   :     Citibank  Barings, Socit Gnrale  AIG
 



  ,  ⠖    .    -     .   ࠖ     .        ,  ,       .





 

   :     Citibank  Barings, Socit Gnrale  AIG








 . 

  . 

 . 

  . 



 World Scientific Publishing Co. Pte. Ltd., 2010

    , , .   , 2017

Russian translation arranged with WorldScientific Publishing Co. Pte. Ltd., Singapore.



  .      .                        ,         ,           .             5.  (. 49 ),            6  (. 146  ).


* * *


   










           ,           .        ,     ?  ࠖ       .         ,         .     ,    .        ,      .

   .       ,        :   ,  ,   ,              .    ,  젖   ,    .      ,   , -,  ,      ,       .    ,            ,      .        .







   ,                   ,      .        .  ,      (Kawa Fund), . .  (Daewoo),   (Barings),   (Bongrain, S. A.),   (Cyberlibris),   (Calvin College),   (International Finance Corporation),   (Stock Exchange of Thailand),   (Garantia),   (Citicorp),   (Natexis Finance),   (Siam Commercial Bank),   (ADM),   (Deutsche Bank),   (Bankers Trust),   (State Street),   (INSEAD),   (HEC),   (Bio-Diesel),   (Citicorp),  ,  ,   (GIC, Singapore),   (ESSEC),   (Polytechnic University),   (Wharton)     (Singapore Exchange Limited).

   ,        ,      ,  ,  ,     .            ,     . , ,       ,  ,           .

,       ,      ,       .       .



 
  
 2009.




 1.    


    .

 


           ,         .                      .      ,      ,            .  ,               ,      (   )       .

         ,      .   ,                .    ,                        ,    .        ,  ,   , , ,    ,         .      :              -       .          ,     .




  ?


,    ,   ,          ,  ,  ,     .          ,         ,        .

,   ,             ,     ,  . , 90-     ?25    $1,47  ?1,00,  13  2009.,    : , 13  2009.,  ,      (   ),  (?25),  ($1,47),   (90 , .. 17  2009.),     ,    .  90    :  ?25 ? 1,47 = $36,75   ?25.          (.. ,    )  .    ,   .        , ..      .      ,    ,     .           ,     Showa Shell,  Citibank    蠖 Bank Negara.

,   ,    ,    .   ,        . ,         , ,    (   )    ,  ?62 500.  ,     (, ),   ,         .       ,      -  ,   ,          .     ,         ,    .         57,   - Amaranth Advisors LLC,      Metallgesellschaft     Sumitomo.

,   ,   ,      ( )   ( )  (, , , )     ( )       ( )     ( ),        ().            Enterprise Oil Ltd.   $26  90-  ,       $1,03  $1,45,             Texas Eastern Inc.      Enterprise Oil      $1,70/?1,00.    , 1 ,       $1,73.  ,   ,     .        (  ,     )       .   ,     ,    ,  ,      [1 - Enterprise Oil $25 million call option, Corporate Finance (April 1989).].  90       $1,7505,         Enterprise Oil Ltd.   $26.      ,     ,     .         811,      Allied Lyons   Barings Bank, Allied Irish Banks  Socit Gnrale.

             .     ,           ,             .        . Mexicana de Cobre,      ,           [2 - Jacque, L. L. and G. Hawawini. Myths and realities of the global market for capital: Lessons for financial managers, Journal of Applied Corporate Finance (Fall 1993).]         ,    .           , Metallgesellschaft,           4000       $2000   ,       . ,      36      1  36     $2000   .     .         1216,   Procter & Gamble, Gibson Greeting Cards, Orange County, Long-Term Capital Management , , AIG.




  


       :          ,      ,       ;           ;             (    )    (   ).       ,       .

 .               ,   . ,            . ,      .       ,      .   ,              .     ,  ,       .           .      ,   -   ,       .       ,    ,           .      ,            [3 - Jorion, P. Big Bets Gone Bad (Academic Press, 1995), p. 138.].

 .           .          XII.     .       .    -      ,       .     (  )      , ,      . ,            .    XII.       ( )  ,   .    ,  ,    ,     .     :       ,          .      ,         .      ,     ,  lettre de faire, ,  ,          [4 - Teweles, R. J. and F. J. Jones, edited by Ben Warwick, The Futures Game: Who Wins, Who Loses and Why (McGraw Hill, 1999, 3rd edn.), p. 8.].

 1298.         30  [5 -  .]    . - ()  .  ()[6 - Favier, J. Les Grandes Dcouvertes (Le Livre de Poche, 1991), cited in Bryis and de Varenne (2000).].              :         .    ,      ,     .   :        [7 -       .]           .         -.      -   (  ),        ,     .          .

 .             ,   ,       .      ,    .              ,    XVIII.    .     ,        .         .        ,                 ,    . ,   ,           .  1730.   ,     ,      ,  ,  ,       .          . ,             [8 - West, M. D. Private ordering at the worlds first future exchange, Michigan Law Review (August 2000).]:      100 [9 -      ,   ,     .  180 .],          ,   ( 8   28 ),  ( 7   9 )   ( 17   24 ).       ,    ,  ,     .       (    )    .       , , ,  .        ,      10 [10 - West, M.D., op. cit. p. 2588.].

 .    ,    ,     . , ,    ,               (    ,    ), ,     ,  ,     .           ,           .          ,    .    :        (  ),     .      ,           .

  XIX.        .       ,    .     ,    .         ()   ()    ,          .                           .  1848.        :        ,    (   )    (  ,   ).       ,    ,   .

 .             (   ,    ).   ,  ,         1971.               ,     , , ,    ,    .1.   1972.       (   )    .               ,           .  1977.                  .  ,                    .









   


    ,             ,  ,     .   堖     ,         ,  ,           .     .            . , ,             .      .            .          -.          ,           .

,    젖 ,      ࠖ       .    ,        ?     ,    (    )         ,  ,    ?           $25,    AIG   $200.     :     .         .     ,     ,       . ,          ,     .  ,      ,    ,      ,   ,     ,       ,   -,    .    ,     ,       ?




 


 ࠖ       .         ,        .      ,    .        ,      .

   .               .        .    ,  젖      .          .  ,          .        .   ,      :    ,  .

         ,     ,      ,  ,  , -    .      ,     : , ,    (.     . 1).  ,      ,   ,    :  ,  ,     .

  ,      ,        .              .                 .     !




Briys, E. and F. de Varenne. The Fisherman and the Rhinoceros: How International Finance Shapes Everyday Life (John Wiley & Sons Inc., 2000).

Chew, L. Managing Derivative Risks: The Use and Abuse of Leverage (John Wiley & Sons, 1996).

Edwards, F. R. and C. W. Ma. Futures and Options (McGraw Hill, 1992).

Jorion, P. Value at Risk: The New Benchmark for Managing Financial Risk (McGraw Hill, 3rd edn., 2007).

Marthinsen, J. Risk Takers: Uses and Abuses of Financial Derivatives (Pearson Addison-Wesley, 2005).

Miller, M. H. Merton Miller on Derivatives (John Wiley & Sons, 1997).

Teweles, R. J. and F. J. Jones, edited by Ben Warwick. The Futures Game: Who Wins, Who Loses and Why (McGraw Hill, 1999 3rd edn).




 I







 2. Showa Shell Sekiyu K. K.


  :    ,  .

 


 Showa Shell Sekiyu K. K.     Royal Dutch Shell,  50%  .   1993.        ,  ?125  $1,07 (      ).   Showa Shell        -  ,  ,       ,      ,     ,    [11 - Y.Shibata, Japans currency scandal could spread, Global Finance, 7 (3), 111.].




  Shell:  Showa Shell


  ,     1989.,    Showa Shell  90-         . ,           ,        $6,4,         .     ,  ,  ,          .   ,     - .

                 Showa Shell.     1992.,                  . ,  20  1993.,   82%   Showa Shell.        ?1500    ?800.        ,          .

   ,             ,      ,      ?   :         ?     ,        Shell Showa Sekiyu K. K.  -   Royal Dutch Shell.   ,                     .




    


 ,   Showa Shell          ,     .      ,   Exxon  Royal Dutch Shell,           ,   ,  ,    ,  ,           .        ,       .  , Showa Shell                .        , Showa Shell   :         .

1. (  )      ,   Showa Shell    [12 -      ,     ,       ,      .]       ,     (.  ,     ,  .1,        ).

2.     (. .2,    ),   .



 .  .   1970- .     ,      -  ()[13 -        1960.     12 : , , , ,   ,  , , , , ,   .                ,   .       ,                     ,     .].         ,           ,    , Exxon, British Petroleum, Royal Dutch Shell  ,    .            1973.        ,    ,        . ,      ,          ,  .   1970- .      ,        ,           .  ,         ,      .   1980- .          .           .                 .












 .3            ,   Showa Shell.                 ,        .  Showa Shell     ,     ,    (  , 12,5%  ).          ,            ( )    .                      ,  Showa Shell      ,   (-   ).              .       ,    ,  Showa Shell,       ,   Royal Dutch Shell.









         


 Showa Shell      500 000   .     15         90-  .         ,   , (.  ,     ) ,  ,      (  ).



 .    .                   (  )   ( ),     . , 30  1989. Showa Shell   90-      ?145   $300.    31  1989. Showa Shell    $300 ? ?145 = ?43,5   $300,   -   .  ,     ?140, Showa Shell      ,   ?5    ,  .     $300 ? (140145) = ?1,5 ($10 714 285   ?140 = $1,00).  ,             ,         .              (  )   -   .


   Showa Shell                ,         $300.           (.  ).

, , Showa Shell         .       ?145    ( ) Showa Shell   ,    ?145.       ?145    Showa Shell            -.    Showa Shell     ,     3%     (0,03 ? $300 = $9).        .

  Showa Shell        :             .   ,         Showa Shell              ,                   .



 .          $300.      (      ) Showa Shell         .

1.    . Showa Shell     $300    F (90) = 145,        $300 ? 145 = ?43,5.

2.   (  ). Showa Shell       ,  $300,        iUS = 0,06 / 4, .. $300 / (1 + 0,06 / 4) = $295.          - S (0) = 147, .. $300 / (1 + 0,06 / 4) ? 147 = ?43 448.      90       iJap = 0,03 / 4  $300 / (1 + 0,06 / 4) ? 147 ? (1 + 0,03 / 4) = ?43 774.

3.   . Showa Shell        (   ?145 = $1,   )      $9 = 0,03 ? $300.

 ,     Showa Shell      (     $300),              (       ).        ,    .


  , Showa Shell       ,        ,    .         ,     ,      .  ,      West Texas Intermediate 30  1989.  $21  , Showa Shell        15 ,         . 30  1989.      $20  ,   Showa Shell       $300.     ,         Showa Shell,             Royal Dutch Shell.




  Showa Shell,   ?


   $20   Showa Shell   [15  ] ? $20 = $300    ?145  .         $300  .  ,          90-      $900.  ,      , Showa Shell            $900.        $200  , Showa Shell           3 ? $200 = $600.           $6,4. ,  $5,5            .                   Showa Shell    ,    ,  , , .      廠          . ,       ,        ,  . ,      ,         ,     [14 - Locke, P. R. and S. C. Mann, Do Professional Traders Exhibit Loss Realization Aversion? (Georges Washington University: working paper, 2000).].




      


          .  30  1989. Showa Shell   90-     ?145  ,     $300   ?43,5.  30  $300  - ?140     ?42,     ?1,5   $10.     ,  Showa Shell       ,    . - ,    ,             .      ,  ,   .          ,       Showa Shell,         , ?145  .    :     ,   ,      .           ,         ,         .    .   Showa Shell      ,  ,    ,   .           .   ,       ,         Showa Shell. ,  Showa Shell    .   Showa Shell     ?125 ($1,07),      ?           1992.,       ,          ,               [15 -      -        ,  .].




 


   1992.,     Showa Shell            ,   .            ,     ,    .         ,     . ,      Showa Shell Sekiyu K. K.,    Shell     Showa  1985. ,   ,     Shell,     . ,              .  , Showa Shell   .               ,      . , 9  1994.  Kashima Oil     $1,5   ,     Showa Shell[16 - The Economist, Determined Loser (April 16, 1994).].            .  ,  Showa Shell  Kashima Oil,       ,      19931995.                   .




  :   , 


  [17 -              ,    , ..       .]        .            Showa Shell           . ,       .    .2,      1989.,       ,     19891994.  ,             ,      ,             .      ,        .       1, 3, 6  12  ,        .               .              (.  D).



 D.        .    ,  ,  ,     .     Fuji Finance Company,    ?100  360 .    Fuji Finance          ,         6% /           3%.        ,     ?3  ,    ,  -     ?145  .                 3%.

,           (    ),   ?100 000 000 000 ? (1 + 0,03) = ?103 000 000 000,       .            :

1)   -   ?100 000 000 000 / 145 = $689 655 170;

2)    6%    360  689 655 170 ? (1 + 0,06) = $731 034 480;

3)     ,               F = 140,     360  $731 034 480 ? 140 = ?102 344 827 228.

,            .          .  ,       ,       -.            -   ,          .      ,       .       [18 - ,         ,     ,          .].    ,           (i)   (i*)  ,  (S)   (F) :


(1 + i) = (1 / S) ? (1 + i*) F  F = S (1 + i) / (1 + i*).

 ,      -       (i i*),       :


F = 145 [(1 + 0,03) / (l + 0,06)] = 141.


        (  )  -. ,   ,    ,  -     30, 60, 90  180 .     ,       ,   -,     .     -      ,     ,      ,     0      t,  F (0, t),   - S (t),     t,  F (0, t) S (t),   .     ,     ,     (. .4).












 1.   .                 .  Showa Shell    $200, , ,      .   ,   .           ,          .       (   ),            .           (.  D).      -     ,    .  ,     Showa Shell      ,     , ..,      .       .  ,  Showa Shell    ,          $6,4,           .

 2.  .            (,     )    .         ,  ,     .   ,                  (.  Citibank   3).           ,     .  Nippon Oil,    ,                  [19 - Cf. Shibata, op. cit. p. 111.].

 3.  .               .     ,           .         .  ,     :     (    )      .       ,     Showa Shell,    ,    .

 4.  .  ,    ,       ,    ,      .             . ,    ,        ,            .             ,     .


  

1.             ?        ?

2. Showa Shell          : 90-       $21 ( ),   /    $0,45,       , , 5%  2% ?

3.        ,   ,      ,     ?




 3.    Citibank[20 -       . .  Rodriguez, R. M. and E. M. Carters. International Financial Management (Prentice Hall: Englewood Cliff, New Jersey, 1979).]


 ,       ,   .

 


19 1965.,        ,  First National City Bank        177   58       $8.           ,        .   ,      $800.  First National City Bank,    Citibank, 1965.     (    )       $94,       $8.

              ?       -        ,         ?       ,    .           ,    ,      .




     


      ,           ,         ,  Citibank  .

   -      ,        ,    ,  ꠖ           .       .  1960- .       ( 堖  ),           (   ,    ,     ).        ,       ,  ,         ,       [21 - Holmes, A. R. and F. H. Schott. The New York Foreign Exchange Market (Federal Reserve Bank of New York: New York, 1965).].

   Citibank     50 ,        /  ($/?) ,   , /  ($/DM)  / ($/?).    500     $50.            .         ,     Citibank     ,   ,  .        ,      [22 - Zweig, P. L. Walter Wriston, Citibank, and the Rise and Fall of American Financial Supremacy (Crown Publishers: New York, 1995), p. 172.].

      ,  ,     ,  , ,      . , IBM  ?50                 Citibank.          (          ,     ).



 .   .  1944  1971.            - ?      .   ,     ,       $35  .             ,        . ,   FF5 = $1     (FF)     (1  ) / 35 ? (l / 5) = 0,0057  .         $1000  .  ,      ,   .       ,               .


 1965.          $2,80 = ?1,00.        1944. (.  ).            .            .     ,  , ,  /   1025%,        ,          .

          ,      . ,      /.           0,75%   , .. $2,80 (10,0075) = $2,78.  -,    ,   $2,78,           ,      .         ,        .         0,75%  , .. $2,80 (1 + 0,0075) = $2,82.  -   ,            $2,82.  ,        . ,      .      (      )        $2,78  $2,82,     .  ,           .  .1    -    1964  1965.








,             , ,  ,     .  1964.               -    ,                     .        ,    ,     ,    912      $2,78  .




       


                  .

1.       , , ,        , ,   .    ,    ,        -  .     ( )       - (  ),    ,          . ,      $2,80  $2,40.       $2,80,       $2,80 / 2,40 = ?1,1667,   ?1,1667 ?1,00 = ?0,1667   ?  .  , ,         (  ),        .    ,     ,          ,          .

2.        (.  ).          .   . 30  1964.        $2,72    9 , 31  1965.    ,  -       $2,78  .        ?100  $2,72      -  31  1965. ($2,78  ),   $272    ?100,    $278 ( ). ,    $6     .         , ,  $2,40,          $272,    ?100,    $240.      蠖 $32.



 .    .                  (  )   ( ),     . , 30  1964. 30-        $2,7650    ?10. 30  1964. (30  )      $27,65   ?10,   -   .       $2,80,     ,      3,5   ($2,80 $2,7650)   $350 000 .  ,                  .              (   ),   -   .





  .


   .

   ,     (https://www.litres.ru/loran-zhak/opasnye-igry-s-derivativami-poluvekovaya-istoriya-provalov-ot-c/)  .

      Visa, MasterCard, Maestro,    ,   ,     ,  PayPal, WebMoney, ., QIWI ,       .



notes








1


Enterprise Oil $25 million call option, Corporate Finance (April 1989).




2


Jacque, L. L. and G. Hawawini. Myths and realities of the global market for capital: Lessons for financial managers, Journal of Applied Corporate Finance (Fall 1993).




3


Jorion, P. Big Bets Gone Bad (Academic Press, 1995), p. 138.




4


Teweles, R. J. and F. J. Jones, edited by Ben Warwick, The Futures Game: Who Wins, Who Loses and Why (McGraw Hill, 1999, 3rd edn.), p. 8.




5


 .




6


Favier, J. Les Grandes Dcouvertes (Le Livre de Poche, 1991), cited in Bryis and de Varenne (2000).




7


      .




8


West, M. D. Private ordering at the worlds first future exchange, Michigan Law Review (August 2000).




9


     ,   ,     .  180 .




10


West, M.D., op. cit. p. 2588.




11


Y.Shibata, Japans currency scandal could spread, Global Finance, 7 (3), 111.




12


     ,     ,       ,      .




13


       1960.     12 : , , , ,   ,  , , , , ,   .                ,   .       ,                     ,     .




14


Locke, P. R. and S. C. Mann, Do Professional Traders Exhibit Loss Realization Aversion? (Georges Washington University: working paper, 2000).




15


     -        ,  .




16


The Economist, Determined Loser (April 16, 1994).




17


             ,    , ..       .




18


,         ,     ,          .




19


Cf. Shibata, op. cit. p. 111.




20


      . .  Rodriguez, R. M. and E. M. Carters. International Financial Management (Prentice Hall: Englewood Cliff, New Jersey, 1979).




21


Holmes, A. R. and F. H. Schott. The New York Foreign Exchange Market (Federal Reserve Bank of New York: New York, 1965).




22


Zweig, P. L. Walter Wriston, Citibank, and the Rise and Fall of American Financial Supremacy (Crown Publishers: New York, 1995), p. 172.


