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toffee · 2023年05月20日

这道题

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。

我看了答案,是觉得很完整。

the method adopted by Gale cannot achieve the goal of complete hedging.

fully hedge his currency exposure by setting the current market value of the foreign-currency exposure with an equal and offsetting position in a forward contract. the above hedge method can accumulate unwanted currency exposure due to the change of underlying asset value. it is static hedge.

to keep the hedge ratio close to the target hedge ratio, we should adopt dynamic hedge.

the major disadvantages of dynamic hedge is high cost.


问题只是让建议一个对冲方法,没让解释原因吧,这个写多写少真的很难拿捏啊

2 个答案

treize_oz · 2023年06月07日

想问问,本题中如果是 用forward来对冲,是否short forward of usd/eur

pzqa31 · 2023年05月21日

嗨,爱思考的PZer你好:


主观题没有统一标准答案,只要关键点答上了就行,也不是写的越多越好。原版书后题的中文解析比较详细,不用完全作为主观题答案。

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就算太阳没有迎着我们而来,我们正在朝着它而去,加油!

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NO.PZ2018113001000067 问题如下 Gale, a funmanager working for anAmericwealth management company, manages pension fun for numerous localcompanies anhcurrenexposure to the EUR. He uses forwarcontracts tofully hee his currenexposure setting the current market value of theforeign-currenexposure in the portfolio with equanoffsettingposition in a forwarcontract.Explain why the methoapteGalees not achieve the goof complete heing.Recommenalternative heing strategythwill keep the hee ratio close to the target hee ratio. Intify themajor saantages of implementing this strategy. Answer:Gale manages currenexposure using astatic heing metho Static heing ten to accumulateunnecessary currenrisk the value of foreign currenassets changes. Thislea to a mismat(resulting in currenrisk) between the market value ofthe foreign currenportfolio anthe nominsize of the forwarcontractsusefor currenheing. For this reason, he shouluse namicheing.namic heing requires periocrebalancing of the portfolio. Rebalancing requires austing the size, quantityanration of foreign exchange contracts.Although namic heing will bring theactuheing ratio close to the target heing ratio, it hthe saantageof 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。 the spot rate in the future mffer from the forwarrate, so Gale's methocannot hee the currenexposure completely.alternative heing strategy is thGale croll the forwar anthe precision of heing is affectethe intervof the rolling. In orr to achieve complete heing, Gale hto rebalanonthe exchange rate changes, whiis impossible老师,以上是我的答案,跟标答比起来,没有说出是静态管理和动态管理。请问这种题需要把策略属性点明吗?

2023-06-29 16:27 1 · 回答

NO.PZ2018113001000067 问题如下 Gale, a funmanager working for anAmericwealth management company, manages pension fun for numerous localcompanies anhcurrenexposure to the EUR. He uses forwarcontracts tofully hee his currenexposure setting the current market value of theforeign-currenexposure in the portfolio with equanoffsettingposition in a forwarcontract.Explain why the methoapteGalees not achieve the goof complete heing.Recommenalternative heing strategythwill keep the hee ratio close to the target hee ratio. Intify themajor saantages of implementing this strategy. Answer:Gale manages currenexposure using astatic heing metho Static heing ten to accumulateunnecessary currenrisk the value of foreign currenassets changes. Thislea to a mismat(resulting in currenrisk) between the market value ofthe foreign currenportfolio anthe nominsize of the forwarcontractsusefor currenheing. For this reason, he shouluse namicheing.namic heing requires periocrebalancing of the portfolio. Rebalancing requires austing the size, quantityanration of foreign exchange contracts.Although namic heing will bring theactuheing ratio close to the target heing ratio, it hthe saantageof 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

2022-11-09 23:29 3 · 回答