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Tristan · 2020年03月15日

问一道题：NO.PZ2018111501000018

  1. CFA III
  2. Derivative

问题如下：

Which comments about non-deliverable forwards (NDFs) is least accurate?

选项：

A.

NDFs are cash settled in the non-controlled currency of the currency pair.

B.

NDFs have greater credit risk associated with them than outright forward contracts.

C.

The pricing of NDFs may differ from what is expected on the basis of arbitrage conditions.

解释：

B is correct.

考点：Currency Management for Emerging Market Currencies

解析：NDF相比forward信用风险更小，而不是更大。因为NDF是现金结算（cash settlement），不需要结算本金，所以到期时交割的现金流更小，面临的信用风险更小。

老师好！

请问C为什么不对？我理解应该是相等的。

谢谢！

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1 个答案

xiaowan_品职助教 · 2020年03月15日

嗨，从没放弃的小努力你好：


同学你好，这个选项的意思是，当有国家进行资本管制时，国际间套利所遵循的covered interest parity可能会不成立，那么NDFs的价格会和根据CIP理论定出的价格有所偏差，NDFs的价格更多体现了其本身的供需关系。

我这边把原版书的解释贴在下方，你可以参考一下~

Finally, we note that when capital controls exist, the free cross-border flow of capital that enforces the arbitrage condition underlying covered interest rate parity no longer functions consistently. Therefore, the pricing on NDFs need not be exactly in accord with the covered interest rate parity theorem. Instead, NDF pricing will reflect the individual supply and demand conditions (and risk premia) in the offshore market, which need not be the same as the onshore market of the specific emerging market country.


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