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郎布斯吃苹果 · 2023年01月12日

请问overhedge和underhedge不都是hedge，有什么区别吗，以本题举个带数字的例子呢

  1. CFA III
  2. Derivative

NO.PZ2018111501000021

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。

题目作对，想深入理解概念（对比）

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1 个答案

Hertz_品职助教 · 2023年01月12日

嗨，爱思考的PZer你好：


同学你好

Over hedge和under hedge，都是对冲，区别在于对冲的比例不同。

一般100%的对冲我们叫做fully hedge，对冲比例超过100%，就是over hedge；小于100%就是under hedge了。

 

本题中没有具体的数字说外汇资产（AUD和CHF）是多少的规模，所以我们只能自己随便举例了。

比如AUD的资产规模是1million，那么我们担心外币贬值，所以就需要short forward on AUD，如果是fully hedge，那么这个forward合约的规模就是1million；如果是over hedge，那么这个forward合约的规模就大于1million，反之如果是under hedge，合约规模就小于1million。

 

一般客户的IPS会要求对冲比率，比如允许在中性对冲（其实就是100%对冲）的基础上上下浮动多少，比如上下浮动25%吧。意味着对冲比率在75%-125%之间，这其实就是一个over hedge和under hedge的范围了。

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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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