Tài chính doanh nghiệp - Finance 407: Multinational financial management - Topic 10: Currency options and hedgingOption valuation is a very difficult problem because the value depends on the option strike, option maturity, spot price, interest rates, and the volatility of the underlying exchange rates All of these factors are observable except volatility. Volatility is often estimated using the standard deviation of prior years exchange rate changes Higher ...
23 trang | Chia sẻ: huyhoang44 | Ngày: 27/03/2020 | Lượt xem: 800 | Lượt tải: 0
Tài chính doanh nghiệp - Finance 407: Multinational financial management - Topic 9: Currency forwards and futuresWhat is your USD profit if you short 5 swissie forwards at $1.1245 and the swissie is selling for $1.2232 or $1.0833 at maturity. Each contract is for 125,000 Swiss francs. St=1.2242; Profit=(F-St)Q=(1.1245-1.2232)*5*125000=-$61,687.50 St=1.0833; Profit=(F-St)Q=(1.1245-1.0833)*5*125000=$25,750 What is your USD profit if you long 3 yen forwards a...
24 trang | Chia sẻ: huyhoang44 | Ngày: 27/03/2020 | Lượt xem: 775 | Lượt tải: 0
Tài chính doanh nghiệp - Finance 407: Multinational financial management - Topic 8: Carry trade and covered interest arbitrageSuppose the spot Mexican peso is P12.5 – P12.6 and one year forward market is 12.8-12.9. Mexican investing and borrowing interest rates are 8-10%. U.S. investing and borrowing interest rates are 1-3%. The Mexican CDS market rate is 150bps-175bps. What are your USD CIA profits without a CDS borrowing $100,000 in the U.S. and investing pesos? What is...
22 trang | Chia sẻ: huyhoang44 | Ngày: 27/03/2020 | Lượt xem: 847 | Lượt tải: 0
Tài chính doanh nghiệp - Finance 407: Multinational financial management - Topic 7: Interest rate parityAnnual interest rates in Argentina and the United States are 15% and 5%, respectively. What is the expected appreciation of the Argentina dollar in one year, five years, and ten years? 1-year Arg app = e1,($/A$)/e0($/A$) -1 = (1+r$)/(1+rA$)– 1 = 1.05/1.15-1 =-8.7%; 5-year = (1.05/1.15)^5 - 1 =-36.5%; 10-year = (1.05/1.15)^10 - 1 =-59.7% The ...
22 trang | Chia sẻ: huyhoang44 | Ngày: 27/03/2020 | Lượt xem: 776 | Lượt tải: 0
Tài chính doanh nghiệp - Finance 407: Multinational financial management - Topic 6: Purchasing power paritySuppose the spot price of the HKD is HK$7.75/USD and the one year spot forecast is HKD7.89. U.S. inflation forecast is 3%. What is the expected appreciation of the HKD? Is inflation lower or higher than 3% in Hong Kong? What is expected HKD inflation according to PPP? 4.86% -4.86% 1.2% -1.2%
20 trang | Chia sẻ: huyhoang44 | Ngày: 27/03/2020 | Lượt xem: 971 | Lượt tải: 0
Tài chính doanh nghiệp - Finance 407: Multinational financial management - Topic 5: Exchange rate systems and the effects of revaluationFiscal Policy: Spending, taxes, and deficits Deficit Spending In the short run it increases interest rates as more debt is issued (leading to a currency appreciation) In the long run it may increase risk and uncertainty in the currency as inflation and/or default becomes more probable Monetary Policy: Money Supply and Interest Rates The increa...
29 trang | Chia sẻ: huyhoang44 | Ngày: 27/03/2020 | Lượt xem: 972 | Lượt tải: 0
Tài chính doanh nghiệp - Finance 407: Multinational financial management - Topic 4: Institutional foreign exchange spot and forward marketsA spot (a.k.a., “cash”) transaction requires almost immediate delivery (usually 1-2 days) of a foreign currency. A “forward” transaction requires delayed delivery of foreign exchange. Bank quotes for deliveries of 1, 3, 6, 9 and 12 months are readily available. No cash is exchanged until delivery
30 trang | Chia sẻ: huyhoang44 | Ngày: 27/03/2020 | Lượt xem: 919 | Lượt tải: 0
Tài chính doanh nghiệp - Finance 407: Multinational financial management - Topic 3: Retail foreign exchange transactions: bid - Ask, cross rates, credit and debit transactionsUse your debit card (or credit card) at a foreign ATM to withdrawal foreign currencies (cards must have the Visa or MasterCard logo) Rates are close to interbank market rates (plus 1-5% markup) Typically 1% Visa fee and 0%-3% issuing bank fee These “fees” do not show up on your statement – “built into” exchange rate Your issuing bank may charge...
23 trang | Chia sẻ: huyhoang44 | Ngày: 27/03/2020 | Lượt xem: 850 | Lượt tải: 0
Tài chính doanh nghiệp - Finance 407: Multinational financial management - Topic 2: Exchange rates, quotes, transactions, and appreciationsCurrency Appreciation = (s1 - s0)/ s0 where s0 = old currency value s1 = new currency value When using this equation you are describing the appreciation or depreciation of the “denominator currency” (If you want to talk about the numerator currency use this equation to calculate appreciation = (s0 - s1)/ s1) or invert exchange rates and use t...
22 trang | Chia sẻ: huyhoang44 | Ngày: 27/03/2020 | Lượt xem: 805 | Lượt tải: 0
Tài chính doanh nghiệp - Finance 407: Multinational financial management- Turn on iclicker, hold power until blinking, press DD to set classroom frequency I. I have used clickers in the classroom True: I have used iclickers False: I have NOT used iclickers II. Previous iclicker experience Favorable view of iclickers in the classroom Negative view of iclickers in the classroom
18 trang | Chia sẻ: huyhoang44 | Ngày: 27/03/2020 | Lượt xem: 1012 | Lượt tải: 0
