外匯風險概述(參考版)
2025-02-13 19:19本頁面
【正文】 Economic/Operating Exposure Outline ? Lufthansa case ? Operating Exposure – Example – Measuring operating exposure – Managing operating exposure ? financial hedges ? business strategies Lufthansa ? Jan. ?85: purchased 20 Boeing 737?s for $500 mln, payable Jan. 1986. ? What to do with the DM/$ exchange risk? – Remain uncovered? – Hedge 100% forward? – Hedge some forward? – Put options? – Money market hedge/prepay? Exhibit 1 (Lufthansa) Lufthansa?s Net Cost by Hedging Alternative Lufthansa ? Herr Rutnau felt the dollar was overvalued, and was likely to depreciate, reducing DM cost of aircraft. ? But he wasn?t sure. It could appreciate (had done so for 5 years). ? Sold 50% forward. Exhibit 2 (Lufthansa) What Herr Ruhnau Could See: The Rise Lufthansa ? Herr Rutnau felt the dollar was overvalued, and was likely to depreciate, reducing DM cost of aircraft. ? But he wasn?t sure. It could appreciate (had done so for 5 years). ? Sold 50% forward. ? Oute: – Dollar did depreciate: down 28%!! ? Rutnau heavily criticized for selling forward. Exhibit 3 (Lufthansa) What Herr Ruhnau Couldn?t See: The Fall Exhibit 1 (Lufthansa) Lufthansa?s Net Cost by Hedging Alternative Accusations against Ruhnau ? Chose wrong time to buy Boeing. Dollar at 1980?s high in Jan. 85. ? Hedging 50% when he expected the dollar to fall. Should have left the whole exposure unhedged. ? Using forwards instead of options. ? Buying Boeing at all. Should have bought Airbus. Should Ruhnau be fired? Operating exposure (. economic, petitive or strategic exposure) ? The impact of unexpected exchange rate changes upon known and unknown but expected future cash flows of the firm, for indefinite future. ? Firm value = discounted expected future cash flows ? Operating exposure therefore measures how firm value changes with unexpected changes in exchange rates Simple example ? . firm expects 10 mln SF/year from exports to Switzerland, indefinitely. ? Longterm exchange rate forecast = current spot exchange rate ? Current rate: 2 SF/$ (.50 $/SF) ? Required rate of return: 10%/year ? What if the SF depreciates? E[$ CF] $5 mln $5 mln $5 mln ... V 10% Perpetuity formula: V = C / r Year
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