Loan Associations

Assets 72 Funding 74 Regulation 74 The S&L Crisis

Savings Banks

Credit Unions

Summary

Chapter 5 Central Banks and the Creation of Money

The Central Bank and Money Creation in the United States

The Central Bank of the United States: The Federal Reserve System 85

Instruments of Monetary Policy: How the Fed Influences the Supply of Money 86

?Different Kinds of Money 89 Money and Monetary Aggregates 89 The Money

Multiplier: The Expansion of the Money Supply 91 The Impact of Interest Rates

on the Money Supply 93 The Money Supply Process in an Open Economy 94

The Central Banks of Other Countries

Germany 96 Japan 97 United Kingdom

Summary

Chapter 6 Monetary Policy

Monetary Policy in the United States

Goals of Monetary Policy 103 Trade-Offs and Conflicts among Polides 108

Goals and Types of Targets 108 Choosing the Operating Target 109 Choosing

the Intermediate Target 110 A Review of Recent Federal Reserve Policy

Goals and Targets of Monetary Policy in Other Economies

Germany l6 Japan 117United Kingdom

Summary

Part 111 NON-DEPOSITORY FINANCIAL INTERMEDIARIES

Chapter 7 Insurance Companies

Fundamental Characteristics of the Insurance Industry

Insurance Policy and Premiums 123 Surplus and Reserves 124 Determination

of Profits 124 Government Guarantees 125 Regulation 125

Life Insurance Companies

Liabilities and Liability Risk 127 Types of Policies 127 Investments

Property and Casualty Insurance Companies

Nature of the Liabilities 131 Investments

Financial Trends in the Intemational Insurance Industry

Bancassurance 133 Cross-Border Activities 134 Pension Funds

and Insurance Companies

Summary

Chapter 8 Investment Companies

Types of Investment Companies

Open-End Funds 140 Closed-End Funds 141 Unit Trusts 143

Structure and Expenses of a Fund

Types of Funds by Investment Objective

Economic Motivation for Funds

Regulation of Funds

Commercial Banks and Mutual Funds

The Concept of a Family of Funds

Industry Concentration

Mutual Funds in Other Economies

United Kingdom 151 �ermany I53 Japan 154

Summary

Chapter 9 Pension Funds

Introduction to Pension Plans

Types of Pension Plans

Defined Contribution Plan 161 Defined Benefit Plan 162 Hybrid

Pension Plans 162

Investments

Regulation

Managers of Pension Funds

Pension Funds in Other Countries

Germany 166United Kingdom 167 Japan 168

Summary

Appendix: Endowment Funds

Part IV DETERMINANTS OF ASSET PRICES AND INTEREST RATES

Chapter 10 Properties and Pricing of Financial Assets

Properties of Financial Assets

Moneyness 174 Divisibility and Denomination 174 Reversibility 174 Cash

Flow 175 Term to Maturity 176 Convertibility 176 Currency 176 Liquidity

177 Return Predictability 177 Complexity 178 Tax Status 179

Principles of Pricing Financial Assets

The Appropriate Discount Rate 180 Illustration 180 Price

and Asset Properties

Price Volatility of Financial Assets

The Effect of Maturity 184 The Effect of the Coupon Rate 184 The Effect of

the Level of Yields 186 Measuring Price Sensitivity to Interest Rate

Changes: Duration

Summary

Appendix: Review of Present Value

Chapter 11 The Level and Structure of Interest Rates

The Theory of Interest Rates

Fisher's Classical Approach 199 The Loanable Funds Theory 203

The Liquidity Preference Theory 204 Changes in the Money Supply

and Interest Rates

The Determinants of the Structure of Interest Rates

Features of a Bond 208 Yield on a Bond 209 The Base Interest Rate 212

The Risk Premium 212

Summary

Chapter 12 The Term Structure of Interest Rates

The Yield Curve and the Term Structure

Using the Yield Curve to Price a Bond 225 Constructing the Theoretical Spot

Rate Curve 226 Using Spot Rates to Value a Bond 229

Forward Rates

Other Forward Rates 233 Relationship between Spot Rates and Short-Term

Forward Rates 234 Forward Rate as a Hedgeable Rate 235

Determinants of the Shape of the Term Structure

The Pure Expectations Theory 236 The Liquidity Theory 239 The Preferred

Habitat Theory 240 Market Segmentation Theory 241

Summary

Chapter 13 Risk/Return and Asset Pricing Models

Portfolio Theory

Investment Return 247 Portfolio Risk 249 Diversification 252 The Risk

of Individual Securities 254 Estimating Beta 257

The Capital Asset Pricing Model

L'nderlying Assumptions 260 Tests of the Capital Asset Pricing Model 261

Multifactor CAPM 263

Arbitrage Pricing Theory Model

Empirical Evidence 265

Summary

Part V ORGANIZATION AND STRUCTURE OF MARKETS

Chapter 14 Primary Markets and the Underwriting of Securities

The Traditional Process for Issuing New Securities

Investment Bankers

Regulation of the Primary Market

Variations in the Underwriting Process

Bought Deal 277 Auction Process 278 Preemptive Rights Offering 280

Private Placement of Securities

Rule 144A 283

Summary

Chapter 15 Secondary Markets

Function of Secondary Markets

Trading Locations

Market Structures

Perfect Markets

Role of Brokers and Dealers in Real Markets

Brokers 293 Dealers as Market Makers 293

Market Efficiency

Operational Efficiency 295 Pricing Efficiency 296

Summary

Part Vl MARKETS FOR GOVERNMENT DEBT

Chapter 16 Treasury and Agency Securities Markets

Treasury Securities

Types of Treasury Securities 301 The Primary Market 302 The Secondary

Market 306 Stripped Treasury Securities 311 Coupon Stripping

and the Theoretical Value of Treasury Securities 313

Federal Agency Securities

Government-Sponsored Enterprise Securities 316

A Look at Non-U.S. Government Bond Markets

Summary

Chapter 17 Municipal Securities Markets

Types and Features of Municipal Securities

General Obligation Bonds 326 Revenue Bonds 327 Hybrid and Special Bond

Securities 327 Municipal Notes 328 Redemption Features 329

Municipal Bond Ratings

Tax Risks Associated with Investing in Municipal Securities

The Primary Market

The Secondary Market

Yields on Municipal Bonds

Regulation of the Municipal Securities Market

Summary

Part Vll MARKETS FOR CORPORATE SECURITIES

Chapter 18 Common Stock Markets in the United States

Characteristics of Common Stock

Trading Locations

Stock Exchanges 340 Over-the-Counter Market 341 Independent Electronic

Trading Systems 341 Trading Mechanics 342 Short-Selling 344 Margin

Transactions 345 Transactions Costs 346 Role of Dealers in Exchanges

and OTC Markets 347 The National Market System 348 The SEC's Look

into the Future: Market 2000 349

Trading Arrangements for Institutional Investors

Block Trades 351 Program Trades 352

Stock Market Indicators

Pricing Efficiency of the Stock Market

Forms of Efficiency 356 Implications for Investing in Common Stock 357

The Stock Market Crash of 1987

Summary

Chapter 19 Stock Markets around the World

National Stock Markets

Multiple Listings on National Markets 366 Global Diversification: Correlation

of World Equity Markets 370 Ownership and Control of National Stock

Markets 371 Trading Procedures and Computerization 374 Dealers in Major

Markets 375 Stock Market Indexes 376

Euroequity Issues

Global Depository Receipts

Summary

Chapter 20 Markets for Corporate Senior Instruments: 1

Credit Risk and the Role of Rating Companies

Commercial Paper

Issuers of Commercial Paper 388 Directly Placed versus Dealer-Placed

Paper 389 Non-U.S. Commercial Paper Markets 390

Medium-Term Notes

Size of Market and Issuers 391 The Primary Market 392

Structured MTNs 394

Euronotes

Bank Loans

Syndicated Bank Loans 396 Lease Finandng 397

Summary

Chapter 21 Corporate Senior Instruments: 11

Corporate Bonds

Basic Features of a Corporate Bond Issue 402 Bonds with Special Features 405

Corporate Bond Credit Ratings 407 High-Yield Sector 410 Secondary

Market 413 * Eurobond Market 413

Preferred Stock 415

Adjustable-Rate Preferred Stock 416 Auction and Remarketed

PTefeTredStock417

Bankruptcy and Creditor Rights

Summary

Chapter 22 The Markets for Bank Obligations

Types of Banks Operating in the United States

Large-Denomination Negotiable CDs

CD Issuers 425 Yields on CDs 426

Federal Funds

Federal Funds Rate 428 Market for Federal Funds

Bankers Acceptances

Illustration of the Creation of a Bankers Acceptance 430 Accepting Banks 431

Dealers 431 * Credit Risk 432

Summary

Part Vlll MORTGAGE AND SECURITIZED ASSET MARKETS

Chapter 23 The Mortgage Market

What Is a Mortgage?

Mortgage Origination

The Mortgage Origination Process 437 The Risks Associated

with Mortgage Origination

Types of Mortgage Design

Fixed-Rate, Level-Payment, Fully Amortized Mortgages 441 Adjustable-Rate

Mortgages 444 Other Mortgage Designs

Investment Risks

Credit Risk 450 Liquidity Risk 450 Price Risk 450 Prepayments and Cash

Flow Uncertainty 450

Summary

Chapter 24 Mortgage-Backed Securities Market

Development of the Secondary Mortgage Market

Foundations of the Mortgage Market 455 Securitization of Mortgages

Mortgage Pass-Through Securities

Cash Flow Characteristics 457 Issuers of Mortgage Pass-Through Securities

457 Government National Mortgage Association 459 Federal Home Loan

Mortgage Corporation 459 FederarNational Mortgage Association 460

Nonagency Pass-Through Securities 460 Prepayment Risks Associated with

Pass-Through Securities 463 Prepayment Conventions 465 Average Life 471

Collateralized Mortgage Obligations

Sequential-Pay CMOs 473 Accrual Bonds 478 Planned Amortization

Class Tranches 479

Stripped Mortgage-Backed Securities

Yields on Mortgage-Backed Securities

Summary

Chapter 25 Asset-Backed Securities Market

Asset-Backed Securities Issuance

Cash Flow of Asset-Backed Securities

Automobile-Loan-Backed Securities 493 Credit Card Receivable Asset-Backed

Securities 493 Home Equity Loan-Backed Securities 494 Manufactured-

Housing-Backed Securities 495

Credit Risk

Summary

Part IX MARKETS FOR DERIVATIVE SECURITIES

Chapter 26 Financial Futures Markets

Futures Contracts

Liquidating a Position 501 The Role of the Clearinghouse 502 Margin

Requirements 502 Leveraging Aspects of Futures 504 Market Structure 505

Daily Price Limits 506

Futures versus Forward Contracts

The Role of Futures in Financial Markets

U.S. Financial Futures Markets

Stock Index Futures Markets 509 Interest Rate Futures Markets 510

The GAO Study on Financial Derivatives

Financial Futures Markets in Other Countries

Japanese Stock Index Futures 516 Japanese Interest Rate Futures 516

Forward Rate Agreements

Summary

Chapter 27 Options Markets

Options Contracts

Differences between Options and Futures Contracts

Risk and Retum Characteristics of Options

Buying Call Options 527 Writing (Selling) Call Options 530 * Buying Put

Options 531 Writing (Selling) Put Options 534 Considering the Time Value

of Money 534

Economic Role of the Option Markets

U.S. Options Markets

Stock Options 537 Stock Index Options 539 * Interest Rate Options 542

Exotic Options

Options Markets Outside the United States

Futures Options

Mechanics of Trading Futures Options 544 Reasons for Popularity

of Futures Options 546

Summary

Chapter 28 Pricing of Futures and Options Contracts

Pricing of Futures Contracts 551

Theoretical Futures Price Based on Arbitrage Model 553 Price Convergence

at the Delivery Date 556 A Closer Look at the Theoretical Futures Price 556

Pricing of Options

Basic Components of the Option Price 559 Put-Call Parity Relationship 560

Factors That Influence the Option Price 562 * Option Pridrtg Models 563 Deriving

the Binomial Option Pridng Model 564 * Fixed-Income Option Pricing Models 568

Summary

Chapter 29 The Applications of Futures and Options Contracts

Applications of Futures Contracts

Stock Index Futures 575 *Interest Rate Futures 578

Applications of Options Contracts

Stock Options and Stock Index Options 580 * Interest Rate Options 581

Summary

Appendix: General Principles of Hedging with Futures

Chapter 30 Interest Rate Swap and Interest Rate Agreement Market

Interest Rate Swaps

Risk/Return Characteristics of a Swap 591 * Interpreting a Swap Position 592 *

Applications 595 Reasons for the Development of the Interest Rate Swap

Market 600 Role of the Intermediary 603 Market Quotes 604 Primary

Determinants of Swap Spreads 605 Secondary Market for Swaps 606 Beyond

the Plain Vanilla Swap 607 Interest RateEquity Swaps 608

Interest Rate Agreements

Risk/Return Characteristics 610 * Applications 612

Summary

Chapter 31 The Market for Foreign Exchange Rate Risk

Control Instruments

Foreign Exchange Rates

Exchange Rate Quotation Conventions 618 Foreign Exchange Risk 620

Spot Market

Cross Rates 622 Dealers 622 The European Currency Unit 623

Instruments for Hedging Foreign Exchange Risk

Currency Forward Contracts 624 Currency Future Contracts 630 Currency

Option Contracts 630 Currency Swaps 631

Summary

Index

作者简介

在过去30年间，金融业发生了翻天覆地的变化，其标志是创新、全球化和放松管制。作者写作本书的目的就是帮助学生了解金融业的巨大变化。和其他教科书相比，本书有其自身的特点：一是取材广泛，从机构到市场、工具，如资产的证券化、抵押市场等等，这些是其他教材没有或不够深入的。二是内容全面、资料新，给学生大量的信息和分析工具，并且详细描绘了一些大型市场与机构的运行、结构和规章制度，使学生能够学会分析金融业的某些全

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