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moon · 2020年08月19日

问一道题：NO.PZ2018111501000021

  1. CFA III
  2. Derivative

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。

怎么看出是卖AUD和CHF的？

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1 个答案

xiaowan_品职助教 · 2020年08月20日

嗨，努力学习的PZer你好：


同学你好，

因为题目中说FB has long equity positions in Australian and Swiss equities. 说明现货头寸是AUD和CHF的多头，为了对其进行hedge，我们需要short相应的forward合约。


-------------------------------
努力的时光都是限量版，加油！


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