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Chinazdk · 2024年02月21日

汇率风险 不就是市场风险的一部分吗

  1. CFA I
  2. Portfolio

NO.PZ2023021601000088

问题如下：

The German firm IHK AG has entered into a three-month forward currency contract to purchase USD35 million versus euros from US firm GED Corp. to hedge a future payment obligation. The US dollar appreciates 5% in the coming three months. IHK should most likely focus on:

选项：

A.market risk.

B.liquidity risk.

C.counterparty risk.

解释：

IHK’s potential risk is settlement risk, which is a type of counterparty risk. Settlement risk deals with the settling of payments that occur just before a default. If IHK wires the euros to GED and GED then declares bankruptcy, IHK will not be able to get the money back.A is incorrect. IHK would not face market risk since the forward contract would have become more valuable during the three months.B is incorrect. Liquidity risk is the risk of a significant downward valuation adjustment when selling a financial asset and is not applicable for a contract for which the price was fixed when the contract was initiated.

汇率风险 不就是市场风险的一部分吗

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1 个答案

品职助教_七七 · 2024年02月22日

嗨，爱思考的PZer你好：


本题换汇的汇率已经通过forward锁定。无论市场上汇率如何波动都不影响该锁定汇率，不存在汇率风险或市场风险。

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虽然现在很辛苦，但努力过的感觉真的很好，加油！

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