匯率風(fēng)險(xiǎn)的測(cè)量和管理：在企業(yè)的問(wèn)題和方法[文獻(xiàn)翻譯]

1、本科畢業(yè)論文（設(shè)計(jì)）外 文 翻 譯題 目 浙江外貿(mào)公司外匯風(fēng)險(xiǎn)管理問(wèn)題研究 專(zhuān) 業(yè) 財(cái) 務(wù) 管 理 原文：exchange rate risk measurement and management: issues and approaches for firms abstract: measuring and managing exchange rate risk exposure is important for reducing a firms vulnerabilities from major exchange rate movements, which could adversely

2、 affect profit margins and the value of assets. this paper reviews the traditional types of exchange rate risk faced by firms, namely transaction, translation and economic risks, presents the var approach as the currently predominant method of measuring a firms exchange rate risk exposure, and exami

3、nes the main advantages and disadvantages of various exchange rate risk management strategies, including tactical versus strategical and passive versus active hedging. in addition, it outlines a set of widely accepted best practices in managing currency risk and presents some of the main hedging ins

4、truments in the otc and exchange-traded markets. the paper also provides some data on the use of financial derivatives instruments, and hedging practices by u.s. firms.i. introductionexchange rate risk management is an integral part in every firms decisions about foreign currency exposure (allayanni

5、s, ihrig, and weston, 2001). currency risk hedging strategies entail eliminating or reducing this risk, and require understanding of both the ways that the exchange rate risk could affect the operations of economic agents and techniques to deal with the consequent risk implications (barton, shenkir,

6、 and walker, 2002). selecting the appropriate hedging strategy is often a daunting task due to the complexities involved in measuring accurately current risk exposure and deciding on the appropriate degree of risk exposure that ought to be covered. the need for currency risk management started to ar

7、ise after the break down of the bretton woods system and the end of the u.s. dollar peg to gold in 1973 (papaioannou, 2001). the issue of currency risk management for non-financial firms is independent from their core business and is usually dealt by their corporate treasuries. most multinational fi

8、rms have also risk committees to oversee the treasurys strategy in managing the exchange rate (and interest rate) risk (lam, 2003). this shows the importance that firms put on risk management issues and techniques. conversely, international investors usually, but not always, manage their exchange ra

9、te risk independently from the underlying assets and/or liabilities. since their currency exposure is related to translation risks on assets and liabilities denominated in foreign currencies, they tend to consider currencies as a separate asset class requiring a currency overlay mandate (allen, 2003

10、). this paper reviews the standard measures of exchange rate risk, examines best practices on exchange rate risk management, and analyzes the advantages and disadvantages of various hedging approaches for firms. it concentrates on the major types of risk affecting firms foreign currency exposure, an

11、d pays more attention to techniques on hedging transaction and balance sheet currency risk. it is argued that prudent management of multinational firms requires currency risk hedging for their foreign transaction, translation and economic operations to avoid potentially adverse currency effects on t

12、heir profitability and market valuation. the paper also provides some data on hedging practices by u.s. firms. the organization of the paper is as follows: in section i, we present a broad definition and the main types of exchange rate risk. in section ii, we outline the main measurement approach to

13、 exchange rate risk (var). in section iii, we review the main elements of exchange rate risk management, including hedging strategies, hedging benchmarks and performance, and best practices for managing currency risk. in section iv, we offer an overview of the main hedging instruments in the otc and

14、 exchange-traded markets. in section v, we provide data on the use of various derivatives instruments and hedging practices by u.s. firms. in section vi, we conclude by offering some general remarks on the need for hedging operations based on recent currency-crisis experiences.ii. definition and typ

15、es of exchange rate riska common definition of exchange rate risk relates to the effect of unexpected exchange rate changes on the value of the firm (madura, 1989). in particular, it is defined as the possible direct loss (as a result of an unhedged exposure) or indirect loss in the firms cash flows

16、, assets and liabilities, net profit and, in turn, its stock market value from an exchange rate move. to manage the exchange rate risk inherent in multinational firms operations, a firm needs to determine the specific type of current risk exposure, the hedging strategy and the available instruments

17、to deal with these currency risks. multinational firms are participants in currency markets by virtue of their international operations. to measure the impact of exchange rate movements on a firm that is engaged in foreign-currency denominated transactions, i.e., the implied value-at-risk (var) from

18、 exchange rate moves, we need to identify the type of risks that the firm is exposed to and the amount of risk encountered (hakala and wystup, 2002). the three main types of exchange rate risk that we consider in this paper are (shapiro, 1996; madura, 1989):1. transaction risk, which is basically ca

19、sh flow risk and deals with the effect of exchange rate moves on transactional account exposure related to receivables (export contracts), payables (import contracts) or repatriation of dividends. an exchange rate change in the currency of denomination of any such contract will result in a direct tr

20、ansaction exchange rate risk to the firm;2. translation risk, which is basically balance sheet exchange rate risk and relates exchange rate moves to the valuation of a foreign subsidiary and, in turn, to the consolidation of a foreign subsidiary to the parent companys balance sheet. translation risk

21、 for a foreign subsidiary is usually measured by the exposure of net assets (assets less liabilities) to potential exchange rate moves. in consolidating financial statements, the translation could be done either at the end-of-the-period exchange rate or at the average exchange rate of the period, de

22、pending on the accounting regulations affecting the parent company. thus, while income statements are usually translated at the average exchange rate over the period, balance sheet exposures of foreign subsidiaries are often translated at the prevailing current exchange rate at the time of consolida

23、tion; and 3. economic risk, which reflects basically the risk to the firms present value of future operating cash flows from exchange rate movements. in essence, economic risk concerns the effect of exchange rate changes on revenues (domestic sales and exports) and operating expenses (cost of domest

24、ic inputs and imports). economic risk is usually applied to the present value of future cash flow operations of a firms parent company and foreign subsidiaries. identification of the various types of currency risk, along with their measurement, is essential to develop a strategy for managing currenc

25、y risk.iii. measurement of exchange rate riskafter defining the types of exchange rate risk that a firm is exposed to, a crucial aspect in a firms exchange rate risk management decisions is the measurement of these risks. measuring currency risk may prove difficult, at least with regards to translat

26、ion and economic risk (van deventer, imai, and mesler, 2004; holton, 2003). at present, a widely- used method is the value-at-risk (var) model. broadly, value at risk is defined as the maximum loss for a given exposure over a given time horizon with z% confidence. the var methodology can be used to

27、measure a variety of types of risk, helping firms in their risk management. however, the var does not define what happens to the exposure for the (100 z) % point of confidence, i.e., the worst case scenario. since the var model does not define the maximum loss with 100 percent confidence, firms ofte

28、n set operational limits, such as nominal amounts or stop loss orders, in addition to var limits, to reach the highest possible coverage (papaioannou and gatzonas, 2002). value-at-risk calculation the var measure of exchange rate risk is used by firms to estimate the riskiness of a foreign exchange

29、position resulting from a firms activities, including the foreign exchange position of its treasury, over a certain time period under normal conditions (holton, 2003). the var calculation depends on 3 parameters: * the holding period, i.e., the length of time over which the foreign exchange position

30、 is planned to be held. the typical holding period is 1 day. * the confidence level at which the estimate is planned to be made. the usual confidence levels are 99 percent and 95 percent. * the unit of currency to be used for the denomination of the var. assuming a holding period of x days and a con

31、fidence level of y%, the var measures what will be the maximum loss (i.e., the decrease in the market value of a foreign exchange position) over x days, if the x-days period is not one of the (100-y)% x-days periods that are the worst under normal conditions. thus, if the foreign exchange position h

32、as a 1-day var of $10 million at the 99 percent confidence level, the firm should expect that, with a probability of 99 percent, the value of this position will decrease by no more than $10 million during 1 day, provided that usual conditions will prevail over that 1 day. in other words, the firm sh

33、ould expect that the value of its foreign exchange rate position will decrease by no more than $10 million on 99 out of 100 usual trading days, or by more than $10 million on 1 out of every 100 usual trading days. to calculate the var, there exists a variety of models. among them, the more widely-us

34、ed are: (1) the historical simulation, which assumes that currency returns on a firms foreign exchange position will have the same distribution as they had in the past; (2) the variance-covariance model, which assumes that currency returns on a firms total foreign exchange position are always (joint

35、ly) normally distributed and that the change in the value of the foreign exchange position is linearly dependent on all currency returns; and (3) monte carlo simulation, which assumes that future currency returns will be randomly distributed. the historical simulation is the simplest method of calcu

36、lation. this involves running the firms current foreign exchange position across a set of historical exchange rate changes to yield a distribution of losses in the value of the foreign exchange position, say 1,000, and then computing a percentile (the var). thus, assuming a 99 percent confidence lev

37、el and a 1-day holding period, the var could be computed by sorting in ascending order the 1,000 daily losses and taking the 11 largest loss out of the 1,000 (since the confidence level implies that 1 percent of losses 10 losses should exceed the var). the main benefit of this method is that it does

38、 not assume a normal distribution of currency returns, as it is well documented that these returns are not normal but rather leptokurtic. its shortcomings, however, are that this calculation requires a large database and is computationally intensive. the variance covariance model assumes that (1) th

39、e change in the value of a firms total foreign exchange position is a linear combination of all the changes in the values of individual foreign exchange positions, so that also the total currency return is linearly dependent on all individual currency returns; and (2) the currency returns are jointl

40、y normally distributed. thus, for a 99 percent confidence level, the var can be calculated as: var= -vp (mp + 2.33 sp) where vp is the initial value (in currency units) of the foreign exchange position mp is the mean of the currency return on the firms total foreign exchange position, which is a wei

41、ghted average of individual foreign exchange positions sp is the standard deviation of the currency return on the firms total foreign exchange position, which is the standard deviation of the weighted transformation of the variance-covariance matrix of individual foreign exchange positions (note tha

42、t the latter includes the correlations of individual foreign exchange positions) while the variance-covariance model allows for a quick calculation, its drawbacks include the restrictive assumptions of a normal distribution of currency returns and a linear combination of the total foreign exchange p

43、osition. note, however, that the normality assumption could be relaxed (longin, 2001). when a non-normal distribution is used instead, the computational cost would be higher due to the additional estimation of the confidence interval for the loss exceeding the var. monte carlo simulation usually inv

44、olves principal components analysis of the variance- covariance model, followed by random simulation of the components. while its main advantages include its ability to handle any underlying distribution and to more accurately assess the var when non-linear currency factors are present in the foreig

45、n exchange position (e.g., options), its serious drawback is the computationally intensive process. source: michael papaioannou, 2006“exchange rate risk measurement and management: issues and approaches for firms” .imf working paper,november,pp.1-7.譯文：匯率風(fēng)險(xiǎn)的測(cè)量和管理：在企業(yè)的問(wèn)題和方法摘要：測(cè)量和管理匯率風(fēng)險(xiǎn)在減少公司中主要由匯率變動(dòng)引起的

46、對(duì)利潤(rùn)和資產(chǎn)價(jià)值的不利性是重要的。本文回顧了企業(yè)面對(duì)的傳統(tǒng)的匯率風(fēng)險(xiǎn)，即交易、折算和經(jīng)濟(jì)風(fēng)險(xiǎn)，提出作為衡量一個(gè)企業(yè)匯率風(fēng)險(xiǎn)的方法，目前的主要方法是var方法，并探討了主要優(yōu)勢(shì)和各項(xiàng)交流的缺點(diǎn)及利率風(fēng)險(xiǎn)管理戰(zhàn)略，包括戰(zhàn)略和戰(zhàn)術(shù)與被動(dòng)和主動(dòng)避險(xiǎn)。一、介紹匯率風(fēng)險(xiǎn)管理是每家企業(yè)確定外幣敞口時(shí)不可或缺的一部分(allayannis、ihrig和weston 2001)。在很多情況下，貨幣風(fēng)險(xiǎn)套期策略將消除或降低這種風(fēng)險(xiǎn)，需要雙方的方式，匯率風(fēng)險(xiǎn)可能通過(guò)影響經(jīng)濟(jì)行為主體和技術(shù)的行動(dòng)，以應(yīng)對(duì)由此產(chǎn)生的風(fēng)險(xiǎn)影響 (barton, shenkir, 和walker, 2002)。由于精確計(jì)量當(dāng)前的風(fēng)險(xiǎn)敞口和決

47、定應(yīng)包含的、適當(dāng)?shù)娘L(fēng)險(xiǎn)敞口水平存在復(fù)雜性，選擇適當(dāng)?shù)奶灼诓呗?，常常是一件困難的工作。對(duì)匯率風(fēng)險(xiǎn)管理的需要開(kāi)始出現(xiàn)在1973年之后，在布雷頓森林體系崩潰、美元與金子掛鉤的結(jié)束(papaioannou 2001)。對(duì)于非金融企業(yè)來(lái)說(shuō)，匯率風(fēng)險(xiǎn)管理獨(dú)立于它們的核心業(yè)務(wù)，通常由企業(yè)財(cái)務(wù)部負(fù)責(zé)。多數(shù)跨國(guó)公司還設(shè)有風(fēng)險(xiǎn)委員會(huì)，負(fù)責(zé)監(jiān)察財(cái)務(wù)部管理匯率風(fēng)險(xiǎn)(及利率風(fēng)險(xiǎn))的策略(lam, 2003)。這表明企業(yè)對(duì)風(fēng)險(xiǎn)管理問(wèn)題及技術(shù)的重視程度。相反，國(guó)際投資者一般是以獨(dú)立于其資產(chǎn)或負(fù)債的方式，管理其匯率風(fēng)險(xiǎn)。由于其貨幣敞口與以外幣表示的資產(chǎn)及負(fù)債的折算風(fēng)險(xiǎn)有關(guān)，因此，傾向于將貨幣視為一種獨(dú)立的資產(chǎn)類(lèi)別，并且需要為

48、此采用貨幣管理外包方法。本文回顧了匯率風(fēng)險(xiǎn)的標(biāo)準(zhǔn)衡量，審查在匯率風(fēng)險(xiǎn)管理中的最優(yōu)方法，并分析了各種套期保值做法對(duì)企業(yè)的利弊。它集中于影響企業(yè)外幣敞口的主要類(lèi)型的風(fēng)險(xiǎn)、注重技術(shù)對(duì)套期保值交易和資產(chǎn)負(fù)債表的貨幣風(fēng)險(xiǎn)。有人認(rèn)為,跨國(guó)公司需要審慎管理貨幣風(fēng)險(xiǎn)規(guī)避其對(duì)外交易、折算、經(jīng)濟(jì)運(yùn)行的影響,以避免潛在的不利貨幣對(duì)其盈利狀況和市場(chǎng)報(bào)價(jià)。本文也提供一些美國(guó)公司套期保值做法的數(shù)據(jù)。本文的組織如下：第一部分，我們提出了一個(gè)廣泛的定義和匯率風(fēng)險(xiǎn)的主要類(lèi)型。第二部分,我們概述了主要的匯率風(fēng)險(xiǎn)計(jì)算方法(var)。第三部分，我們回顧了主要的匯率風(fēng)險(xiǎn)管理的方法，包括套期保值、套期基準(zhǔn)和績(jī)效、管理貨幣風(fēng)險(xiǎn)的最好實(shí)踐。

49、第四部分, 我們提供一個(gè)在場(chǎng)外交易和交易所交易市場(chǎng)的主要套期工具的概述。第五部分，我們提供各種衍生工具的使用和數(shù)據(jù)，以及美國(guó)企業(yè)套期保值的做法。第六部分，我們根據(jù)最近的貨幣危機(jī)的經(jīng)驗(yàn)提供一些需要從事避險(xiǎn)操作的基本知識(shí)。二、匯率風(fēng)險(xiǎn)的定義和類(lèi)型匯率風(fēng)險(xiǎn)是指預(yù)期以外的匯率變動(dòng)對(duì)企業(yè)價(jià)值的影響(madura, 1989)。還可定義為(由未進(jìn)行套期的敞口導(dǎo)致)企業(yè)現(xiàn)金流量、資產(chǎn)和負(fù)債、凈利潤(rùn)以及因匯率變動(dòng)導(dǎo)致的股票市值的可能的直接損失或間接損失。為了管理跨國(guó)企業(yè)經(jīng)營(yíng)活動(dòng)中固有的匯率風(fēng)險(xiǎn)，企業(yè)需確定當(dāng)前的風(fēng)險(xiǎn)敞口的具體類(lèi)型、套期策略以及可利用的工具，以應(yīng)對(duì)這些匯率風(fēng)險(xiǎn)的手段?？鐕?guó)公司是在貨幣市場(chǎng)上操作國(guó)

50、際業(yè)務(wù)的參與者。為了衡量匯率變動(dòng)對(duì)一家企業(yè)在外國(guó)貨幣計(jì)價(jià)的交易，即隱含因匯率的變動(dòng)引起的風(fēng)險(xiǎn)價(jià)值(var)，我們需要確定公司的風(fēng)險(xiǎn)類(lèi)型所暴露和遇到的風(fēng)險(xiǎn)金額（hakala and wystup, 2002）。我們認(rèn)為，三種主要類(lèi)型的匯率風(fēng)險(xiǎn)是(shapiro, 1996; madura, 1989)：1、交易風(fēng)險(xiǎn)，基本上是現(xiàn)金流量風(fēng)險(xiǎn)和處理因匯率變動(dòng)引起的在交易賬戶風(fēng)險(xiǎn)上相關(guān)的債權(quán)（出口合同）、債務(wù)（進(jìn)口合同）和遣返的股息。在任何合同中匯率在貨幣面額的改變可能會(huì)導(dǎo)致公司直接交易中的匯率風(fēng)險(xiǎn)；2、折算風(fēng)險(xiǎn)，基本上是資產(chǎn)負(fù)債表匯率風(fēng)險(xiǎn)和相關(guān)匯率變動(dòng)對(duì)子公司的估值，同時(shí)將子公司資產(chǎn)負(fù)債表合并到母公司

51、。折算風(fēng)險(xiǎn)對(duì)海外子公司的風(fēng)險(xiǎn)測(cè)量通常通過(guò)凈資產(chǎn)（資產(chǎn)減負(fù)債）潛在匯率變動(dòng)。在鞏固財(cái)務(wù)報(bào)表方面，在期末還是在期間進(jìn)行折算，取決于影響母公司的會(huì)計(jì)章程。因此，損益表通常在期間按平均匯率折算，海外子公司的資產(chǎn)負(fù)債表按現(xiàn)行匯率折算；3、經(jīng)濟(jì)風(fēng)險(xiǎn)，主要反映了匯率變動(dòng)導(dǎo)致企業(yè)未來(lái)現(xiàn)金流量發(fā)生改變的風(fēng)險(xiǎn)。從本質(zhì)上講，經(jīng)濟(jì)風(fēng)險(xiǎn)涉及到匯率變化對(duì)收入（國(guó)內(nèi)銷(xiāo)售和出口）及營(yíng)運(yùn)費(fèi)用（國(guó)內(nèi)投入和進(jìn)口成本）的影響。經(jīng)濟(jì)風(fēng)險(xiǎn)通常被應(yīng)用到涉及未來(lái)現(xiàn)金流量操作的一家公司的母公司和外國(guó)子公司的現(xiàn)值。識(shí)別各種類(lèi)型的貨幣風(fēng)險(xiǎn),連同他們的測(cè)量,必須建立一套貨幣風(fēng)險(xiǎn)管理。三、匯率風(fēng)險(xiǎn)的計(jì)量在確定一家企業(yè)的匯率風(fēng)險(xiǎn)類(lèi)型之后，一家公司的匯率風(fēng)險(xiǎn)管理決策中的一個(gè)至關(guān)重要的方面是這些風(fēng)險(xiǎn)的測(cè)量。測(cè)量貨幣風(fēng)險(xiǎn)也許證明是困難的，至少對(duì)于折算和經(jīng)濟(jì)風(fēng)險(xiǎn)而言(van