［2008］Topic 37: Identifying and Managing Cash Flow Exposures相关习题 sales, exchange, company, example, recent

Baran

AIM 1: Describe how to measure cash flow exposure to exchange rates and compute the optimal hedge ratio.

 

1、Judy Starks is assessing her company’s exposure to exchange rate fluctuations. Starks’ immediate concern is conserving the dollar value of receivables associated with recent sales abroad. This is an example of:

A) contractual exposure.
 
B) competitive exposure. 
 
C) transactions exposure. 
 
D) price exposure.

Baran

The correct answer is C

Transactions exposure results from having receivables from past business deals in which the firm will receive payment in a foreign currency.

Baran

2、Short-dated futures contracts are most effective for hedging which type of foreign exchange exposure?

A) Translation exposure.
 
B) Transactions exposure.
 
C) Competitive exposure.
 
D) Quantity exposure.

Baran

The correct answer is B

Transactions exposure is related to receivables and payables that are already booked. Thus, transactions exposure represents known, short-term cash flows that can be effectively hedged.

Baran

3、You are assessing your company’s exposure to exchange rate fluctuations. Your immediate concern is the impact of future exchange rate movements on future exports to Europe. This is an example of:

A) price exposure.
 
B) competitive exposure.
 
C) contractual exposure.
 
D) transactions exposure. 

Baran

The correct answer is B

Competitive exposure is the sensitivity of the firm’s cash flow to a change in the risk factor resulting from changes in the firm’s competitive position.

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 4、A U.S.-based company exports consumer goods to Britain and is concerned with the U.S. dollar value of revenue from British sales. A futures hedge is unnecessary if British pound revenues:

A) have a correlation with the value of the pound of +0.5.
 
B) are perfectly negatively correlated with the value of the pound.
 
C) are perfectly positively correlated with the value of the pound. 
 
D) are uncorrelated with the value of the pound.

Baran

The correct answer is B

If pound revenues are perfectly negatively correlated with the value of the pound, there is no need to hedge, as the dollar value of pound revenues is constant.

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5、XPORT Inc. exports consumer goods to Britain. The firm would like to hedge its foreign currency exposure by taking a position in a futures contract on the British pound. If British sales, denominated in pounds, are uncorrelated with changes in the value of the pound:

A) the firm cannot construct a perfect hedge.
 
B) the firm will be able to construct a perfect hedge.
 
C) the firm has no need to hedge.
 
D) any hedge will be completely ineffective.

Baran

The correct answer is A

It is impossible to construct a perfect hedge with a single futures contract when there are two uncorrelated sources of risk.