First, let's look at what finance is. Finance is a financial intermediary, referred to as finance. In fact, this understanding is very narrow now, and finance can be divided into monetary economics and financial economics according to the definition.
. Financial economics is actually new finance. Financial economics is a decision-making science that studies the optimal allocation of assets along the two dimensions of time and space under uncertain conditions, so it is very microscopic and belongs to the category of management abroad. Simply put, this is about the economics of time and risk. So for time economics, as we all know, it is mainly to study interest rate-the value of money in time. Therefore, we study the determination of interest rate level and the term structure of interest rate. With these two things, we can now
The golden flow is freely transformed between different time points along the time axis. With the immediate term structure, we can have a forward term structure.
We can compare all cash flows in the time dimension. Otherwise, today's 100 yuan is the same as before and after 100 years.
We simply can't measure the difference between 100 yuan. The other is risk economics, which involves risk identification and risk management.
Risk management and risk pricing, if the risk can be measured, the risk value can be transformed into a deterministic value. this is
This is the time dimension. Then spatial latitude is the allocation of assets in space. The risk value of various assets is different, so if it is not converted,
Can't compare. So after the pricing is finished, it will be converted into deterministic equivalence. Everything is transformed into deterministic equivalence.
Then it is equivalent to two coordinate axes, a time axis and a space axis, and then you can compare the intersection points along different axes.
In contrast, take the intersection as the center.
What is the difference between finance and economics? Our domestic finance is under the subject of economics, but there is a big difference between the two.
Difference. Everyone knows that the most important thing in economics is general equilibrium analysis, and then refinement is supply and demand analysis. Our microscopic classics
Everyone has studied economics. The first chapter is the consumer behavior theory, which deduces the consumer function under various decisions, and finally depends on the manufacturer.
Theoretically, the supply function is derived, and the supply demand determines the quantity of equilibrium price. When it comes to the market, we are talking about perfect competition.
In order to compete for the market, individual demand curve and supply curve are the same. The supply curve of a perfectly competitive market is flat, but it is complete.
Body, the total supply demand must be such two lines. But in our finance, we also use the general equilibrium method, and we
There are also general equilibrium models, but we seldom use supply and demand analysis in the financial field. What are you doing in a futures company,
Have you seen the supply and demand analysis method of option and swap pricing time? No, why? This is a major feature of financial analysis.
. Who provides financial products? If you don't think of financial institutions when you answer, it's wrong, financial machines.
Structure is just an intermediary. Who are the demanders? Such as enterprises. In fact, in the financial market, any enterprise is both.
The demander is the supplier. As a perfect financial market, you can buy and sell. Arbitrage itself is a business.
Combination. In fact, everyone is a supplier and demander of financial markets. Moreover, there is no industry for product homogenization.
Similar to the gender of financial markets. Our products look different. This is a five-year deposit, this is a 1 year deposit, and this is
Foreign exchange, this is stock and this is bond. The names all sound different. But the essence is the same. What is this? "three
Sex, profitability, liquidity and security. On the surface, everything is different, but in the end it's all these three things. therefore
The biggest feature of financial market and financial industry is the homogeneity of finance. This determines that the products are fully competitive in supply,
Demand is also completely reversible and completely replaceable. This leads to a supply-demand curve in a fully developed market.
This line will be two horizontal lines, not a curve in economics. Therefore, the financial market equilibrium is only when the two horizontal lines overlap.
Waiting will be balanced. Once these two curves leave, the price is wrong, and once the price deviates, arbitrage will occur.
Arbitrage quickly overlapped the two curves. Therefore, there is only an equilibrium line in finance, and there is no equilibrium point. Financial balance is meaningless.
What's the point? Futures contracts, options contracts, swap contracts, as long as you sign one with yourself, you can have as many as you want.
I am both a bull and a bear. If there is no transaction cost, I can have as much as I want. So it doesn't make sense, because I
I bought and sold it myself, and then I was responsible for my own profits and losses. So such a unique nature leads to supply and demand in finance.
Method is rarely used. But it is still useful in our money banking business, for example, the determination of interest rate level may use this east
The west, but it is used so much in western economics that many things in economics are not used. General average
We also use it in finance. Generally speaking, as scholars, we say that the decision-making behavior of consumption and investment must find out his goal letter.
Number, give us constraints, and finally we will choose consumption and investment under constraints. How to choose in investment,
Finally, it also comes according to the general equilibrium. But if we divide it further, it will be different from our economic analysis method.
Yes Therefore, the arbitrage-free analysis method has finally been found in finance. Because everyone can take advantage of the relationship between supply and demand, so
Therefore, the power to maintain market equilibrium depends on arbitrage. Arbitrage analysis is so important and practical in finance,
Therefore, financial scholars can proudly claim that as long as we do things according to the theory, they are right. In Beijing
In economics, reality may not match, and if it doesn't, I'm wrong. But in the financial field, as long as your calculations are correct, and
Reality doesn't suit you, then you can confidently say that I am right and the market is wrong. If you use something without arbitrage,
If the tax deduction and cost do not meet the requirements, a certain error is allowed. If it doesn't meet the requirements, the market will give you an arbitrage machine.
Yes, I'll give you a free chance. Arbitrage means that it is possible to make a profit without spending money or taking risks, and it is impossible to lose money.
Sampling inspection results. So when you find that the market has a problem with you, you should check it carefully. As long as you don't miscalculate, you will always be.
That's right. If the market can sell short, a person's behavior can lead to prices and theoretical models in the market until
Match until there is no arbitrage opportunity.
Then talk about the difference between finance and accounting. There are many accounting methods, which are generally recorded according to historical cost.
Account. How much did you spend on this thing? For example, if I put 1 10,000 in the bank, I will lose 1 10,000 in accounting.
The deposit in the bank has been increased by 1 10,000. Before the maturity, the deposit in the account was 1 10,000. When it is due, the principal and interest will be returned and recovered, and it will become me.
Income. But this is not the way we look at finance. If you deposit it today, even if there is no transaction, the value will change every day.
If the interest rate is high, the value will drop, and if the interest rate is low, the value will go up immediately. So accounting is more based on history.
Looking at accounting from a new perspective, let's look at it from a future perspective. In the accountant's view, as long as you take it back before you start work, we are responsible.
Most of the expenses are for making money, regardless of the opportunity cost, but as long as the bank pays me back at maturity, I will definitely not be less than 654.38+0 million, but
But financially, it will lose money tomorrow, so the financial concern is the future value. What it cares about is very different from accounting. In progress
In financial economics, no arbitrage is more relative pricing, while other disciplines are more absolute pricing. Like stocks,
Traditional economics thinks it is very simple. Stock is the future cash flow to be predicted and then discounted. How to discount?
Is it a risk-free interest rate? You can't. The most basic principle of finance is to discount a cash flow, which has many risks.
It is necessary to use the discount rate suitable for it to discount. This theory was accepted by Marx and other western scholars.
It is often perfect, but it is useless to use it. Why is it useless? First, let you predict the cash flow next year.
The cash flow in the following year is ok, but it is difficult in the following year. After five years, the cash flow is uncertain. So cash
No one can predict the traffic. In addition to the discount rate, it is easy to say that the discount rate should be suitable for it, but it should be
Exactly how much is it, so western scholars have been using CAPM for decades, and there is still a great debate. What is the expected return of the US stock market?
No one knows what the ratio is. These two factors make the absolute pricing method not very easy to use. But the relative pricing method is different.
Well, it's not a matter of absolute value at all. I only care about our position. We are now on the earth together at a very fast speed.
Flying in the universe, but our relative position remains the same now. In other words, no matter how fast the earth runs, you only have
If you want to transfer, I will transfer, because we have a certain relationship, so our relationship can only be maintained so far. The most typical ones are futures and options. You can sell your basic assets at my price. For example, the forward price, F=S*EXP(R*T), as long as the spot price, risk-free interest rate and maturity time are known, the forward and futures prices will be known. This relationship must be maintained between the two, which is relative pricing.
My whole idea is that finance can definitely create value. Through four ways: first, let the things that don't flow flow; sequence
Second, make unsafe things safe; Third, make the imperfect things perfect; Fourth, change the incomplete world.
Live more completely. Finance mainly creates value through these four ways.
First, let's look at liquidity. In short, let the things that don't flow flow. First of all, ask whether liquidity is valuable, such as
If there is value, we can create value by creating liquidity. Liquidity cannot create value. We don't answer. Let's see.
How does liquidity measure value? If it can be measured or many examples can be cited, it shows that liquidity is valuable and fluid.
The value can be understood immediately. The most typical examples in China are state-owned shares and individual shares. Everything is the same, just flowing.
Make love. Their value is ten times worse at most. This is the value difference between liquid stocks and illiquid stocks.
Ok, let's look at certificates of deposit now. Everyone thinks that the fixed deposit certificate has no current, so its value remains unchanged. Just mentioned
The value of certificates of deposit can also be changed. Since no one is trading and there is no such market, there is no traffic.
Get up. Therefore, we use the view that liquidity is valuable to provide some ideas for bank innovation. Now ordinary people put money
The bank has a five-year deposit. Is your five-year deposit current? Just look at how to define, what is liquidity, just
Is it the ability to realize cash in time? No, its accurate definition is that it can obtain reasonable value and realize it in time. place
So when it is sold in the market, we can predict its reasonable value, which can basically change according to this expected value.
Now Therefore, we can't say whether this thing is mobile in general, but only whether it is mobile or not. No liquidity is the end.
Everything can be achieved. For example, this house is not mobile. A penny can be sold and realized immediately. So there is liquidity.
Can only say that liquidity is good or bad. Is it good or bad to realize time deposit? Not good, because the realization of time deposits mainly includes
Withdraw in advance, but you will suffer interest loss, even if you only leave for one day, it is in accordance with the life cycle, so the value of time deposits.
The curve is like this. If you deposit1000000 today, it will be1130000 due in five years, with interest of 2.0%.
. If the interest rate remains unchanged, our simplified value trend is like this (draw a blackboard), but once it is withdrawn in advance,
Only according to the current period, it is a horizontal line, and the real value path is like this. Only on this day will the daughter-in-law become a woman.
, it jumped. And early withdrawal will be given to you according to the slope of such demand deposit, so his value path is like this. this
It is the loss caused by liquidation. The later the liquidation ability, the worse. I might as well bring him up earlier. The more due, the greater the loss.
The greater the loss. There is another way, mortgage. Your deposit interest rate is 2: 00 and your loan is 5: 00, which is also very expensive.
. Unless it expires in a few days, it doesn't matter if it is pledged. You are embarrassed in the middle, embarrassed to quit early, and embarrassed to pledge. place
Due to poor liquidity, people are reluctant to choose a five-year deposit. Can't turn any more. Now it is more troublesome to transfer ownership in real-name registration system.
, so there is no way. Well, I made this suggestion to the bank in order to raise the interest rate of time deposits and avoid silver.
Under the supervision of the regulatory bureau, the banking regulatory bureau requires that interest rates should not be raised by one point, and if they are raised, they will step on the high-voltage line. Then I'll skip the financial prison
It's simple, because I can't raise interest rates, I just increase liquidity! If we can bypass real-name registration system.
You can do it. I saved a five-year time deposit and promised to give it to my clients. You can always sell it back.
I, according to a certain formula, if the interest rate remains unchanged, I will give it to you according to this curve every day you hold it.
I gave you so much for two and a half years. This is a purely theoretical assumption. What do you suggest we do now? This problem is not too big, please.
I recently saved this million, and I gave him the interest, for example, 654.38+0.08 million. I sell this thing to others, than
For example, 165438+ million, anyone? Grab it, the longest period is only one or two years, but the income is still 2 points.
The annual interest on his deposit is only 1.98. The bank has nothing to lose, just buy it back and rob it. Banks have no cost, no
Losing is just a setter's role, so why not? I often tell banks that you must be responsible for depositors everywhere.
For him, you can save his time and increase his income with the least cost, as long as it is good for him.
Want to do it? The main source of customers' money, rather than paying attention to interest rates, is left out of the hands of the People's Bank of China.
In fact, it's no problem for banks to make you more money. If you get the deposit back in these two years, it will be over. I make profits according to two years.
I can also earn the difference by selling it to him in proportion. So you can buy and sell certificates of deposit or transfer them over the counter. Entrustment process
Move it. Who wants to sell today? Leave it to me and I'll help you sell it. As soon as it hangs, I want everyone to grab it. Because every day.
People deposit, and the yield of this thing is higher than that of the bank. Someone must have bought it. At most, the bank charges a fee. For the elderly
It is better for ordinary people to be kind, even if there is no handling fee. No one else did, but you did. All five-year deposits are
Run to you. Because it provides complete liquidity, as long as my value curve is above this, my competitors will
Better than others. As I mentioned just now, this is a completely competitive market, and banks can attract customers by doing so. Even in this industry, you
You can also make money. Therefore, financial engineering is a practical thing, so don't get stuck in the math pile all day. enter
If you leave, you will go out. I think it is feasible anywhere. This is a time deposit. What about the assets? Because of mobility, I will
Everything is flowing. Just now, I talked about debtors. I borrowed money for five years in terms of assets. What if you need money?
Can't flow, it will take five years to flow back. Because it can't be liquid, I demand a higher rate of return, otherwise,
Providing things that don't flow for so long will hurt banks. So the bank loan interest rate will be higher. Do I?
How to create the liquidity of loans? Loan securitization is such an idea, which has existed abroad for a long time. Everyone has heard of it and learned it.
It's over. Then it is very hard to do it in China, because it is very problematic to establish an asset pool and evaluate it. You sell one
A loan to the asset pool, and then issue income vouchers as the income object, and then trade the benefit vouchers, which can be created in itself.
Liquidity but in this case, there are other ways to solve the liquidity problem. Sell non-performing loans to the letter
Trust and re-trust issue beneficiary certificates. There are many such practices in China, but I want to point out that there is no such practice.
If the fundamental problem is solved, new problems will arise. Think about it, I am a bank, you are a corporate customer, and this loan has
One favor, the loan is that you all want to invite me to dinner, and I lend it to you out of the passion of my buddies. After the loan, one depends on the law
Liang, the other party is looking at my face. You have to pay me back. If you don't pay me back, I'm sorry for this friendship. human feelings
In China, this is a very important relationship. Once the loan is sold to the trust company, it has nothing to do with me. You sell it to a trust company.
Right, so now it's a trust company's business, so there is no artificial constraint. So this problem of selling liquidity
It may be solved, but the loan recovery rate will drop. The other is liquidity. You sell the loan to a trust company, a trust company.
The company issues receipts. For example, a five-year loan is sold to you, you issue a five-year beneficiary certificate, and ordinary people buy this 5.
The income certificate in 2008 is really not cost-effective. It will take five years to repay the principal, and there may be dividends in the middle. What do you think of this process?
There must be creative mobility. In fact, for banks, it is for sale and liquid. However, this behavior itself is not creative.
Liquidity, your liquidity needs have been passed on to others and borne by the trust company. The trust company did not undertake it either. it
Re-issue proof of income. Who will bear it, and the people will bear it. What ordinary people finally hold is the East that cannot flow for five years.
West side. So it's just a transaction of things that don't flow. It won't let things that can't flow for five years flow. therefore
Let's make a suggestion to the bank. The bank can do this, let the trust company sign an agreement for him, and we can put the bank's assets at the root.
According to my demand, I will sell you a piece, which is for sale, and I will sign a repurchase agreement. I'll sell it to you now, and in three years,
How much will you spend to buy it back in five years? The difference between buying and selling is interest. Trust companies have this repurchase association.
I don't care whether the loan can be recovered after the meeting, so the management right of the loan is still in the bank. I sold it to you,
But in fact, I have everything. I'm still in charge, and this client still thinks he still owes me.
Money, in fact, still owes me money, because it will be repurchased in the end, so there will be no problem just mentioned. Completion of repurchase agreement
In the future, the money is already there, but the story is not finished. What should we do next? After signing the house purchase agreement, I will pay.
I thought we were done. What if the trust company has no money? It still issues income vouchers and issues vouchers based on this income. but
Isn't the beneficiary certificate illiquid? Who will deliver it? Our bank will underwrite over the counter, not sell it on commission. Your entrustment
There will be risks in the company. Can you buy it? Underwriting means whether our bank can sell all of them. Doing so makes the letter
The trust company is just a name and there is no risk, so the fees charged by the trust company are minimized. All the work is done by the bank.
Come on, that's how banks enliven themselves. Then send out the beneficiary certificate after underwriting, and promise that the beneficiary certificate can be used at any time.
Sales are back. I promise to buy back at any time according to the prescribed formula, which provides the liquidity of the income certificate.
Without this promise, the original 5-year beneficiary certificate customer asked for a 4% return, and now with this promise, it is quite good.
Because this thing is a current deposit, what's the interest rate of the current deposit? So when the bank issues this voucher,
You don't promise a 4% return. It can be reduced to 2% or 3%, and the cost will be greatly reduced. Give some to the trust company.
I think it's enough to give it five thousandths. Because you didn't pay any price, I did everything for you.
. The bank's loan income is 5: 00, so the total cost of selling may be only 2: 00, and all the funds are recovered.
I'll refinance the good projects. So it creates liquidity, and the liquidity management of the bank itself is very important. Because of myself.
You have to pay at any time, so you have to ensure your steady operation and avoid liquidity problems, so doing this will generate traffic.
The demand of dynamic management. So what financial engineering does is actually to solve these practical problems. Our master students there.
Moreover, doctoral students are divided into four majors, one is finance, old finance and money bank, the other is insurance to insurance and the other is certificate.
Vouchers are for securities, while financial engineering is actually for all. So don't simply understand financial engineering as
Financial engineering is only for securities. This example shows that financial engineering is of great use in banks. To give an example of liquidity,
Our goal is to make things that are not flowing flow, and our goal is to create value. So go back today and grow up later.
Pay attention to keep your eyes open and look around at home. There is only one thing you should not look for, and that is a stable family.
Only this thing doesn't flow, and everything else can. Creating liquidity will definitely create value. Therefore, to judge whether the reform plan is good or not, we can't just judge whether it is a reform.
There are many examples of effective risk control and risk management. Sample exchange. Now your average age is 25, and you have worked until.
60 years old, 35 years left. Now you basically have no money, but 35 years later, someone was lucky and became a billionaire.
Some people are extremely poor. This is inevitable and risky. Now you don't know what will happen.
It is the uncertainty you face. Now, let's make the simplest assumption. You have only two states. You are either a billionaire or a billionaire.
Poor guy. Equal probability, expect 50 million. In this way, you will never be happy in your life, and the money you earn will continue to accumulate.
And why are Americans so chic? Because he has a steady income when he retires, he can spend all his money.
Therefore, China people are particularly pitiful. When I was young, I had energy, time and no money. When we have such money, we have no time. Arrival and retreat
I have money, time and no energy during the break. Americans will arrange their lives well, so they are happy. United States of America
People's wealth alone will not be higher than ours. Therefore, in the face of such risks, we must first learn to manage and participate in social security.
. China people's social security is unattractive and inefficient, so we don't want it. Then I'll give you advice and you go back.
Go to the monitor and get everyone together to sign a contract. When you are 60 years old, you will hand over one-tenth of your property.
To the monitor, add it all up and divide it by the total number of people 100. If the assumption just now is correct, 50 of you will be 10 billion.
Millionaire, 50 people are poor. The rich each brought 6.5438+million, but they brought back 5 million. And the poor bring 0, but
Is to get back 5 million. You are a billionaire, and you don't care about giving 5 million to help your classmates. If you are poor, then
5 million is very important to you. Why 10%? Because if I pay in full, I'll quit. I'll eat it all,
Drink up, use up. Therefore, many human arrangements need mutual support and goodwill. If the rich don't come at last, then come.
They are all poor.
The third point is to make the imperfect perfect. This world with transaction costs, taxes, short selling restrictions and regulations is not perfect.
So all you have to do is bypass these and solve these problems. Merton pointed out that the existence of transaction costs provides financial institutions with
A huge stage. So, in order to solve the problem of transaction cost, funds appeared. Think about it. I want to spread the risk. I
What should I do to buy stocks? I buy some from the east and some from the west. My million will buy so many stocks. That's not true.
Are you tired? So I entrust the fund to do it and just buy the fund. This is portfolio investment. You study.
CAPM, but you may forget that this is a static model. CAPM tells you that in order to spread risks, you should invest in a portfolio.
. You may simply understand that I am separated, and I don't have to worry. The east is not bright and the west is bright. In fact, investment
The combination should be constantly adjusted according to the situation. In the state of continuous time, every moment should be adjusted to the best.
The product of a financial institution is a combination of corporate creditor's rights, and it is actually an intermediary, not the ultimate supplier. These are four dimensions.