外汇风险概述.doc

1. General Introduction to Foreign Exchange RiskConcept of foreign exchange riskForeign exchange risk: the risk of suffering losses because of adverse movement in exchange rates.Key points: Foreign exchange risk may be caused by the loss, may also be benefits.Measure of the risk of mathematical statistics, it is common variance and standard deviation. Foreign exchange risk is the risk of a change in currency value. The presence of foreign exchange risk is to set the value of foreign currency transactions precondition, and irrespective of which currency is the currency of trading partners or a third country currency. Not directly involved in international economic activities of the units and individuals, because of its foreign relations, related to foreign currency exchange and use ,therefore, faced with foreign exchange risks.ListenRead phonetically1. Euro: 1999 -1-1 arise EURO 1=USD1.132. 2000 Minimum EURO1 = USD0.783. 2003 China allowed use RMB value.Causes for the foreign exchange risk1. In international trade, payment for goods and services usually involves the currencies of more than one country, and the problem of which currency to use can become a serious barrier to completing a deal. 2. In most cases, the relative value of currencies is constantly changing, and some are quite volatile.3. If the value of a currency changes between the time a deal is made and the time payment is made it could have a serious impact on the profitability of a transaction. Characteristics of the foreign exchange risk1、Probability：Foreign exchange risk may occur or may not occur does not have necessity.2、Uncertainty.3、Relativity：Cause losses to one，necessarily bring profits to the other one. The direction of exchange rate changesForeign exchange positionForeign exchange rates rise or fall of the currency exchange rateForeign exchange rates fall or rise of the currency exchange rateCall option of foreign currencyIncomeExpenditureOr AssetsLiabilitiesGainLossPut option of foreign currencyIncome ExpenditureOr Assets LiabilitiesLossGainIncome = ExpenditureOr Assets = LiabilitiesNo effectNo effectFactors of the foreign exchange riskThree basic factors：Currency、Foreign Currency、Time.Foreign exchange risk can be divided into time risk and value risk.1、Time Risk：Refers to the need for foreign exchange income and expenditure account a long or short period of time, this time resulting in changes in exchange rates risk, longer trading hours the risk will be greater.ListenRead phonetically2、 Value risk：Depends on the currency conversion.2、General Introduction to Foreign Exchange TransactionConcept of the foreign exchange transactionForeign exchange transaction: buying or selling one currency in exchange for another currency.Causes for the foreign exchange transaction1、International settlement of foreign exchange transactions of the basic reasons.2、International investment and financing activities have been expanding.ListenRead phonetically3、The need for foreign exchange hedging and speculation.4、Zero-sum game：also calledthe total fair game that is the total amount of foreign exchange gains and losses on the market is balanced,someone gain and other people must loss,the sum of gain and loss is zero.Basic rules for the foreign exchange transaction1、Trading Currency ISO-4217 Currency Code（February 1978，The United Nations Committee on Trade and Development to develop and disseminate）Currency code is three digits, first two represent the country, and finally a representative of the currency.The standard code for the international foreign exchange market transactions:美元：USD 欧元：EUR（euro） 日元：JPY 英镑：GBP 瑞士法郎：CHF加拿大元：CAD 港元：HKD 新加坡元：STD2、Trading Participants： Four categories：Exchange Bank（principal part），Foreign exchange maker，Client，Central Bank Central Bank Maker 1 2 3 Exchange Bank 1 2 3 4 5 Client 1 2 3 4 5 6 7 Among banks in the wholesale foreign exchange, foreign exchange banks and customers and the retail business.3、The trading time: From global, the foreign exchange market runs 24 hours a day and night markets. The worlds largest foreign exchange market trading, the most active and busy time for the European time 1:00 pm - 3:00.4、The trading rules and program(1) Rule: The center of the unified dollar quotations. Two-way price system: the banks response to a currency quote quoted bid price at the same time (Bid price) and selling price (Offer price) of 5-digit exchange rate, the top three is referred to as large numbers, the number of the latter two decimal, the 5-digit called the point (Basic point).Example: 1 USD = 120.10/20 JPY 1 EUR = 1.2810/20 USD Use uniform way, except pounds ,euro, Australian dollar, New Zealand by indirect quotation.Direct quotation: bid / offer price. Indirect quotation: offer/ bid price.In Japan: 1 USD = 120.10/20JPY (banks sell foreign currency) In Europe: 1 EUR = 128.10/20USD European banks to buy 1 euro pay 128.10 USD; European banks to sell 1 euro income 128.20 USD. volume of business transactions is usually 100 million for the unit. two parties must abide by the credit. transaction terms to be standardized. ProgramSelected counterparties Yourself first Inquiry Quote conclude a transaction Confirmed Delivery3. Spot Exchange Transaction一、Concept of spot exchange transactionspot exchange transaction: a purchase or sale foreign currency for ready delivery. In practice, market usage normally prescribes settlement within two working days.二、Causes for the spot exchange transaction1、Payment needs to meet the temporary.2、To achieve the transfer of purchasing power of money. 3、Adjusting the currency position. 4、Foreign exchange speculation. 三、Quotation of the exchange rateExchange rate quotations for the two-way quotations. 1, Be qouted currency also called base currency ,the reference currency, currency unit, means the fixed amount of money as a basis for comparison, that is, prices in other currencies are used to indicate the currency. 2, Be quoted currency and quote currency corresponds to the number of constantly changing, to illustrate the quote currency is the currency price level, also known as denominated in the currency exchange rate currency. Quote Bank and Inquiry in the exchange rate quoted on the relative relationshipQuote Bank buy the was quoted currency sell the was quoted currency （sell the quote currency） （buy the quote currency）USD 1 = CAD 1.1510 / 1.1520Be quoted quoteGBP 1 = USD 1.2810 / 1.2820Be quoted quoteQuoter sell the was quoted currency buy the was quoted currency （buy the quote currency） （sell the quote currency）1 CAD = ？USD 1/1.1520 1/1.1510Understand the rules of the exchange rate two-way prices: Sale price is relative to the banks, bank trading of foreign exchange trading foreign exchange prices. Banks in foreign exchange transactions are always the pursuit of profit, so high in the lower price after the first. Quote currency to buy was sold at the same time is quoted currency; Ruopi offer currency exchange and purchase location of the sale price of currency exchange is also not only reciprocal relations.4. Forward Exchange Transaction一、Concept of forward exchange transactionForward exchange transaction: a contract between a customer and a bank whereby each agree to deliver at a specified future date a certain amount in one currency in exchange for a certain amount in another currency at an agreed rate of exchange.二、Roles for the foreign exchange transaction1. Hedging To eliminate the uncertainty caused by exchange rate movements, but also gave up a favorable exchange rate to change the direction of the potential benefits. 2. Speculative currency.三、Classifications of forward exchange transaction1. Fixed delivery date of the exchange transaction. 2. Select the delivery date forward transactions (select transactions). The first Today any day six monthMarch 10 The second September 105. Option Exchange Transaction一、Some concepts in option exchange transaction1. Option Buyer: The party purchasing the option, buy royalty rights that the party also called long side. 2. Option Seller: sale of the rights of a party, that is, access to the premium and thus has chosen to accept the obligations of the buyer, also known as the short side. 3. Exercise price: the provisions of an options contract has the option buyer the right to buy or sell a currencys exchange rate. 4. Premium: also known as the option price , is entered into option contracts to the seller when the buyer to pay the costs of non-recourse. Percentage Points5. Call option / put option: According to the option contract gives the holder the right difference, foreign exchange options can be divided into call and put options. Also known as the right to buy a call option that means the holder of an option have the right before the maturity date or maturity date format from the options by the implementation of the hands of the seller to buy a certain amount of a currency.6. Put options also known as sell option ,that is the right option holders on or before the Maturity Date due to option exercise price the seller to sell a certain amount of a currency. Classifications of option exchange transactionBuyer and the seller may receive benefits and their risks are asymmetric, the buyer may be a gain is infinite, may be subject to the risk is limited, the option seller the fit exercise price X spot ratePremium C0 X X0+C0 X long a put X-C0 C0 Application of buying a call option：1、An U.S. company contract with a Germany company that two months after pay DEM to the Germany company , in order to avoid the risk of DEM increase after two months, the company entered the options market to buy call options, exercise price 1 DEM = 0.63 USD, option price DEM 1 = USD 0.02. Analysis in the following, the case of exchange rate changes and the exercise situation and the profit and loss,the trading acount is 62500DEM and analyze the follow situation exercise or not,and the import cost.2、In May, an United States importer contract with a German import company,he agreement requires that U.S. importers should pay DM 62,500 a month, the spot exchange rate USD 1 = DEM 1.529, in order to avoid the risk of DEM increase, the importer buy a DEM call option, the contract is as follows, t