匯率風(fēng)險(xiǎn)的測(cè)量和管理：在企業(yè)的問(wèn)題和方法(文件)
【正文】 Section II, we outline the main measurement approach to exchange rate risk (VaR). In Section III, we review the main elements of exchange rate risk management, including hedging strategies, hedging benchmarks and performance, and best practices for managing currency risk. In Section IV, we offer an overview of the main hedging instruments in the OTC and exchangetraded markets. In Section V, we provide data on the use of various derivatives instruments and hedging practices by . firms. In Section VI, we conclude by offering some general remarks on the need for hedging operations based on recent currencycrisis experiences. II. DEFINITION AND TYPES OF EXCHANGE RATE RISK A mon definition of exchange rate risk relates to the effect of unexpected exchange rate changes on the value of the firm (Madura, 1989). In particular, it is defined as the possible direct loss (as a result of an unhedged exposure) or indirect loss in the firm’s cash flows, assets and liabilities, profit and, in turn, its stock market value from an exchange rate move. To manage the exchange rate risk inherent in multinational firms’ operations, a firm needs to determine the specific type of current risk exposure, the hedging strategy and the available instruments to deal with these currency risks. Multinational firms are participants in currency markets by virtue of their international operations. To measure the impact of exchange rate movements on a firm that is engaged in foreigncurrency denominated transactions, ., the implied valueatrisk (VaR) from exchange rate moves, we need to identify the type of risks that the firm is exposed to and the amount of risk encountered (Hakala and Wystup, 2020). The three main types of exchange rate risk that we consider in this paper are (Shapiro, 1996。 Holton, 2020). At present, a widely used method is the valueatrisk (VaR) model. Broadly, value at risk is defined as the maximum loss for a given exposure over a given time horizon with z% confidence. The VaR methodology can be used to measure a variety of types of risk, helping firms in their risk management. However, the VaR does not define what happens to the exposure for the (100 – z) % point of confidence, ., the worst case scenario. Since the VaR model does not define the maximum loss with 100 percent confidence, firms often set operational limits, such as nominal amounts or stop loss orders, in addition to VaR limits, to reach the highest possible coverage (Papaioannou and Gatzonas, 2020). ValueatRisk calculation The VaR measure of exchange rate risk is used by firms to estimate the riskiness of a foreign exchange position resulting from a firm’s activities, including the foreign exchange position of its treasury, over a certain time period under normal conditions (Holton, 2020). The VaR calculation depends on 3 parameters: * The holding period, ., the length of time over which the foreign exchange position is planned to be held. The typical holding period is 1 day. * The confidence level at which the estimate is planned to be made. The usual confidence levels are 99 percent and 95 percent. * The unit of currency to be used for the denomination of the VaR. Assuming a holding period of x days and a confidence level of y%, the VaR measures what will be the maximum loss (., the decrease in the market value of a foreign exchange position) over x days, if the xdays period is not one of the (100y)% xdays periods that are the worst under normal conditions. Thus, if the foreign
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