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moon · 2022年03月03日

问题

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NO.PZ201601050100001501

问题如下:

Determine which type of hedge instrument combination is most appropriate for Rivera’s situation. Justify your selection.


选项:

解释:


The hedge instrument combination most appropriate for Rivera’s portfolio is a dynamic forward hedge for the reasons noted below.

First, a dynamic hedge is most appropriate here. A static hedge (i.e., unchanging hedge) will avoid transaction costs but will also tend to accumulate unwanted currency exposures as the value of the foreign-currency assets change. This characteristic will cause a mismatch between the market value of the foreigncurrency asset portfolio and the nominal size of the forward contract used for the currency hedge; this is pure currency risk. Given this potential mismatch and because both Rivera and Delgado are risk averse, Delgado should implement a dynamic hedge by rebalancing the portfolio at least on a monthly basis.

Delgado must assess the cost–benefit trade-offs of how frequently to dynamically rebalance the hedge. This depends on a variety of factors (manager risk aversion, market view, IPS guidelines). The higher the degree of risk aversion, the more frequently the hedge is likely to be rebalanced back to the “neutral” hedge ratio.

A forward contract is more suitable because in comparison to a futures contract, a forward contract is more flexible in terms of currency pair, settlement date, and transaction amount. Forward contracts are also simpler than futures contracts from an administrative standpoint owing to the absence of margin requirements, reducing portfolio management expense. Finally, forward contracts are more liquid than futures for trading in large sizes because the daily trade volume for OTC currency forward contracts dwarfs those for exchange-traded futures contracts.

中文解析:

最适合Rivera投资组合的对冲工具组合是动态远期对冲,原因如下:

首先,这里最适合使用动态对冲。静态对冲虽然成本低,也会随着外币资产价值的变化而累积不必要的货币风险。这一特征将导致外国货币资产组合的市场价值与用于货币对冲的远期合约的名义规模之间产生错配,也就是货币风险。因此Delgado应该实施动态对冲,至少每月重新平衡投资组合。

Delgado必须评估如何频繁地动态调整对冲的成本效益。这取决于多种因素(经理人风险厌恶、市场观点、IPS指导方针)。风险厌恶程度越高,对冲就越有可能频繁地重新平衡至中性对冲比率。

远期合约更合适,因为与期货合约相比,远期合约在货币组合、结算日期和交易金额方面更灵活。从管理的角度来看,远期合同也比期货合同简单,因为没有保证金要求,减少了投资组合管理费用。最后,在大规模交易中,远期合约的流动性比期货合约更强,因为场外外汇远期合约的日交易量超过了交易所交易的期货合约。

老师好,

想问下这道题考的什么知识点,还有:

  1. 什么时候适合用static 对冲?需要降低对冲成本的时候吗?
  2. 什么时候适合用future呢?
  3. 而且为什么OTC的forward交易量大于exchange traded future?
1 个答案

Hertz_品职助教 · 2022年03月04日

嗨,从没放弃的小努力你好:


同学你好

问题1:

首先咱们先说一下什么是static hedge,也就是静态对冲哈:

它的意思是说只对冲一次,之后就不再进行动态调整了。比如有一笔100million的外币资产要对冲,在0时刻咱们签了一个forward合约,将这100million对冲了,之后就再也不管了。可能过了一个月,咱们的外币资产涨到了110million,又或者是跌到了80million,反正不是100million了,但是咱们的静态对冲并不管后期是涨是跌,就一开始hedge了一次,很有可能会随着时间的变化使得对冲比例变高变低的,很有可能已经不满足客户的对冲要求了。

所以可以看到静态对冲这种策略太会偷懒了,所以这种对冲很少很少出现,如果是需要用到静态对冲,题目也会直接告诉咱们的。

当然了这种偷懒的对冲方式的确是可以降低成本,但是有时候我们不能为了单纯降低那点成本使自己暴露在很大的风险敞口中呀。

问题2:

实务中最经常使用的是远期forward,如果题目中说了使用futures来管理外汇风险,那就使用futures,对待方式和forward一样,因为futures本质就是标准化的远期合约嘛

问题3:

外汇管理中使用forward的规模远远高于futures,我理解的是forward一是可以定制化,因为它是场外合约嘛,更能满足投资者个性化的需求;二是forward不存在保证金的问题,即一开始并不需要有一笔保证金缴纳出去,在现金流层面也更友好,所以整体市场上用远期合约的投资者会更多。

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

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NO.PZ201601050100001501 问题如下 termine whitype of hee instrument combination is most appropriate for Rivera’s situation. Justify your selection. The hee instrument combination most appropriate for Rivera’s portfolio is a namic forwarhee for the reasons notebelow.First, a namic hee is most appropriate here. A static hee (i.e., unchanging hee) will avoitransaction costs but will also tento accumulate unwantecurrenexposures the value of the foreign-currenassets change. This characteristic will cause a mismatbetween the market value of the foreigncurrenasset portfolio anthe nominsize of the forwarcontrausefor the currenhee; this is pure currenrisk. Given this potentimismatanbecause both Rivera anlga are risk averse, lga shoulimplement a namic hee rebalancing the portfolio least on a monthly basis.lga must assess the cost–benefit tra-offs of how frequently to namically rebalanthe hee. This pen on a variety of factors (manager risk aversion, market view, IPS guilines). The higher the gree of risk aversion, the more frequently the hee is likely to rebalancebato the “neutral” hee ratio.A forwarcontrais more suitable because in comparison to a futures contract, a forwarcontrais more flexible in terms of currenpair, settlement te, antransaction amount. Forwarcontracts are also simpler thfutures contracts from ainistrative stanoint owing to the absenof margin requirements, recing portfolio management expense. Finally, forwarcontracts are more liquithfutures for trang in large sizes because the ily tra volume for OTC currenforwarcontracts arfs those for exchange-trafutures contracts.中文解析最适合Rivera投资组合的对冲工具组合是动态远期对冲,原因如下首先,这里最适合使用动态对冲。静态对冲虽然成本低,也会随着外币资产价值的变化而累积不必要的货币风险。这一特征将导致外国货币资产组合的市场价值与用于货币对冲的远期合约的名义规模之间产生错配,也就是货币风险。因此lga应该实施动态对冲,至少每月重新平衡投资组合。lga必须评估如何频繁地动态调整对冲的成本效益。这取决于多种因素(经理人风险厌恶、市场观点、IPS指导方针)。风险厌恶程度越高,对冲就越有可能频繁地重新平衡至“中性”对冲比率。远期合约更合适,因为与期货合约相比,远期合约在货币组合、结算日期和交易金额方面更灵活。从管理的角度来看,远期合同也比期货合同简单,因为没有保证金要求,减少了投资组合管理费用。最后,在大规模交易中,远期合约的流动性比期货合约更强,因为场外外汇远期合约的日交易量超过了交易所交易的期货合约。

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2024-07-19 09:48 1 · 回答

NO.PZ201601050100001501问题如下 termine whitype of hee instrument combination is most appropriate for Rivera’s situation. Justify your selection. The hee instrument combination most appropriate for Rivera’s portfolio is a namic forwarhee for the reasons notebelow.First, a namic hee is most appropriate here. A static hee (i.e., unchanging hee) will avoitransaction costs but will also tento accumulate unwantecurrenexposures the value of the foreign-currenassets change. This characteristic will cause a mismatbetween the market value of the foreigncurrenasset portfolio anthe nominsize of the forwarcontrausefor the currenhee; this is pure currenrisk. Given this potentimismatanbecause both Rivera anlga are risk averse, lga shoulimplement a namic hee rebalancing the portfolio least on a monthly basis.lga must assess the cost–benefit tra-offs of how frequently to namically rebalanthe hee. This pen on a variety of factors (manager risk aversion, market view, IPS guilines). The higher the gree of risk aversion, the more frequently the hee is likely to rebalancebato the “neutral” hee ratio.A forwarcontrais more suitable because in comparison to a futures contract, a forwarcontrais more flexible in terms of currenpair, settlement te, antransaction amount. Forwarcontracts are also simpler thfutures contracts from ainistrative stanoint owing to the absenof margin requirements, recing portfolio management expense. Finally, forwarcontracts are more liquithfutures for trang in large sizes because the ily tra volume for OTC currenforwarcontracts arfs those for exchange-trafutures contracts.中文解析最适合Rivera投资组合的对冲工具组合是动态远期对冲,原因如下首先,这里最适合使用动态对冲。静态对冲虽然成本低,也会随着外币资产价值的变化而累积不必要的货币风险。这一特征将导致外国货币资产组合的市场价值与用于货币对冲的远期合约的名义规模之间产生错配,也就是货币风险。因此lga应该实施动态对冲,至少每月重新平衡投资组合。lga必须评估如何频繁地动态调整对冲的成本效益。这取决于多种因素(经理人风险厌恶、市场观点、IPS指导方针)。风险厌恶程度越高,对冲就越有可能频繁地重新平衡至“中性”对冲比率。远期合约更合适,因为与期货合约相比,远期合约在货币组合、结算日期和交易金额方面更灵活。从管理的角度来看,远期合同也比期货合同简单,因为没有保证金要求,减少了投资组合管理费用。最后,在大规模交易中,远期合约的流动性比期货合约更强,因为场外外汇远期合约的日交易量超过了交易所交易的期货合约。 老师 forwar用交保证金吗 这跟前面某一道题好像矛盾了

2023-12-03 06:59 1 · 回答

NO.PZ201601050100001501 问题如下 termine whitype of hee instrument combination is most appropriate for Rivera’s situation. Justify your selection. The hee instrument combination most appropriate for Rivera’s portfolio is a namic forwarhee for the reasons notebelow.First, a namic hee is most appropriate here. A static hee (i.e., unchanging hee) will avoitransaction costs but will also tento accumulate unwantecurrenexposures the value of the foreign-currenassets change. This characteristic will cause a mismatbetween the market value of the foreigncurrenasset portfolio anthe nominsize of the forwarcontrausefor the currenhee; this is pure currenrisk. Given this potentimismatanbecause both Rivera anlga are risk averse, lga shoulimplement a namic hee rebalancing the portfolio least on a monthly basis.lga must assess the cost–benefit tra-offs of how frequently to namically rebalanthe hee. This pen on a variety of factors (manager risk aversion, market view, IPS guilines). The higher the gree of risk aversion, the more frequently the hee is likely to rebalancebato the “neutral” hee ratio.A forwarcontrais more suitable because in comparison to a futures contract, a forwarcontrais more flexible in terms of currenpair, settlement te, antransaction amount. Forwarcontracts are also simpler thfutures contracts from ainistrative stanoint owing to the absenof margin requirements, recing portfolio management expense. Finally, forwarcontracts are more liquithfutures for trang in large sizes because the ily tra volume for OTC currenforwarcontracts arfs those for exchange-trafutures contracts.中文解析最适合Rivera投资组合的对冲工具组合是动态远期对冲,原因如下首先,这里最适合使用动态对冲。静态对冲虽然成本低,也会随着外币资产价值的变化而累积不必要的货币风险。这一特征将导致外国货币资产组合的市场价值与用于货币对冲的远期合约的名义规模之间产生错配,也就是货币风险。因此lga应该实施动态对冲,至少每月重新平衡投资组合。lga必须评估如何频繁地动态调整对冲的成本效益。这取决于多种因素(经理人风险厌恶、市场观点、IPS指导方针)。风险厌恶程度越高,对冲就越有可能频繁地重新平衡至“中性”对冲比率。远期合约更合适,因为与期货合约相比,远期合约在货币组合、结算日期和交易金额方面更灵活。从管理的角度来看,远期合同也比期货合同简单,因为没有保证金要求,减少了投资组合管理费用。最后,在大规模交易中,远期合约的流动性比期货合约更强,因为场外外汇远期合约的日交易量超过了交易所交易的期货合约。 如题。

2023-06-25 17:54 1 · 回答