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三金 · 2021年02月27日

没有回想起这个题对应具体哪个知识点

  1. CFA III
  2. Derivative

* 问题详情，请 查看题干

NO.PZ201601050100000108

问题如下：

The fund manager of Portfolio B believes that setting up a full currency hedge requires a simple matching of the current market value of the foreign-currency exposure in the portfolio with an equal and offsetting position in a forward contract.

8. Explain how the hedge, as described by the fund manager, will eventually expose the portfolio to currency risk.

选项：

解释：

In practice, matching the current market value of the foreign-currency exposure in the portfolio with an equal and offsetting position in a forward contract is likely to be ineffective over time because the market value of foreign-currency assets will change with market conditions. A static hedge (i.e., an unchanging hedge) will tend to accumulate unwanted currency exposures as the value of the foreign-currency assets change. This will result in a mismatch between the market value of the foreign-currency asset portfolio and the nominal size of the forward contract used for the currency hedge (resulting in currency risk). For this reason, the portfolio manager will generally need to implement a dynamic hedge by rebalancing the portfolio periodically.

能否请老师提醒一下，这个知识点对应的是哪里？整道大题会是正式考试的考察形式吗？

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Hertz_品职助教 · 2021年02月28日

嗨，努力学习的PZer你好：


同学你好~

这是在考察静态对冲和动态对冲的知识。这部分是在基础班讲义P69，对应Reading17-外汇管理部分-tools of currency management-forward contract - Adjust hedge ratio这部分。这部分的重点有两部分:（1）动态对冲下调整对冲比率，即进行rebalance。例如当持有外币资产的时候如何进行动态的hedge,有两种方法，一是定期对hedge的本金变化部分签订新的合约；二是定期对原头寸做反向头寸。（2）roll yield.

根据你的截图这道题是一道主观题，做explain.在正式考试中，外汇这部分如果考到主观题这种做explain的题型是会有哒，然后如果外汇这部分考到客观题，多是以计算题的形式考察。

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

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