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Carina9999 · 2022年07月08日

B

  1. CFA III
  2. Derivative

NO.PZ2018111501000021

问题如下：

Fundo do Brasil (FB) is a Brazilian sovereign wealth fund. FB has long equity positions in Australian and Swiss equities. Spot and forward market currency information for AUD and CHF is provided in Exhibit 1. FB managers have asked Campos for advice on whether it would be appropriate to hedge the currency exposure with forward contracts in AUD and CHF. Campos indicates she will examine the use of forward contracts to hedge currency exposure.

Based on the information provided in Exhibit 1, the most appropriate risk neutral strategy is for FB to:

选项：

A.

under-hedge AUD and over-hedge CHF.

B.

over-hedge AUD and not hedge CHF.

C.

under-hedge CHF and not hedge AUD.

解释：

B is correct.

考点：Tools of Currency Management: Forward

解析：用forward contracts对冲外汇风险，对冲的是卖AUD和CHF的外汇风险，所以将来是short AUD forward, short CHF forward。相比预测的未来6个月的汇率（即不用合约锁定的汇率），2.1523>2.0355，所以应当hedge AUD，锁定更高的卖AUD的价格。并且over-hedge可以带来更高的收益。对于BRL/CHF， 2.4641<2.5642, 所以不hedge时，卖CHF的价格更高。

可以理解成，AUD要贬值，所以要over hedge，CHF升值，所以不需要hedge吗？

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1 个答案

Hertz_品职助教 · 2022年07月09日

嗨，从没放弃的小努力你好：


同学你好

问题：可以理解成，AUD要贬值，所以要over hedge，CHF升值，所以不需要hedge吗？

回答：可以。但是需要补充一下，以确定同学表达的和我理解的是一致的。

是因为预测AUD贬值（表格第四列和第二列的汇率比较），并且远期合约可以锁定一个较高的汇率，所以选择hedge，或者over hedge。

因为如果市场预测是贬值的，但是远期的价格更低，低于了预测的6个月后的汇率，此时虽然是长预测AUD会贬值，但是签远期锁定的汇率比预测的还低，此时就不能选择hedge，更不用说over hedge了。

同理：

预测CHF升值，并且看到远期合约约定的汇率没有预测的汇率高（2.4641<2.5642,），所以选择不hedge。

如果仍然是预测CHF升值，但是远期合约锁定了一个更高的汇率，远高于第四列的数据，此时还是需要hedge的。

----------------------------------------------
虽然现在很辛苦，但努力过的感觉真的很好，加油！

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