F9 Part G Risk Management

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與昨日一樣，喜歡看帶顏色標註的小夥伴移步微信公眾號，鏈接F9複習筆記（四）

Part G Risk Management

兩種風險：

Interest rate risk

Foreign exchange rate risk

1.Interest rate risk

Risk of adverse movement in interest ratesand thus a reduction in the company』s net cash flow

1.1Basic risk 基準風險

Interest future rates do not normally move byexactly the same amount as the cash market rates, so the difference becomes thebasis risk.

1.2Gap exposure 時間不匹配

資產和負債的interest rate 可能基於不同時間基礎

1.3The cause of interest rate fluctuations

The term structure of interest rate yieldcurve& changing economic factors

Normally, the longer the term to maturity,the higher the rate of interest

Expectations Theory期望理論

If interest rates are expected to rise inthe future, the yield curve will slope upwards.

Liquidity preference theory (always pushes upward) 流動性偏好理論

投資者喜歡流動性好的àthe longer the maturity period, the higher the yield requiredleading to an upward sloping curve

Market segmentation theory 市場分割理論

短期steep curve

長期 flatter curve

「wiggle」 in the middle

Other factors affecting the interest rates

Risk (need for real return)

The size of the loan

Government policy

Inflation

Liquidity preference of investors and thedemand for borrowing

Balance of payments

1.4Interest rate risk-management

Internal methods

1)Matching (liabilities and assets with acommon interest rate are matched)

2)Smoothing (company keeps a balancebetween its fixed and floating rate borrowing)

3)Asset and liability management (Companiesattempt to match the duration of their asset and liability)

External methods

「Overthe counter」 market 櫃檯市場

1)Forward rete agreement (FRA) 遠期利率協議

To lock the company into a target rate interestrate

To hedge both adverse and favorable interestrate movement

2)Interest rate guarantees (IRGS) 利率擔保

It is an option. 可行使也可不行使

It protects the company from adversemovements and allows it take advantage of favorable movements.

3)Interest rate swap利率互換

Swap a floating stream of interest paymentsfor a fixed stream of interest payments

No exchange of principal 本金不交換

4)Interest rate collar 利率兩頭封

一頭封：interest rate cap (set a ceiling)

Interest rate floor (set a lower limit)

Exchange traded instrument 證券市場

1)Interest rate future 利率期貨

將來以某一價格買/賣期貨

Make a deposit: 先買後賣

Make a loan: 先賣後買

如果公司需要借錢，則未來利率的上升對他們不利。公司會選擇通過期貨買賣的方式來補償自己因為利率上升而帶來的損失，因為現在假設未來利率上升，則期貨價格下降，所以先高價賣再低價買會賺錢。

反之，如果公司要存錢，則未來利率下降對他們不利。現在假設未來利率下降，則期貨價格上升，所以公司會低價買再高價賣。

記住：A borrower always sell future.

2)Interest rate option 利率期權

可行使可不行使

A call option看漲期權 gives the holder the right to buy the future contract

A put option 看跌期權gives the holder the right to sell the future contract

2.Exchange rate risk

記住：出口>進口 本幣升值

出口<進口 本幣貶值（因為要多印錢去付款）

2.1 The Main exchange rate system

1)Fixed exchange rates

2)Floating exchange rates

①freely floating exchanging rates (clean floating) 由市場決定

②managed floating exchange rates (dirty floating) 市場&政府

2.2Types of currency risk

1)transaction risk 交易風險（只有這個是要管而且管得了的）

交易日到結算日的匯率變了

2)economic risk 經濟風險

3)translational risk 折算風險

母子公司合併時會出現

2.3 Hedging transaction risk

The minor technique

1)invoice in home currency 發票只收本幣

2)leading and lagging 提前或之後

3)matching

若有收付是同種貨幣並在同一天到期的可以匹配

這種方法能用得先用

4)netting

可在跨國企業中用，收付集中互相匹配

The major technique （重點！）

1)forward contract 遠期匯率市場

Lock an exchange rate today for buying orselling a specified currency in future

2)money market hedge 貨幣市場

兩種計算題

一：將來要付外幣

Eg. 本幣英鎊，三個月後付美元X

步驟：①現在存美元Y，使得三個月後取出要付款的金額X

②用英鎊Z換得美元Y

③借英鎊Z，三個月後需要付多少英鎊？（算出這個金額即為採用貨幣市場方法的成本）

二：將來要收外幣

Eg. 本幣英鎊，三個月後收到美元X

步驟：①借美元Y，使得三個月後需要還銀行X美元，即可將收到的錢給銀行

②把美元Y換成英鎊Z

③把英鎊Z存在銀行三個月可得到多少錢？（算出這個金額即為採用貨幣市場方法的收益）

注意：很多題目給的都是年利率！！記得乘以n/12

3)currency future 貨幣期貨

4)traded currency options 貨幣期權

5)currency swap

6)balance sheet hedging

2.4 Forecast exchange rates 預測匯率

1)balance of payment 國際收支平衡

2)purchasing power parity theory (PPPT) 購買力平價理論

高通脹的國家貨幣貶值

Current spot rate * (1+ inflation 1st)/(1+inflation2nd)=future expected spot rate in one year』s time

3)interest rate parity theory (IRPT) 利率平價理論

名義利率高的國家貨幣貶值

Current spot rate * (1+interest 1st)/(1+interest2nd)=forward rate in one year』s time

4)expectations theory 期望理論

5)the international fisher effect 費雪理論

(1+nominal rate) * (1+inflation rate)-1=realinterest rate

假設所有國家have the same real interest rate

2)-5)四個理論達到四方平衡

The four theory can be pulled together toshow the overall relationship between spot rates, interest rates, inflationrates and the forward and expected future rates.