財(cái)務(wù)工程基礎(chǔ)知識(shí)講解-資料下載頁(yè)
2025-06-28 11:28本頁(yè)面
【正文】 Loans(dollars) Other time deposits(dollars) Total liabilities exchange rate: USD/GBP = USD/ITL = USD/USD = 采用資產(chǎn)負(fù)債管理后： Global Bank’s Balance Sheet (by currency) (one day activity) ( all values in millions ) Assets Liabilities Loans(sterling) Sterling Demand deposits Total GBP assets Time deposits Total GBP liability Loans(lira) Lira Demand deposits Total ITL Time deposits Total ITL liabilities Loans(dollars) Dollar Demand deposits Total USD assets Time deposits Total USD liabilities 通過(guò)這種方式是否完全消除了匯率風(fēng)險(xiǎn)？ iii. Hedging 套期保值需要考慮以下三個(gè)問(wèn)題： (1) Size of the Hedge (2) Measuring Hedge Effectiveness (3) Cost of Hedge III. The Corporate Treasurer’s Perspective: Reading Between The Lines 公司財(cái)務(wù)主管的看法：讀懂字里行間隱含的意思風(fēng)險(xiǎn)管理涉及4個(gè)步驟： 1) identify the risks to which the firm is exposed 2) quantify the exposures 3) determine the form of the outes sought 4) design or engineer a strategy to transform the risk exposures to the desired form1. Speculation, Arbitrage, and Market Efficiency1) Speculation price without speculation with speculation Time harvest harvest harvest harvest Temporal Pattern of Price 2) Arbitrage 地點(diǎn)間套利—空間套利或地理套利 時(shí)點(diǎn)間套利—時(shí)間套利 例： t t+T 0 3mons 即期：買(mǎi)入玉米 遠(yuǎn)期：3個(gè)月后交割的玉米 遠(yuǎn)期交割日 (倉(cāng)儲(chǔ)成本，利息費(fèi)用) －可能因擁有玉米實(shí)物而帶來(lái) 的便宜收益 持有成本 多種貨幣套利 Pi(T) = Pj(t)Ei,j + G(t,T) + Zi ( Wi,j163。 Zi 163。 Wi,j) Pi(T):資產(chǎn)在i市場(chǎng)的遠(yuǎn)期價(jià)格（用i貨幣標(biāo)價(jià)） Pj(t)：資產(chǎn)在j市場(chǎng)的即期價(jià)格 Ei,j：貨幣i兌j的即期匯率 G(t,T):將來(lái)交割的持有成本 Zi ：隨機(jī)項(xiàng) Wi,j：運(yùn)輸、交易、轉(zhuǎn)換成本的總和 3) Efficient Markets: Friends or Foe小組案例分析1和2 Strategic Exposure Contingent exposureStrategic exposure Competitive exposure 1) The Letter to Shareholders 2) Statement of Consolidate Ine 3) Statement of Change in Financial Position3. Analyzing the Balance Sheet 27 / 27
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