NO.PZ2018111501000015
问题如下:
Raymond, a US analyst, is managing a fund with EUR-denominated assets. The assets are currently hedged by a EUR 500,000 forward contract. The maturity of the forward is March 1, that is three-months away from today. Due to the market condition changes, the assets have increased by EUR 20,000. Assume the USD/EUR spot rate is 1.1338, to rebalance the USD/EUR hedge, Raymond should:
选项:
A.sell EUR 20,000 spot
B.sell a EUR 20,000 three-month forward
C.buy a USD 22,676 three-month forward
解释:
B is correct.
考点:Tools of Currency Management: Forward
解析:动态对冲,在建立对冲机制后,会定期调整对冲比例,实现更好的对冲效果。方法之一是应当针对增值部分签订三个月的远期合约,所以A错,B正确。这种方法投资者手上会同时持有多份合约。C错误的原因是,应该使用forward exchange rate而不是spot exchange rate来计算。
老师您好,本题我在AB选项之间犹豫。两个问题:1)题目说to rebalance the USD/EUR hedge,请问一般"to rebalance the hedge"的目的是什么? 因为已经有赚2万,现在换成美元现金,落袋为安,我认为也不是不可以啊。 2)本题没有给forward exchange的具体汇率,假设forward汇率还不如spot的,那么我认为就应该选A而不选B。
也正式因为上面问题(1)(2)这两个想法,我最终认为A可能更好些。请指教,谢谢!