国际金融期末复习中英文.docx

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1、【名词解释】【The Special Drawing Right (SDR) 特别提款权】p 30The Special Drawing Right (SDR) is an international reserve asset created by the IMF to supplement existing foreign exchange reserves. (It serves as a unit of account for the IMF and is also the base against which some countries peg the exchange rate

2、for their currencies. 【LIBOR 伦敦同业银行拆解率】p 33Eurocurrency Interest Rates: LIBOR LIBORLondon Interbank Offered Rate is the reference rate of interest in the Eurocurrency market, and is now the most widely accepted rate of interest used in standardized quotations, loan agreements or financial derivative

3、s valuations. LIBOR is officially defined by the British Bankers Association.【Dollarization美元化】Dollarization the use of the US dollar as the official currency of the country.只将美元用作官方通货。【Eurodollar 欧洲美元】 Eurodollar is one of the European currency types，which refers to the dollar deposits in banks out

4、side the united states是指存放在美国以外的银行中的美元存款，欧洲美元是欧洲货币的一种类型。【Direct Quotes直接报价】 A direct quote is a home currency price of a unit of foreign currency. 直接报价法是用本币表示一单位外币的价格。【In direct quotes 间接报价】 An indirect quote is a foreign currency price of a unit of home currency. 间接报价法是用外币表示一单位本币的价格。【European optio

5、n 欧式期权】 A European option may be exercised only on its expiration date，not before. 只能在到期日那天执行的期权【American option 美式期权】 An American option may be exercised at any time between the date of writing and the expiration or maturity date. 可在包括到期日之前的任一天执行的期权。 【call option 看涨期权】市场价格期权费+合约价 Call option is the

6、 right of buying foreign currency or other financial contracts at a specific price within a particular period, but not the obligation. 在一个特定时期以特定价格买入外汇或其他金融合约的权利，而非义务。【put option 看跌期权】市场价格期权费+合约价Put option is the right of selling foreign currency or other financial contracts at a specific price with

7、in a particular period, but not the obligation. 在一个特定时期以特定价格卖出外汇或其他金融合约的权利，而非义务【Interest rate parity 利率平价条件】 The theory states：the difference in the national interest rates for securities of similar risk and maturity should be equal to， but opposite in sign to, the forward rate discount or premium f

8、or the foreign currency, except for transactions costs.这一理论认为：风险一样、期限一样的证券的名义利率差异应该等于负的去除交易本钱的外汇远期升贴水。【At-the-money (ATM) 到价】An option whose price is the same as the spot price of the underlying currency is said to be at-the-money (ATM).当期权的执行价格等于现时市场价格时，该期权被称为到价。【In-the-money (ITM) 价内】An option tha

9、t would be profitable, excluding the cost of premium, if exercised immediately is said to be in-the-money (ITM). 除去期权费用之后还能带来盈利的期权合约被称为是价内。【Out-of-the-money (OTM)价外】An option that would not be profitable, again excluding the cost of the premium, if exercised immediately is referred to as out-of-the-

10、money (OTM). 除去期权费用之后不能带来盈利的期权合约被称为是价外。u IMF Exchange Rate Regime Classifications 汇率体制的分类1 ) Exchange Arrangements with No Separate Legal Tender无独立法定货币的汇率安排: Currency of another country circulates as sole legal tender or member belongs to a monetary or currency union in which same legal tender is sh

11、ared by members of the union 指一国采用另一国的货币作为唯一法定货币。如美元化2 ) Currency Board Arrangements货币局汇率: Monetary regime based on implicit national commitment to exchange domestic currency for a specified foreign currency at a fixed exchange rate指货币当局规定本国货币与某一外国货币之间可以以一固定比率无限制兑换，货币发行当局要确保这一兑换义务实现的汇率制度。3 ) Other C

12、onventional Fixed Peg Arrangements传统的固定盯住汇率: Country pegs its currency (formal or de facto) at a fixed rate to a major currency or a basket of currencies where exchange rate fluctuates within a narrow margin or at most 1% around central rate以固定的汇率将其货币盯住另一货币或一货币篮子，国家当局通过直接或间接敢于维持固定平价, 汇率围绕中心汇率在+1%的狭窄

13、范围内波动4 ) Pegged Exchange Rates w/in Horizontal Bands有波幅的盯住汇率: Value of the currency is maintained within margins of fluctuation around a formal or de facto fixed peg that are wider than 1% around central rate 对单一货币或对货币篮子即期市场汇率的波幅能够保持在一个 1%的范围内 5 ) Crawling Peg爬行盯住汇率: Currency is adjusted periodicall

14、y in small amounts at a fixed, preannounced rate in response to changes in certain quantitative measures汇率按预先宣布的固定范围作较小的定期调整或对选定的定量指标的变化做定期的调整。6 ) Exchange Rates within Crawling Peg有波幅的爬行盯住汇率: Currency is maintained within certain fluctuation margins around a central rate that is adjusted periodical

15、ly 汇率围绕一个定期调整的中心汇率，维持在在一定的利润范围内7 ) Managed Floating with No Preannounced Path for Exchange Rate: 不带目的的管理浮动汇率Monetary authority influences the movements of the exchange rate through active intervention in foreign exchange markets without specifying a pre-announced path for the exchange rate 货币当局试图通过干

16、预外汇市场来对汇率的变动施加影响，但没有事先确定干预路径8 ) Independent Floating完全浮动汇率: Exchange rate is market determined, with any foreign exchange intervention aimed at moderating the rate of change and preventing undue fluctuations in the exchange rate, rather than at establishing a level for it 汇率由市场决定，官方的干预旨在缓解汇率的过度波动，不在

17、于将汇率维持在某一水平。u The accounts of the balance of payments 国际收支平衡表A. Current account 经常账户 1. Goods trade 货物 2. Service trade 效劳3. Income 收入 4. Current transfers 经常转移B. Capital account 资本账户1. Transfers of financial assets 金融资产的转移2. The acquisition and disposal of nonproduced/nonfinancial assets非生产/非金融资产的收

18、买与放弃Direct investment 直接投资 Portfolio investment 证券投资C. Financial account Other investment assets/Liabilities 其他投资资产/负债 Reserve assets 储藏资产D errors and Omissions 净误差与遗漏u 金本位制与布雷顿森林体系的区别金本位制：以黄金为本位币的货币制度。实质各国货币与黄金挂钩布雷顿森林体系：确立了以美元为中心的国际货币制度 美元与黄金挂钩 实质“双挂钩 各国货币与美元挂钩 u The BOP & Exchange Rates 国际收支平衡与汇率的

19、关系1. Fixed exchange rate countries Under a fixed exchange rate system, the government bears the responsibility to ensure that the BOP is near zero.If the sum of the current and capital accounts do not approximate zero, the government is expected to intervene in the foreign exchange market by buying

20、or selling official foreign exchange reserves.If the sum of the current and capital accounts is greater than zero, a surplus demand for the domestic currency exists in the world. To preserve the fixed exchange rate, the government must then intervene in the foreign exchange market and sell domestic

21、currency for foreign currencies or gold so as to bring the BOP back near zero.If the sum of the current and capital accounts is negative, an excess supply of the domestic currency exists in the world markets. The government must intervene by buying the domestic currency with its reserves of foreign

22、currencies and gold.在固定汇率制度下，政府需要承当确保国际收支余额接近0的责任。 如果经常账户与资本账户的余额之与不接近0，政府就要在外汇市场上买进或卖出外汇储藏来进展干预。 如果这两个账户的余额之与大于0，说明世界范围内本国货币供不应求。为了维持固定汇率，政府必须在外汇市场上干预，卖出本币换取外币或黄金，从而使国际收支余额接近0. 如果这两个账户的余额之与小于0，政府那么必须在外汇市场上干预，卖出外币或黄金换取本币。经常账户+资本账户余额0 政府干预 买进/卖出外汇储藏经常账户+资本账户余额0 政府干预 卖出本币、换取外币/黄金经常账户+资本账户余额0 政府干预 卖出外币

23、/黄金、换取本币2. Floating exchange rate countries Under a floating exchange rate system, the government of a country has no responsibility to peg its foreign exchange rate. 在浮动汇率制度下，政府没有盯住汇率的责任。3. Managed floats The countries operating with managed floats seek to alter the market activity, rather than thr

24、ough direct intervention in the foreign exchange market. 在实行有管理的浮动汇率制度下，政府会通过影响市场行为的动机来改变市场对某一货币的估值，而不是在外汇市场直接进展干预。u Triangular arbitrage 三角套汇 P 109 PPT第五章34页u Types of foreign exchange exposure/risk 外汇风险的类型 Transaction Exposure交易风险 measures changes in the value of outstanding financial obligations

25、incurred prior to a change in exchange rates but not due to be settled until after the exchange rate changes交易风险Transaction Risk是指以外币标价的交易合同，由于合同签订时与将来结算时的汇率不同，造成的一样金额的外币折算本钱币时数量发生变化的风险。交易风险又可分为外汇买卖风险与交易结算风险。 Operating ExposureEconomic Exposure经营风险 also called economic exposure, measures the change

26、in the present value of the firm resulting from any change in expected future operating cash flows caused by an unexpected change in exchange rates经营风险又称经济风险是指由于意料之外的汇率变动，使企业在将来特定时期的收益发生变化的可能性。经营风险是由于汇率的变动影响企业的生产本钱、销售价格，进而引起产销数量的变化，并由此最终带来获利状况的变化。经营风险中所说的汇率变动，仅指意料之外的汇率变动。两者区别：交易风险是已合约化的现金流量变化；营运风险强调

27、未合约化的预期现金流量变化 Translation Exposure折算风险 also called accounting exposure会计风险, is the potential for accounting derived changes in owners equity to occur because of the need to “translate financial statements of foreign subsidiaries into a single reporting currency for consolidated financial statements折

28、算风险是指企业在会计处理与外币债权、债务决算时，将必须转换本钱币的各种外币计价工程加以折算时所产生的风险。 Tax Exposure 税收风险 the tax consequence of foreign exchange exposure varies by country, however as a general rule only realized foreign losses are deductible for purposes of calculating income taxesu 画图题： Call option 看涨期权Breakeven price盈亏平衡价收益为0Are

29、a of limited loss有限损失区域Area of unlimited profit无限收益区域Buyer：Profit 收益无穷大 Maximum loss premium 损失至多为期权费Seller：Loss 损失无穷大 Maximum profit 收益至多为期权费 注：盈亏平衡价是指市场价等于合约价。u Tridents Transaction Exposure 泰鼎公司的外汇风险1. Unhedged position1) Maria may decide to accept the transaction risk2) If she believes that the

30、future spot rate will be $1.76/, then Trident will receive 1,000,000 x $1.76/ = $1,760,000 in 3 months time3) However, if the future spot rate is $1.65/, Trident will receive only $1,650,000 well below the budget rate 2. Forward Market hedge1) A forward hedge involves a forward or futures contract a

31、nd a source of funds to fulfill the contract2) The forward contract is entered at the time the A/R is created, in this case in March3) When this sale is booked, it is recorded at the spot rate. 4) In this case the A/R is recorded at a spot rate of $1.7640/, thus $1,764,000 is recorded as a sale for

32、Trident5) If Trident does not have an offsetting A/P in the same amount, then the firm is considered uncovered6) Should Maria want to cover this exposure with a forward contract, then she will sell 1,000,000 forward today at the 3 month rate of $1.7540/ 7) She is now “covered and Trident no longer h

33、as any transaction exposure8) In 3 months, Trident will received 1,000,000 and exchange those pounds at $1.7540/ receiving $1,754,0009) This sum is $6,000 less than the uncertain $1,760,000 expected from the Unhedged position10) This would be recorded in Tridents books as a foreign exchange loss of

34、$10,000 ($1,764,000 as booked, $1,754,000 as settled)3. Money Market hedge1) To hedge in the money market, Maria will borrow pounds in London, convert the pounds to dollars and repay the pound loan with the proceeds from the salea. To calculate how much to borrow, Maria needs to discount the PV of t

35、he 1,000,000 to todayb. 1,000,000/1+0.25 = 975,610 (本息与)c. Maria should borrow 975,610 today and in 3 months time repay this amount plus 24,390 in interest (1,000,000) from the proceeds of the sale2) Trident would exchange the 975,610 at the spot rate of $1.7640/ and receive $1,720,976 at once In or

36、der to compare the forward hedge with the money market hedge, Maria must analyze the use of the loan proceeds First, if Trident is cash rich the loan proceeds might be invested at the US rate of 6.0% p.a. Second, Maria could use the loan proceeds to substitute an equal dollar loan that Trident would

37、 have otherwise taken for working capital needs at a rate of 8.0% p.a. Third, Maria might invest the loan proceeds in the firm itself in which case the cost of capital is 12.0% p.a.Received today Invested in Rate Future value in 3 months $1,720,976Treasury bill6% p.a. or 1.5%/quarter$1,746,791$1,720

38、,976Debt cost 8% p.a. or 2.0%/quarter$1,755,396$1,720,976Cost of capital 12% p.a. or 3.0%/quarter$1,772,605a. Because the proceeds in 3 months from the forward hedge will be $1,754,000, the money market hedge is superior to the forward hedge if Maria used the proceeds to replace a dollar loan (8%) o

39、r conduct general business operations (12%)b. The forward hedge would be preferable if Maria were to just invest the loan proceeds (6%)c. We will assume she uses the cost of capital as the reinvestment rate A breakeven investment rate can be calculated in order to forgo numerous calculations and sti

40、ll aid Maria in her decisionTo convert this 3 month rate to an annual rate, In other words, if Maria can invest the loan proceeds at a rate equal to or greater than 7.68% p.a. then the money market hedge will be superior to the forward hedge The following chart shows the value of Tridents A/R应到款项 ov

41、er a range of possible spot rates both uncovered and covered using the previously mentioned alternatives3. Option market hedge Maria could also cover the 1,000,000 exposure by purchasing a put option. This allows her to speculate on the upside potential for appreciation of the pound while limiting h

42、er downside risk Given the quote earlier, Maria could purchase 3 month put option at an ATM strike price of $1.75/ and a premium of 1.5% The cost of this option would be (Size of option)(Premium)(Spot price)=Cost of option 1,000,0001,7640=26,460 Because we are using future value to compare the vario

43、us hedging alternatives, it is necessary to project the cost of the option in 3 months forward Using a cost of capital of 12% p.a. or 3.0% per quarter, the premium cost of the option as of June would be $26,460 1.03 = $27,254 Since the upside potential is unlimited, Trident would not exercise its op

44、tion at any rate above $1.75/ and would purchase pounds on the spot market If for example, the spot rate of $1.76/ materializes, Trident would exchange pounds on the spot market to receive 1,000,000 $1.76/ = $1,760,000 less the premium of the option ($27,254) netting $1,732,746 Unlike the unhedged a

45、lternative, Maria has limited downside with the option Should the pound depreciate below $1.75/, Maria would exercise her option and exchange her 1,000,000 at $1.75/ receiving $1,750,000 Less the premium of the option, Maria nets $1,722,746 Although this downside is less than that of the forward or money market hedge, the upside potential is not limited Put option strike price AOption cost (future value) $27,254Proceeds if exercised $1,750,000Minimum net proceeds $1,722,746Maximum net proceeds unlimitedBreak-even spot rate(upside)B第 14 页