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程冠林 · 2024年01月13日

hedge的判断是基于expected spot rate就可以吗?还是要结合forward rate 一起。

NO.PZ2022123002000018

问题如下:

The third client is Fundo do Brasil (FB), 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 3. 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 3, 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:

Correct Answer: B

Because of equity investments in Australia and Switzerland, FB has long currency exposure to AUD and CHF. The appropriate risk-neutral strategy is to over-hedge (hedge ratio > 1) AUD and not hedge CHF. The AUD is selling at a forward premium of 2.27%, which means that the expected roll yield for a short hedge in AUD is 2.27%. Furthermore, the AUD is expected to depreciate by 3.28%, which means the short position in the AUD gains 3.28%. Thus, a short hedge of the AUD is appropriate. The CHF is at a forward discount of 2.64%, which means that the expected roll yield for a short hedge of CHF is –2.64%. The CHF is expected to appreciate 1.32%, which means that a short position in CHF would lose 1.32%. Thus, in this instance it would not be appropriate to hedge the CHF.

A is incorrect. The appropriate risk-neutral strategy is to over-hedge (hedge ratio > 1) AUD and not hedge CHF.

C is incorrect. The appropriate risk-neutral strategy is to over-hedge (hedge ratio > 1) AUD and not hedge CHF.

over/under-hedge的判断是基于分析师观点,即expected spot rate就可以吗?还是要结合forward rate 一起。

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已采纳答案

pzqa31 · 2024年01月14日

嗨,从没放弃的小努力你好:


都要看,这道题是因为预测AUD贬值(表格第四列和第二列的汇率比较),并且远期合约可以锁定一个较高的汇率,所以选择hedge,或者over hedge。


因为如果市场预测是贬值的,但是远期的价格更低,低于了预测的6个月后的汇率,此时虽然是长预测AUD会贬值,但是签远期锁定的汇率比预测的还低,此时就不能选择hedge,更不用说over hedge了。

同理:

预测CHF升值,并且看到远期合约约定的汇率没有预测的汇率高(2.4641<2.5642,),所以选择不hedge。

如果仍然是预测CHF升值,但是远期合约锁定了一个更高的汇率,远高于第四列的数据,此时还是需要hedge的。

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2024-01-09 19:38 3 · 回答