第十一章 经济风险的度量与管理(国际财务管理,Joseph F.Greco).ppt

CHAPTER 11 经济风险的度量与管理 CHAPTER OVERVIEW I. 外汇风险和经济风险 II. 汇率变化的经济后果 III. 经济风险的确认 IV. 经济风险的计算 V. 度量外汇风险的数量方法 VI. 经营风险管理 PART I.外汇风险和经济风险 I. 外汇风险 A. 经济风险 以汇率变化之下公司价值的变动程度为依据. 1 . Expectations about the fluctuation must be incorporated in all basic decisions of the firm. FOREIGN EXCHANGE RISK AND ECONOMIC EXPOSURE 2. 定义: a. 会计角度 影响企业的资产负债表 b. 经济风险 1.) 交易风险 2.) 经营风险 332经济风险的时间模型 FOREIGN EXCHANGE RISK AND ECONOMIC EXPOSURE 实际汇率P333 FOREIGN EXCHANGE RISK AND ECONOMIC EXPOSURE B. 实际汇率和风险 1. 名义和实际汇率: the real rate has been adjusted for price changes. FOREIGN EXCHANGE RISK AND ECONOMIC EXPOSURE 3. 小结 a. 没有相对价格变动,跨国公司不会面临真正的经营汇率风险.只要公司避免用外币条款签约. b. 币值变化对企业的影响取决于汇率变化是否被通货膨胀率之间的差异完全抵消,或者是滞实际汇率相对价格也发生变化. PART II.汇率变化的经济后果 II. 经济后果 A. 交易风险:源于需要用外币结算的不同类型的交易 1. On-balance sheet 2. Off-balance sheet THE ECONOMIC CONSEQUENCES  OF EXCHANGE RATE CHANGES II. 经济后果(con’t) B. 经营风险 : 实际汇率338 1. 需求价格弹性 2. 差异性 3. 公司的生产地和原料来源在不同国家之间灵活转换的能力是确定公司受外汇风险影响的另一个重要因素 THE ECONOMIC CONSEQUENCES  OF EXCHANGE RATE CHANGES II. 小结 一些经济因素,如公司经营的方式,公司生产原料的来源情况,以及实际汇率波动等都要比任何会计上的定义重要的多. PART III. IDENTIFYING ECONOMIC EXPOSURE III. 经济风险的确认 A. ASPEN SKIING COMPANY341 1. Firm’s exchange rate risk affected its sales revenues. IDENTIFYING ECONOMIC EXPOSURE A. ASPEN SKIING COMPANY (con’t) 2. Although there was no translation risk, the global market with its exchange rate risk and its competitors impacted market demand. IDENTIFYING ECONOMIC EXPOSURE B. PETROLEOS MEXICANOS (PEMEX)342 1. The firm’s exchange rate risk affected cost but not revenues. 2. Economic impact a. Revenues: none b. Costs: decreased c. Net effect: increased US$ flows IDENTIFYING ECONOMIC EXPOSURE C. TOYOTA MOTOR COMPANY343 1. Exchange rate risk affected BOTH revenues and costs. 2. Flow back effect: previously exported goods return with increased domestic competition. 3. Lower profit margins dome