NO.PZ201601050100000404
问题如下:
4. The most important risk to Björk‘s Latin American currency hedge would be changes in:
选项:
A.forward points.
B.exchange rate volatility.
C.cross-currency correlations.
解释:
C is correct.
A cross hedge exposes the fund to basis risk; that is, the risk that the hedge fails to protect against adverse currency movements because the correlations between the value of the assets being hedged and the hedging instrument change.
A is incorrect because movements in forward points (and hence roll yield) would be of secondary importance compared to the basis risk of a cross hedge.
B is incorrect because exchange rate volatility would not necessarily affect a hedge based on forward contracts, as long as the correlations between the underlying assets and the hedge remained stable. Although relevant, volatility in itself is not the -most- important risk to consider for a cross-hedge. (However, movements in volatility would affect hedges based on currency options.)
中文解析:
题干意思是说现在发现MXN这个币种和拉丁美洲的货币相关性很高,因此他想用MXN来代替拉丁美洲的货币来进行对冲,也就是cross hedge。
cross hedge的风险在于:所找的替代的币种(对应本题中的MXN),与要对冲的币种(对应本题中的拉丁美洲的货币)相关性并不是很高,此时就会存在对冲不完全等问题,就会存在风险。因此本题选C。
1、答案说forward points 指的的roll yied 这个怎么和本节知识点hedging multiple currency 关联在一起的呢?
2、此题目考查的是basis risk?
3、本节知识点hedging multiple currency 讲的对冲方法不涉及option 所以与volatility无关?