財務工程基礎知識講解-資料下載頁
2025-06-28 11:28本頁面
【正文】 Loans(dollars) Other time deposits(dollars) Total liabilities exchange rate: USD/GBP = USD/ITL = USD/USD = 采用資產負債管理后： 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 通過這種方式是否完全消除了匯率風險？ iii. Hedging 套期保值需要考慮以下三個問題： (1) Size of the Hedge (2) Measuring Hedge Effectiveness (3) Cost of Hedge III. The Corporate Treasurer’s Perspective: Reading Between The Lines 公司財務主管的看法：讀懂字里行間隱含的意思風險管理涉及4個步驟： 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 地點間套利—空間套利或地理套利 時點間套利—時間套利 例： t t+T 0 3mons 即期：買入玉米 遠期：3個月后交割的玉米 遠期交割日 (倉儲成本，利息費用) －可能因擁有玉米實物而帶來 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):資產在i市場的遠期價格（用i貨幣標價） Pj(t)：資產在j市場的即期價格 Ei,j：貨幣i兌j的即期匯率 G(t,T):將來交割的持有成本 Zi ：隨機項 Wi,j：運輸、交易、轉換成本的總和 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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