NO.PZ2018113001000067
问题如下：
Gale, a fund manager working for an
American wealth management company, manages pension funds for numerous local
companies and has currency exposure to the EUR. He uses forward contracts to
fully hedge his currency exposure by setting the current market value of the
foreign-currency exposure in the portfolio with an equal and offsetting
position in a forward contract.
Explain why the method adopted by Gale
does not achieve the goal of complete hedging.
Recommend an alternative hedging strategy
that will keep the hedge ratio close to the target hedge ratio. Identify the
major disadvantages of implementing this strategy.
选项：
解释：
Answer:
Gale manages currency exposure by using a
static hedging method.
Static hedging tends to accumulate
unnecessary currency risk as the value of foreign currency assets changes. This
leads to a mismatch (resulting in currency risk) between the market value of
the foreign currency portfolio and the nominal size of the forward contracts
used for currency hedging.
For this reason, he should use dynamic
hedging.
Dynamic hedging requires periodic
rebalancing of the portfolio. Rebalancing requires adjusting the size, quantity
and duration of foreign exchange contracts.
Although dynamic hedging will bring the
actual hedging ratio close to the target hedging ratio, it has the disadvantage
of increasing transaction costs.
中文解析：
盖尔使用的是静态对冲的方法来管理其外汇敞口。
静态对冲：往往会随着外币资产价值的变化而积累不必要的货币风险。这就导致了外汇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的错配(导致货币风险)。
因此，他应该使用动态对冲。
动态对冲需要定期调整投资组合。再平衡需要调整外汇合约的规模、数量和期限。
虽然动态套期保值会使实际的对冲比率更接近目标的对冲比率，达到更好的对冲。但其缺点是会增加交易成本。
如题
