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六姑娘 · 2023年08月03日

这题我会从汇率风险从而选择市场风险，我这种思路有什么问题吗？

  1. CFA I
  2. Portfolio

NO.PZ2023021601000088

问题如下：

The German firm IHK AG has entered into a three-month forward currency contract to purchase USD35 million versus euros from US firm GED Corp. to hedge a future payment obligation. The US dollar appreciates 5% in the coming three months. IHK should most likely focus on:

选项：

A.market risk. B.liquidity risk. C.counterparty risk.

解释：

IHK’s potential risk is settlement risk, which is a type of counterparty risk. Settlement risk deals with the settling of payments that occur just before a default. If IHK wires the euros to GED and GED then declares bankruptcy, IHK will not be able to get the money back.A is incorrect. IHK would not face market risk since the forward contract would have become more valuable during the three months.B is incorrect. Liquidity risk is the risk of a significant downward valuation adjustment when selling a financial asset and is not applicable for a contract for which the price was fixed when the contract was initiated.

这题我会从汇率风险从而选择市场风险，我这种思路有什么问题吗？

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1 个答案

Kiko_品职助教 · 2023年08月08日

嗨，爱思考的PZer你好：


这家公司已经签了远期合约锁定了汇率，所以并没有汇率风险。

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