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滴滴姐姐~ · 2021年02月19日

会有under hedge的情况吗？

  1. CFA III
  2. Derivative

NO.PZ2018111501000021

问题如下：

Fundo do Brasil (FB) is a Brazilian sovereign wealth fund. FB has long equity positions in Australian and Swiss equities. Spot and forward market currency information for AUD and CHF is provided in Exhibit 1. FB managers have asked Campos for advice on whether it would be appropriate to hedge the currency exposure with forward contracts in AUD and CHF. Campos indicates she will examine the use of forward contracts to hedge currency exposure.

Based on the information provided in Exhibit 1, the most appropriate risk neutral strategy is for FB to:

选项：

A.

under-hedge AUD and over-hedge CHF.

B.

over-hedge AUD and not hedge CHF.

C.

under-hedge CHF and not hedge AUD.

解释：

B is correct.

考点：Tools of Currency Management: Forward

解析：用forward contracts对冲外汇风险，对冲的是卖AUD和CHF的外汇风险，所以将来是short AUD forward, short CHF forward。相比预测的未来6个月的汇率（即不用合约锁定的汇率），2.1523>2.0355，所以应当hedge AUD，锁定更高的卖AUD的价格。并且over-hedge可以带来更高的收益。对于BRL/CHF， 2.4641<2.5642, 所以不hedge时，卖CHF的价格更高。

  1. 是不是over hedge == hedge ratio > 1, under hedge == hedge ratio < 1呀~
  2. 如果像题目中这种，先是为了对冲风险，顺便要是能多赚点儿小钱自然是极好的，那岂不是总是越多hedge约好呀（那怎么会有underhedge的情形呢）？


谢谢~

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1 个答案

Hertz_品职助教 · 2021年02月21日

嗨，从没放弃的小努力你好：


同学~

  1. 第一个问题你说的是正确的哈，HR>1也就是讲over hedge;HR<1，可以说是under hedge.
  2. 我理解你这个疑问哈，是这样的，6个月以后要卖出AUD，如用forward合约可以锁定在2.1523，这是确定下来的，不考虑对手方违约的话可认为没有了不确定性即没有了风险；但是六个月以后实际汇率我们只是预测它是2.0355，就预测的汇率来看，签合约对我们有利，因为我们可以锁定高价卖出。但是预测终究是预测，考虑到万一将来汇率远高于2.1523的情况，我们肯定不能hedge的越多越好呀~
          那为什么有under hedge情况呢~还是这个例子哈，我们6个月以后还要卖出CHF，就目前的合约约定的汇率和预测的汇率来看，我们想肯定是不hedge对我们有利，还是要考虑万一预测的不准呢，6个月以后发现实际汇率竟然比2.4641还低，考虑到这种情况我们就会想我们可以少hedge一部分，即under hedge，来确保万一实际汇率对我们非常不利的时候我们不至于亏得太惨嘛。如还有疑问欢迎追问~

-------------------------------
虽然现在很辛苦，但努力过的感觉真的很好，加油！


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