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sincex · 2023年06月29日

这样回答可以吗?

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。

the spot rate in the future may differ from the forward rate, so Gale's method cannot hedge the currency exposure completely.

an alternative hedging strategy is that Gale can roll the forward, and the precision of hedging is affected by the interval of the rolling. In order to achieve complete hedging, Gale has to rebalance once the exchange rate changes, which is 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?

1 个答案

pzqa31 · 2023年06月29日

嗨,爱思考的PZer你好:


可以简单写写,主观题回答应该是论点+证据+解释,可以简单写写作为解释,不过不用像这道题答案解释写这么多。

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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。 我看了答案,是觉得很完整。the methoapteGale cannot achieve the goof complete heing.fully hee his currenexposure setting the current market value of the foreign-currenexposure with equanoffsetting position in a forwarcontract. the above hee methocaccumulate unwantecurrenexposure e to the change of unrlying asset value. it is static hee.to keep the hee ratio close to the target hee ratio, we shoulapt namic hee.the major saantages of namic hee is high cost.问题只是让建议一个对冲方法,没让原因吧,这个写多写少真的很难拿捏啊

2023-05-20 21:11 2 · 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