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cherry0540 · 2023年06月02日

问一道题

  1. CFA III
  2. Derivative

NO.PZ2018111501000018

问题如下：

Which comments about non-deliverable forwards (NDFs) is least accurate?

选项：

A.

NDFs are cash settled in the non-controlled currency of the currency pair.

B.

NDFs have greater credit risk associated with them than outright forward contracts.

C.

The pricing of NDFs may differ from what is expected on the basis of arbitrage conditions.

解释：

B is correct.

考点：Currency Management for Emerging Market Currencies

解析：NDF相比forward信用风险更小，而不是更大。因为NDF是现金结算（cash settlement），不需要结算本金，所以到期时交割的现金流更小，面临的信用风险更小。

老师，能否解释一下C选项？这个知识点在NDF讲义里没找到
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1 个答案

pzqa31 · 2023年06月02日

嗨，努力学习的PZer你好：


C选项的意思是，当有国家进行资本管制时，国际间套利所遵循的covered interest parity可能会不成立，那么NDFs的价格会和根据CIP理论定出的价格有所偏差，NDFs的价格更多体现了其本身的供需关系。相关原版书内容如下，同学可以参考理解哈：


Finally, we note that when capital controls exist, the free cross-border flow of capital that enforces the arbitrage condition underlying covered interest rate parity no longer functions consistently. Therefore, the pricing on NDFs need not be exactly in accord with the covered interest rate parity theorem. Instead, NDF pricing will reflect the individual supply and demand conditions (and risk premia) in the offshore market, which need not be the same as the onshore market of the specific emerging market country.

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努力的时光都是限量版，加油！

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