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1、TheManagementofForeignExchangeRiskbyIanH.GiddyandGunterDufeyNewYorkUniversityandUniversityofMichigan1OVERVIEW.1(a)Goalsofthechapter Exchangeriskistheeffectthatunanticipatedexchangeratechangeshaveonthevalueofthefirm.Thischapterexplorestheimpactofcurrencyfluctuati
2、onsoncashflows,onassetsandliabilities,andontherealbusinessofthefirm.Threequestionsmustbeasked.First,whatexchangeriskdoesthefirmface,andwhatmethodsareavailabletomeasurecurrencyexposure?Second,basedonthenatureoftheexposureandthefirm'sabilitytoforecastcurrencies,wh
3、athedgingorexchangeriskmanagementstrategyshouldthefirmemploy?Andfinally,whichofthevarioustoolsandtechniquesoftheforeignexchangemarketshouldbeemployed:debtandassets;forwardsandfutures;andoptions.Thechapterconcludesbysuggestingaframeworkthatcanbeusedtomatchtheinst
4、rumenttotheproblem.1(b)Whatisexchangerisk?Exchangeriskissimpleinconcept:apotentialgainorlossthatoccursasaresultofanexchangeratechange.Forexample,ifanindividualownsashareinHitachi,theJapanesecompany,heorshewillloseifthevalueoftheyendrops. Yetfromthissimplequestio
5、nseveralmorearise.First,whosegainorloss?Clearlynotjustthoseofasubsidiary,fortheymaybeoffsetbypositionstakenelsewhereinthefirm.Andnotjustgainsorlossesoncurrenttransactions,forthefirm'svalueconsistsofanticipatedfuturecashflowsaswellascurrentlycontractedones.Whatco
6、unts,modernfinancetellsus,isshareholdervalue;yettheimpactofanygivencurrencychangeonshareholdervalueisdifficulttoassess,soproxieshavetobeused.Theacademicevidencelinkingexchangeratechangestostockpricesisweak. Moreovertheshareholderwhohasadiversifiedportfoliomayfin
7、dthatthenegativeeffectofexchangeratechangesononefirmisoffsetbygainsinotherfirms;inotherwords,thatexchangeriskisdiversifiable.Ifitis,thanperhapsit'sanon-risk. Finally,riskisnotriskifitisanticipated.Inmostcurrenciestherearefuturesorforwardexchangecontractswhosepri
8、cesgivefirmsanindicationofwherethemarketexpectscurrenciestogo.Andthesecontractsoffertheabilitytolockintheanticipatedchange.Soperhapsabetterconceptofexchangeriskisunan
