第讲用于汇率风险管理的衍生产品货币期货与期货市场.pptVIP

An example of a CME cross hedge It is now January 18. You need to hedge a DKr （丹麦货币）100 million obligation due on June 16. Spot (cross) exchange rates are $0.75/DKr, €0.75/DKr, and $1.00/€. A CME € futures contract expires on June 16 with a contract size of €100,000 In this cross hedge, there is a maturity match but a currency mismatch. Based on st$/DKr = a + b st$/€ + et , you estimate b = 1.040 with r2 = 0.89. How many CME futures contracts should you buy to minimize the risk of your hedged position? The cross hedge solution Optimal hedge ratio: NFut* = (amt in futures)/(amt exposed) = -b ? (amt in futures) = (-b)(amt exposed) = (-1.040)(-DKr100 million) = DKr104 million or €78 million at (DKr104m) (€0.75/DKr) or 780 contracts. With an r-square of 0.89, this is a fairly high quality hedge. Delta-Cross Hedge （德尔塔交叉套期保值） 总结： 1.The most general case is the delta-cross hedge. A delta-cross hedge is used when there is both a currency and a maturity mismatch std/f1 = a + b futtd/f2 + et 2.If the underlying exposure and the futures contracts are in the same currency, then f1 = f2 = f and the hedge is a delta hedge. 3.If there is both a maturity and a currency match, then a futures hedge is nearly equivalent to a forward market hedge. std/f = a + b std/f + et 由于std/f 与std/f 的相关系数为+1，所以，是完全套期保值（r2=1），套期保值比率为 NFut*=-b＝－1，此时期货套期保值与远期套期保值是等值的，货币风险可以完全消除。 4.A futures hedge is nearly perfect when there is a maturity and a currency match and the underlying transaction exposure is an even increment of the futures contract size. A classification of futures hedges * * * * * * * t 0 T t * * * * * * * * * * * Chapter 2 Derivative Securities for Currency Risk Management—— Currency Futures and Futures Markets Chapter Overview 1 Financial Futures Exchanges 2 The Operation of Futures Markets 3 Futures Contracts 4 Forward versus Futures Market Hedges 5 Futures Hedges