国际金融 任康钰 第15章.pptVIP

Chapter 15 Managing Foreign Exchange Risk I. Overview on Exposures to FX Risk 1.1 货币风险（Currency risk） Risk: the future is unknown; 不确定性，即事件的结果不同于我们的预期。 Currency risk: exists if and only if the actual amount of the appreciation or depreciation is unknown. Currency Risk versus Currency Risk Exposure 货币风险和货币风险暴露 The multinational corporation is exposed to FX risk when the value of its assets and liabilities can change with unexpected changes in currency values Exposure to currency risk depends on how much is at risk. If an investor’s wealth is independent of foreign currency movements, then this investor has no exposure to foreign currency risk. 货币风险暴露：取决于处于风险中的货币数量的大小。其实指实际承担风险的数量的多少。以外币来表示。 “投机风险”（Speculative Risk）Vs.“纯粹风险”（Pure Risk） 1.2 非金融型企业的外汇风险 Balance Sheet Monetary assets and liabilities----Definition: Assets and liabilities with contractual payoffs, so that the size and timing of promised cash flows are known in advance. Monetary assets and liabilities – Items: Monetary assets: cash and money market securities, accounts receivable, domestic and Eurocurrency deposits, the cash inflow side of forwards, futures, options and swap contracts. Monetary liabilities: wages and accounts payable, domestic and Eurocurrency loans, and the cash outflow side of forwards, futures, options and swap contracts. Monetary contracts may be denominated either in the domestic or in foreign currencies. Real (non-monetary) assets and liabilities Defined as: all assets and liabilities that are not monetary. Real assets: the firm’s productive technologies and capacities, inventory. Returns on real assets are noncontractual and hence uncertain. Nonmonetary liabilities: common equity. The market value of common equity is equal to the value of the firm less the value of these other liabilities. Classification of FX Risk The nature of the risk exposure varies depending on whether the asset or liability is contractual or non-contra