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SUN · 2020年12月04日

问一道题:NO.PZ201601050100000404 第4小题 [ CFA III ]

* 问题详情,请 查看题干

问题如下:

4. The most important risk to Björk‘s Latin American currency hedge would be changes in:

选项:

A.

forward points.

B.

exchange rate volatility.

C.

cross-currency correlations.

解释:

C is correct.

A cross hedge exposes the fund to basis risk; that is, the risk that the hedge fails to protect against adverse currency movements because the correlations between the value of the assets being hedged and the hedging instrument change.

A is incorrect because movements in forward points (and hence roll yield) would be of secondary importance compared to the basis risk of a cross hedge.

B is incorrect because exchange rate volatility would not necessarily affect a hedge based on forward contracts, as long as the correlations between the underlying assets and the hedge remained stable. Although relevant, volatility in itself is not the -most- important risk to consider for a cross-hedge. (However, movements in volatility would affect hedges based on currency options.)

这道题我在笔记上写的A选项书第二重要的,什么意思
2 个答案
已采纳答案

xiaowan_品职助教 · 2020年12月05日

同学你好,

同学说的有道理。

我是这样理解的:因为这道题是想要对冲A,但是A流动性不好,所以找了和A相关性较高的B来做对冲工具,所以首要需要考虑的就是correlation,如果correlation满足条件了,那么下一步就要看hedge过程中的roll yield是正还是负,最好能找的positive roll yield的合约用来对冲。

xiaowan_品职助教 · 2020年12月05日

嗨,从没放弃的小努力你好:


同学你好,

确实不太清楚同学笔记的情况,这道题是原版书课后题R17的23题,何老师讲解时说A/B都是凑选项的,不用太在意。

同学也可以参考视频讲解:视频位置是课后题视频R17 1.5倍速 40分左右开始。


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SUN · 2020年12月05日

currency hedge的时候是不是要考虑forward premium是不是这个意思?

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