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莉莉 · 2022年04月07日

请问怎么理解这道题我们看的头寸是short AUD forward, short CHF forward？

  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。

请问怎么理解这道题我们看的头寸是short AUD forward, short CHF forward？

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1 个答案

Hertz_品职助教 · 2022年04月07日

嗨，努力学习的PZer你好：


同学你好~

1.     根据题干的第一和第二句话，可以判断出本币是BRL，外币资产是AUD,CHF资产。（注意在外汇管理中，正确判断出本币和外币是做题的基础和关键哈）

2.     然后持有外币资产，所以担心外币贬值，因为如果外币贬值的话将来换回的本币BRL就变少了。

那怎么做对冲呢？

原则是担心什么事情发生就需要做该事情发生可以获利的策略，所以担心外币贬值，就需要short forward on 外币，对应本题就是short forward on AUD, short forward on CHF，或者表述为short AUD forward, short CHF forward，又或者表述为short forward on BRL/AUD, short forward on BRL/CHF，因为研究对象始终是分母位置的币种。

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

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