【正文】 s$ E[St$/s$ ])=($$ $$=$$ 凈損失＝ +－ ＝－ $$，損失總額為：－ $4000（總債務(wù)支出是 10百萬(wàn)） 損失增加是因?yàn)樾录悠吕噬仙?，基差改變所致。為加元債?wù)避險(xiǎn)的美元套期保值法：加元債務(wù)的現(xiàn)貨價(jià)格變化率與美元期貨價(jià)格變化率的關(guān)系如下： st163。 Switzerland) CME Chicago Mercantile Exchange (.) CBOT Chicago Board of Trade (.) Euronext (Amsterdam, Brussels, Lisbon, Paris, London) NYMEX New York Mercantile Exchange (.) BMamp。） In this case, the currency of the underlying exposure (f1) is different from the currency of the futures contract (f2). In the delta hedge, spot rate changes (std/f) were regressed on changes in futures prices (futtd/f). In the cross hedge, std/f2 is substituted for the independent variable futtd/f2 because ? the maturity of the futures contract is the same as that of the underlying transaction in the spot market, and ? futures prices converge to spot prices at maturity. An example of a CME cross hedge ? It is now January 18. You need to hedge a DKr （丹麥貨幣） 100 million obligation due on June 16. ? Spot (cross) exchange rates are $, €, and $€. ? A CME € futures contract expires on June 16 with a contract size of €100,000 ? In this cross hedge, there is a maturity match but a currency mismatch. ? Based on st$/DKr = a + b st$/€ + et , you estimate b = with r2 = . ? How many CME futures contracts should you buy to minimize the risk of your hedged position? The cross hedge solution Optimal hedge ratio: NFut* = (amt in futures)/(amt exposed) = b ? (amt in futures) = (b)(amt exposed) = ()(DKr100 million) = DKr104 million or €78 million at (DKr104m) (€) or 780 contracts. ? With an rsquare of , this is a fairly high quality hedge. DeltaCross Hedge （德爾塔交叉套期保值） ? 總結(jié)： most general case is the deltacross hedge. ? A deltacross hedge is used when there is both a currency and a maturity mismatch std/f1 = a + b futtd/f2 + et the underlying exposure and the futures contracts are in the same currency, then f1 = f2 = f and the hedge is a delta hedge. there is both a maturity and a currency match, then a futures hedge is nearly equivalent to a forward market hedge. std/f = a + b std/f + et 由于 std/f 與 std/f 的相關(guān)系數(shù)為 +1，所以，是完全套期保值（ r2=1），套期保值比率為 NFut*=b＝－ 1，此時(shí)期貨套期保值與遠(yuǎn)期套期保值是等值的，貨幣風(fēng)險(xiǎn)可以完全消除。 Chapter 2 Derivative Securities for Currency Risk Management—— Currency Futures and Futures Markets Chapter Overview ? 1 Financial Futures Exchanges ? 2 The Operation of Futures Markets ? 3 Futures Contracts ? 4 Forward versus Futures Market Hedges ? 5 Futures Hedges Using Cross Exchange Rates ? 6 Hedging with Currency Futures Chapter Objectives ? This chapter pares currency futures contracts to currency forward contracts and shows how they are priced by the marketplace. Emphasis is placed on how currency futures contracts are similar to, and yet different from, forward contracts.. ? The last several sections discuss implementation issues: Delta hedges for maturity mismatches Cross hedges for currency mismatches Deltacross hedges for currency and maturity mismatches Forward Market 1. Forward Contracts A forward contract is an agreement between a corporation and a merc