外汇风险概述.ppt

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1、Economic/OperatingExposureOutlineLufthansacaseOperatingExposureExampleMeasuringoperatingexposureManagingoperatingexposurefinancialhedgesbusinessstrategiesLufthansaJan.‘85:purchased20Boeing737’sfor$500mln,payableJan.1986.WhattodowiththeDM/$exchangerisk?Remainuncovered?H

2、edge100%forward?Hedgesomeforward?Putoptions?Moneymarkethedge/prepay?Exhibit1(Lufthansa)Lufthansa’sNetCostbyHedgingAlternativeLufthansaHerrRutnaufeltthedollarwasovervalued,andwaslikelytodepreciate,reducingDMcostofaircraft.Buthewasn’tsure.Itcouldappreciate(haddonesofor5y

3、ears).Sold50%forward.Exhibit2(Lufthansa)WhatHerrRuhnauCouldSee:TheRiseLufthansaHerrRutnaufeltthedollarwasovervalued,andwaslikelytodepreciate,reducingDMcostofaircraft.Buthewasn’tsure.Itcouldappreciate(haddonesofor5years).Sold50%forward.Outcome:Dollardiddepreciate:down28

4、%!!Rutnauheavilycriticizedforsellingforward.Exhibit3(Lufthansa)WhatHerrRuhnauCouldn’tSee:TheFallExhibit1(Lufthansa)Lufthansa’sNetCostbyHedgingAlternativeAccusationsagainstRuhnauChosewrongtimetobuyBoeing.Dollarat1980’shighinJan.85.Hedging50%whenheexpectedthedollartofall

5、.Shouldhaveleftthewholeexposureunhedged.Usingforwardsinsteadofoptions.BuyingBoeingatall.ShouldhaveboughtAirbus.ShouldRuhnaubefired?Operatingexposure(a.k.a.economic,competitiveorstrategicexposure)Theimpactofunexpectedexchangeratechangesuponknownandunknownbutexpectedfutu

6、recashflowsofthefirm,forindefinitefuture.Firmvalue=discountedexpectedfuturecashflowsOperatingexposurethereforemeasureshowfirmvaluechangeswithunexpectedchangesinexchangeratesSimpleexampleU.S.firmexpects10mlnSF/yearfromexportstoSwitzerland,indefinitely.Long-termexchanger

7、ateforecast=currentspotexchangerateCurrentrate:2SF/$(.50$/SF)Requiredrateofreturn:10%/yearWhatiftheSFdepreciates?E[$CF]$5mln$5mln$5mln...V10%Perpetuityformula:V=C/rYear123...SFSF10mlnSF10mlnSF10mln...forecast:.50$/SF.50$/SF.50$/SF...SoV=$5mln/.10=$50mlnE[$CF]$5mln$5ml

8、n$5mln...10%WhatifSFdepreciates2%,to.49$/DM?Year123...SFSF10mlnSF10mlnSF10mln...forecast:.50$/SF.50$/SF.50$/SF...$50m