标题: Reading 46: Currency Risk Management－LOS e [打印本页]
作者: tycoon 时间: 2008-9-18 11:55 标题: [2008] Session 17- Reading 46: Currency Risk Management－LOS e
CFA Institute Area 3-5, 7, 12, 14-18: Portfolio Management
Session 17: Portfolio Management in a Global Context
Reading 46: Currency Risk Management
LOS e: Explain the issues that arise when hedging multiple currencies.
作者: tycoon 时间: 2008-9-18 11:56
Jill Pope, CFA, manages a large multinational portfolio that includes assets denominated in over 20 currencies. Pope is planning to hedge this portfolio for currency risk. Composing:
| A) | a perfect hedge is always possible because all currencies have futures markets that can compose hedges for each currency. |
|
B) | a perfect hedge may not be possible, but she may be able to compose an effective hedge with futures on a few major currencies. |
|
| C) | a hedge with any measurable effectiveness is not possible because of the many currencies. |
|
| D) | a perfect hedge with a single futures contract on major currencies is generally possible. |
|
Answer and Explanation
Since many currencies do not have actively traded futures markets, the best choice for hedging a portfolio like the one in this problem would be to choose a few contracts on major currencies. To determine the best type and number of contracts, Pope can use a multiple regression of the returns of her portfolio on the futures returns of liquid contracts for a few major currencies.
作者: tycoon 时间: 2008-9-18 11:56
One of the problems in hedging the currency risk of a portfolio that has assets in many currencies is:
| A) | the negative correlation of each major currency with the value of its corresponding asset. |
|
B) | some of the currencies in which assets are denominated may not have liquid contracts that can provide adequate hedges. |
|
| C) | that they are inherently unhedgable. |
|
| D) | nothing; they can be hedged like any single currency portfolio. |
|
Answer and Explanation
Currency futures and forward contracts are not always actively traded, so hedging the movements in some of the currencies in a multicurrency portfolio may be difficult and inefficient. In these cases it may be desirable to use a cross hedge (i.e., hedge using an actively-traded futures contract on a correlated currency).
作者: tycoon 时间: 2008-9-18 11:57
In managing international, multi-currency portfolios, cross-hedging:
| A) | is not a technique used in this case. |
|
| B) | refers to hedging a stock with a bond, but both are denominated in the same currency. |
|
| C) | refers to hedging a bond with a stock, but both are denominated in the same currency. |
|
D) | refers to using the forward contracts on one currency to hedge the currency risk of another currency. |
|
Answer and Explanation
Currency futures and forward contracts are not always actively traded, so hedging the movements in some of the currencies in a multicurrency portfolio may be difficult and inefficient. In these cases it may be desirable to use a cross hedge (i.e., hedge using an actively-traded futures contract on a correlated currency).
| 欢迎光临 CFA论坛 (http://forum.theanalystspace.com/) |
Powered by Discuz! 7.2 |