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Decreto Del Direttore Amministrativo N Corso di Laurea magistrale (ordinamento ex D.M. 270/2004) in Economia e Finanza Tesi di Laurea Gli strumenti derivati ed il loro utilizzo in azienda: l’importanza di gestirne i vantaggi e le complessità Relatore Prof. Guido Massimiliano Mantovani Laureando Ambra Moschini Matricola:835318 Anno Accademico 2013 / 2014 Sessione straordinaria 2 Indice Indice delle Figure ....................................................................................................................... 6 Indice delle Tavole ...................................................................................................................... 7 Introduzione ................................................................................................................................. 8 Capitolo 1 - Il concetto di rischio ............................................................................................. 11 1.1. Definizione .................................................................................................................. 12 1.2. La percezione del rischio in azienda ........................................................................... 16 1.3. Identificazione delle categorie di rischio .................................................................... 24 1.3.1. Rischi finanziari .................................................................................................. 26 1.3.1.1. Rischio di mercato ............................................................................................... 28 1.3.1.1.1. Rischio di tasso d’interesse ......................................................................... 28 1.3.1.1.2. Rischio di tasso di cambio ........................................................................... 31 1.3.1.1.3. Rischio di price equity ................................................................................ 33 1.3.1.1.4. Rischio di price commodity ........................................................................ 36 1.3.1.2. Rischio di credito ................................................................................................ 38 1.3.1.3. Rischio di liquidità .............................................................................................. 39 1.3.2. Rischi operativi ................................................................................................... 41 1.3.2.1. Fattore umano...................................................................................................... 42 1.3.2.2. Sistemi informatici .............................................................................................. 43 1.3.2.3. Processi interni .................................................................................................... 43 1.3.2.4. Processi esterni .................................................................................................... 44 1.3.3. Rischi strategici ................................................................................................... 44 1.3.3.1. Rischio industriale ............................................................................................... 45 1.3.3.2. Rischio tecnologico ............................................................................................. 45 1.3.3.3. Rischio di brand .................................................................................................. 46 1.3.3.4. Rischio competitivo ............................................................................................ 47 1.3.3.5. Rischio cliente ..................................................................................................... 48 1.3.3.6. Rischio progetti/investimenti .............................................................................. 48 1.3.3.7. Rischio stagnazione ............................................................................................. 49 1.3.4. Altre categorie di rischio ..................................................................................... 50 Capitolo 2 - La gestione del rischio in azienda ....................................................................... 52 2.1. Dal Traditional silo-based Risk Management (TRM) all’Enterprise Risk Management (ERM) 53 2.2. Corporate Risk Appetite vs Risk Tolerance, is your stomach big enough? ................ 55 2.3. Accenno alla gestione standardizzata dei rischi. ......................................................... 58 3 2.4. Vantaggi nella gestione dei rischi ............................................................................... 59 2.4.1. Riduzione dell’imposizione fiscale ..................................................................... 61 2.4.2. Riduzione dei costi del dissesto finanziario e di bancarotta ................................ 63 2.4.3. Protezione di investimenti specifici .................................................................... 64 2.4.4. Allineamento degli interessi del management e degli shareholders .................... 66 2.4.5. Assistenza nello sviluppo di piani finanziari ....................................................... 68 2.4.6. Stabilizzazione dei dividendi .............................................................................. 69 2.5. Il processo di Risk Management ................................................................................. 71 2.5.1. Stabilire il contesto di analisi .............................................................................. 73 2.5.2. Identificazione ..................................................................................................... 74 2.5.3. Analisi ................................................................................................................. 75 2.5.4. Valutazione ......................................................................................................... 77 2.5.5. Trattamento ......................................................................................................... 78 2.5.6. Monitoring and review ........................................................................................ 79 2.5.7. Reporting e comunicazione del rischio ............................................................... 80 Capitolo 3 - L’utilizzo dei derivati nella gestione dei rischi .................................................. 82 3.1. Aspetti introduttivi ...................................................................................................... 83 3.2. La gestione dei rischi tramite strumenti derivati ......................................................... 86 3.3. Le forme tecniche: Coperture e caratteristiche ........................................................... 89 3.3.1. Derivati e rischio di tasso di interesse ................................................................. 94 3.3.1.1. Interest rate Futures ............................................................................................. 95 3.3.1.2. Forward Rate Agreement (FRA) ......................................................................... 95 3.3.1.3. Interest rate Swap (e varianti) ............................................................................. 97 3.3.1.4. Interest rate Options ............................................................................................ 99 3.3.2. Derivati e rischio di tasso di cambio ................................................................. 100 3.3.2.1. Currency Futures ............................................................................................... 101 3.3.2.2. Outright forward foreign exchange transaction ................................................ 101 3.3.2.3. Currency Swap (e varianti) ............................................................................... 103 3.3.2.4. Currency Options .............................................................................................. 104 3.3.3. Derivati e rischio di price commodity ............................................................... 106 3.3.3.1. Commodity Futures ........................................................................................... 107 3.3.3.2. Forward su Commodity ..................................................................................... 107 3.3.3.3. Commodity Swap (e varianti) ........................................................................... 108 3.3.3.4. Commodity Options .......................................................................................... 109 3.3.4. Derivati e rischio di price equity ....................................................................... 110 4 3.3.4.1. Futures, forward per acquisto di azioni proprie e futures su indici azionari ..... 110 3.3.4.2. Equity options (Stock, Stock index Options) .................................................... 111 3.3.4.3. Equity Swap ...................................................................................................... 112 3.3.5. Nuove forme di strumenti derivati .................................................................... 113 3.4. Il mercato Over-to-counter ........................................................................................ 115 Capitolo 4 - La gestione dei rischi nelle imprese italiane ..................................................... 118 4.1. Caratteristiche del tessuto imprenditoriale italiano ................................................... 119 4.1.1. Focus: PMI e impresa familiare ........................................................................ 121 4.1.2. Rapporto Banca-Impresa ..................................................................................
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