注册 登录
上一主题：Testing Time
下一主题：Ethics Question (Basic)
返回列表 发帖
transferpricing

Rank: 2

UID
222278 
帖子
295 
主题
68 
注册时间
2011-7-2 
最后登录
2016-4-19 
1# 跳转到 » 倒序看帖
打印
tT
发表于 2011-7-11 19:43 | 只看该作者

Credit Risk Positions

forward, foreign, discount, someone, domestic
Can someone explain why Q1 on page 255 of Risk Management uses the foreign risk free rate to discount the spot and not the domestic rate?

CFAI says to use the foreign to discount the spot and the domestic rate to discount the forward. Any help would be much appreciated!

 

相关主题：

. hedged return question

. Econ

. Reading 18: Currency Exchange Rates - LOS h, (Part 1) ～ Q

. Reading 18: Currency Exchange Rates - LOS g ～ Q1-6

. 求助直接标价法/间接标价法的问题

收藏 分享

Darien

Rank: 2

UID
222308 
帖子
397 
主题
6 
注册时间
2011-7-2 
最后登录
2016-8-1 
2#
发表于 2011-7-11 19:43 | 只看该作者
I though it was foreign with spot and domestic with forward, no?

TOP

susana

Rank: 2

UID
218224 
帖子
440 
主题
106 
注册时间
2011-5-26 
最后登录
2012-9-12 
3#
发表于 2011-7-11 19:43 | 只看该作者
Is it? That's my question. Is that a hard and fast rule?

TOP

liangfeng

Rank: 3Rank: 3

UID
218211 
帖子
659 
主题
120 
注册时间
2011-5-26 
最后登录
2012-9-12 
4#
发表于 2011-7-11 19:43 | 只看该作者
F = S * (1+R_d) / (1+R_f) when measured in domestic currency per unit local currency.

Divide both sides by (1 + R_d) --> F/(1+R_d) = S/(1+R_f). Subtract the term on the right to have F/(1+R_d) - S/(1+R_f) = 0.

TOP

thommo77

Rank: 3Rank: 3

UID
222320 
帖子
448 
主题
21 
注册时间
2011-7-2 
最后登录
2015-12-8 
5#
发表于 2011-7-11 19:43 | 只看该作者
^ the formula above means you are long forward, so if the value > 0, then you have credit risk because someone owes you some amount, and they can default on it.

TOP

返回列表
上一主题：Testing Time
下一主题：Ethics Question (Basic)