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yulia · 2020年03月01日

问一道题:NO.PZ201601050100000403 第3小题 [ CFA III ]

* 问题详情,请 查看题干

问题如下:

3. Given the recent movement in the forward premium for the SEK/EUR rate, Björk can expect that the hedge will experience higher:

选项:

A.

basis risk.

B.

roll yield.

C.

premia income.

解释:

B is correct.

To hedge the EUR-denominated assets Björk will be selling forward contracts on the SEK/EUR cross rate. A higher forward premium will result in higher roll return as Björk is selling the EUR forward at a higher all-in forward rate, and closing out the contract at a lower rate (all else equal), given that the forward curve is in contango.

A is incorrect because Björk is hedging EUR-denominated assets with a EUR-denominated forward contract. While it is true that the gap between spot and forward rates will be higher the higher the interest rate differential between countries, this gap (basis) converges to zero near maturity date, when the forward contracts would be rolled.

C is incorrect because forward contracts do not generate premia income; writing options does.

这里应该是sek利率上升 eur汇率升值 所以应该long啊?
1 个答案

xiaowan_品职助教 · 2020年03月01日

嗨,努力学习的PZer你好:


同学你好,这道题是为了对冲持有EUR资产的风险,担心什么,就做一个这件事情发生会获利的操作。在这里我们担心EUR下跌,所以要short EUR来对冲。

 


-------------------------------
努力的时光都是限量版,加油!


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