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莉莉 · 2022年03月25日

这道题的overhedge 和 underhedge是指什么意思？

  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。

这道题的overhedge 和 underhedge是指什么意思？

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1 个答案

Hertz_品职助教 · 2022年03月25日

嗨，努力学习的PZer你好：


同学你好~

这里的over hedge和under hedge意思是多hedge和少hedge的问题。一般是相比于目标的对冲比率，比如IPS规定对冲比率是90%，那么你对冲了95%的头寸就是over hedge;相反如果是对冲的比例小于90%就是under hedge了。

当然如果没有明确说明目标的对冲比例是多少，就默认是要完全对冲就是100%的hedge.这种情况下，对冲比例超过100%就是over hedge,反之低于100%就是under hedge.

举例来说，需要hedge的头寸是100million，目标是100%对冲. 那么此时如果我们short forward的规模是110million，就是over hedge;相反如果是short forward 的头寸是90million，就是under hedge.

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