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cst6666 · 2024年07月14日

这个题目和美元上涨有关吗？

  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.

可以理解为美元上涨，US firm 可能会breach forward 带来的counterparty risk?

还是说因为时差而带来的settlement risk

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已采纳答案

Kiko_品职助教 · 2024年07月15日

嗨，从没放弃的小努力你好：


是settlement risk，只要是双方之间存在支付的环节，付款的一方就面临着对方破产的风险。如果IHK将欧元汇给GED，然后GED宣布破产，IHK将无法拿回这笔钱。

跟美元上涨没有关系，因为题干说了，这家公司已经签了远期合约锁定了汇率，所以汇率上涨不会有影响。

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