第三章外汇风险管理之二
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第三章外汇风险管理之二
第一节 外汇风险的涵义
源自文库
3
Definition
Foreign exchange exposure is a measure of the potential for a firm’s profitability, net cash flow, and market value to change because of a change in exchange rates.
cash transactions of a firm are affected by exchange rate fluctuations.
If transaction exposure exists, the MNC should 1、identify the degree of transaction exposure, 2、decide whether to hedge and how much to
第三章 外汇风险管理 1
Exchange Rate Risk Management
第一节 外汇风险的涵义
Definition of Exchange Rate Risk
第二节 交易风险及管理方法
Transaction Exposure Management
第三节 经济风险与折算风险
Economic and Translation Exposure
第四节 外汇风险管理策略
Strategy of Exchange Rate Risk Management
第三章外汇风险管理之二
2
Chapter Objectives
To discuss the relevance of an MNC’s exposure to exchange rate risk;
第三章外汇风险管理之二
Techniques to Eliminate 6 Transaction Exposure
Hedging techniques include:
Futures hedge, Forward hedge, Money market hedge, and Currency option hedge. MNCs will normally compare the cash flows that could be expected from each hedging technique before determining which technique to apply.
To explain how transaction exposure， economic exposure，translation exposure can be measured;
To identify the commonly used techniques for hedging transaction exposure;
currency. Convert currency. Convert
to and then invest to and then invest
in foreign currency. in local currency.
Currency Purchase currency Purchase currency
hedge based on its degree of risk aversion and exchange rate forecasts, and
3、choose among the various hedging techniques
available if it decides to hedge.
Forward Negotiate forward Negotiate forward
hedge
contract to buy
contract to sell
foreign currency. foreign currency.
Money market hedge
Borrow local
Borrow foreign
option
call option(s).
put option(s).
Techniques to Eliminate Transaction Exposure
Vehicles
Forward
Advantages
Disadvantages
Exact hedge;
Large bid-ask spreads on
Small bid-ask spread small or long-dated deals &
for large deals
thinly traded currencies
Future
Low cost for small Only a few currencies &
指一个经济实体或个人，在涉外经济活动中（如 对外贸易、国际交流等）因外汇汇率的变动，使 其以外币计价的资产或负债价值涨跌而蒙受损失 的可能性。
第三章外汇风险管理之二
第二节 交易风险及管理方法 4
Transaction Exposure Management
Transaction exposure exists when the future
第三章外汇风险管理之二
5
An MNC’s overall exposure can be assessed
An MNC’s overall exposure can be assessed by considering each currency position together with the currency’s variability and the correlations among the currencies.
第三章外汇风险管理之二
Techniques to Eliminate Transaction Exposure
Hedging Payables Hedging Receivables
Futures Purchase currency Sell currency hedge futures contract(s). futures contract(s).
第一节 外汇风险的涵义
源自文库
3
Definition
Foreign exchange exposure is a measure of the potential for a firm’s profitability, net cash flow, and market value to change because of a change in exchange rates.
cash transactions of a firm are affected by exchange rate fluctuations.
If transaction exposure exists, the MNC should 1、identify the degree of transaction exposure, 2、decide whether to hedge and how much to
第三章 外汇风险管理 1
Exchange Rate Risk Management
第一节 外汇风险的涵义
Definition of Exchange Rate Risk
第二节 交易风险及管理方法
Transaction Exposure Management
第三节 经济风险与折算风险
Economic and Translation Exposure
第四节 外汇风险管理策略
Strategy of Exchange Rate Risk Management
第三章外汇风险管理之二
2
Chapter Objectives
To discuss the relevance of an MNC’s exposure to exchange rate risk;
第三章外汇风险管理之二
Techniques to Eliminate 6 Transaction Exposure
Hedging techniques include:
Futures hedge, Forward hedge, Money market hedge, and Currency option hedge. MNCs will normally compare the cash flows that could be expected from each hedging technique before determining which technique to apply.
To explain how transaction exposure， economic exposure，translation exposure can be measured;
To identify the commonly used techniques for hedging transaction exposure;
currency. Convert currency. Convert
to and then invest to and then invest
in foreign currency. in local currency.
Currency Purchase currency Purchase currency
hedge based on its degree of risk aversion and exchange rate forecasts, and
3、choose among the various hedging techniques
available if it decides to hedge.
Forward Negotiate forward Negotiate forward
hedge
contract to buy
contract to sell
foreign currency. foreign currency.
Money market hedge
Borrow local
Borrow foreign
option
call option(s).
put option(s).
Techniques to Eliminate Transaction Exposure
Vehicles
Forward
Advantages
Disadvantages
Exact hedge;
Large bid-ask spreads on
Small bid-ask spread small or long-dated deals &
for large deals
thinly traded currencies
Future
Low cost for small Only a few currencies &
指一个经济实体或个人，在涉外经济活动中（如 对外贸易、国际交流等）因外汇汇率的变动，使 其以外币计价的资产或负债价值涨跌而蒙受损失 的可能性。
第三章外汇风险管理之二
第二节 交易风险及管理方法 4
Transaction Exposure Management
Transaction exposure exists when the future
第三章外汇风险管理之二
5
An MNC’s overall exposure can be assessed
An MNC’s overall exposure can be assessed by considering each currency position together with the currency’s variability and the correlations among the currencies.
第三章外汇风险管理之二
Techniques to Eliminate Transaction Exposure
Hedging Payables Hedging Receivables
Futures Purchase currency Sell currency hedge futures contract(s). futures contract(s).