经营风险管理PPT学习教案

1、会计学1经营风险管理经营风险管理第1页/共32页第2页/共32页第3页/共32页第4页/共32页Domestic firmsImportersExportersGlobal MNCs &importers/exportersin globallycompetitive marketsRevenuesOperating expensesLocalGlobalLocalGlobal(0)(-)(+)(?)竞争环境国内外市场是分割的。第5页/共32页Transactions that Influence the Firms Cash InflowsLocal Currency Appreciates

2、Local Currency DepreciatesLocal sales (relative to foreign competition in local markets)Firms exports denominated in local currencyFirms exports denominated in foreign currencyInterest received from foreign investmentsDecreaseDecreaseDecreaseDecrease IncreaseIncreaseIncreaseIncrease Impact on Transa

3、ctions 竞争环境国内外市场是一体化的。第6页/共32页Transactions that Influence the Firms Cash OutflowsLocal Currency AppreciatesLocal Currency Depreciates Impact on Transactions Firms imported supplies denominated in local currencyFirms imported supplies denominated in foreign currencyInterest owed on foreign funds borr

4、owedNo Change Decrease Decrease No Change Increase Increase小结：一般来说,本币实际汇率的升值伤害了本国出口工业和进口替代工业,增强了外国竞争力,使得本国企业的现金流入量和流出量都会减少.一般来说,本币实际汇率的贬值会增加出口产品和进口替代产品的竞争力,减少外国竞争,使得本国企业的现金流入量和流出量都会增加.因此,最终结果要取决于流入变量是否比流出变量受到更大的影响.第7页/共32页第8页/共32页 Forei gn currency m onetary assets (40) D om esti c currency m onetar

5、y assets (25) R eal assets (35) Forei gn currency m onetary l i abi l i ti es (20) D om esti c currency m onetary l i abi l i ti es (40) Equi ty (40) N et exposed m onetary assets (20) R eal assets exposed to fx ri sk (35) 净货币资产20美元是企业的外汇交易风险；净实物资产35美元是企业的外汇经营风险第9页/共32页第10页/共32页DVd/fsd/fThis regress

6、ion equation measures the exposure of equity to currency risk. Rtd是是t时期用国内货币表示的股本收益率时期用国内货币表示的股本收益率Std/f是是t时期即期汇率变化百分比时期即期汇率变化百分比下式表明，公式价值由两部分构成：一是货币风险（第二项下式表明，公式价值由两部分构成：一是货币风险（第二项）；二是货币风险独立部分（第一和三项）；二是货币风险独立部分（第一和三项）The regression coefficient f 股权价值变化对汇率变化的股权价值变化对汇率变化的敏感度。敏感度。决定系数决定系数,r-square用来说明

7、即期汇率的变动对股权收益率用来说明即期汇率的变动对股权收益率变动的解释程度，它等于回归相关系数的平方，即变动的解释程度，它等于回归相关系数的平方，即如果相关系数为如果相关系数为0，则，则r-square为为0，表明股权价值没有汇，表明股权价值没有汇率风险率风险如果相关系数为如果相关系数为0.2，则，则r-square为为0.04，表明股权价值变，表明股权价值变动的动的4%来源于汇率的波动来源于汇率的波动如果相关系数为如果相关系数为1 ,则则r-square为为1，表明误差项为，表明误差项为0，汇率，汇率变动能变动能100%解释股东权益的变动。解释股东权益的变动。)/(,srsrf2,)sr（第

8、11页/共32页第12页/共32页第13页/共32页第14页/共32页第15页/共32页 不确定的日元销售收入日元销售收入远期套期现金流量 买进美元 卖出日元净头寸 美元 日元+￥50million+$1million-￥100million+$1million-￥50million+￥100million+$1million-￥100million+$1million ￥0million+￥150million+$1million-￥100million+$1million+￥50million第16页/共32页 在日元销售收入为50百万情况下的汇率不确定性日元销售收入远期套期现金流量 买进

9、美元 卖出日元净头寸 美元 日元实际汇率实际收入的美元值+￥50million+$1million￥100million+$1million-￥50million $0.005/￥+$750,000+￥50million+$1million-￥100million+$1million ￥50million $0.010/￥+$500,000+￥50million+$1million-￥100million+$1million￥50million $0.015/￥+$250,000第17页/共32页 在日元销售收入为150百万情况下的汇率不确定性日元销售收入远期套期现金流量 买进美元 卖出日元净

10、头寸 美元 日元实际汇率实际收入的美元值+￥150million+$1million￥100million+$1million+￥50million $0.005/￥+$1,250,000+￥150million+$1million-￥100million+$1million +￥50million $0.010/￥+$1,500,000+￥150million+$1million-￥100million+$1million+￥50million $0.015/￥+$1,750,000第18页/共32页第19页/共32页第20页/共32页期初汇率期初汇率S$2.0/$美元升值美元升值25%达到

11、达到S$2.50/$维持外币价格不变：维持外币价格不变：$10维持本币价格不变：维持本币价格不变：s$20弹性需求弹性需求销售增加销售增加50%缺乏弹性需求缺乏弹性需求销售增加销售增加10%收入报表收入报表美元美元新加坡元新加坡元美元美元新加坡元新加坡元美元美元新加坡元新加坡元美元美元新加坡元新加坡元单价单价单位成本单位成本10520101042510842010842010销售量销售量20002000200020003000300022002200收入收入2000040000200005000024000600001760044000销售成本销售成本100002000080002000120

12、0030000880022000税前利润税前利润100002000012000300001200030000880022000税收税收（50%）500010000600015000600015000440011000NCF500010000600015000600015000440011000NPV(10%)50000100000600001500006000015000044000110000价值变化率价值变化率20%50%20%50%12%10%第21页/共32页第22页/共32页第23页/共32页第24页/共32页GermansubsidiaryU.S.subsidiaryU.K.par

13、ent100mCross rates1.5000/$1.2500/$0.8333/200m$75m$125m150m60m第25页/共32页GermansubsidiaryU.S.subsidiaryU.K.parent100m200m60m100m100m40mThis slide shows the gross cash flows in pound sterling. This captures the gross change in value of each affiliate and of the parent.第26页/共32页GermansubsidiaryU.S.subsidiaryU.K.parent60m140mThis slide shows the net transfer of value within the corporation. Of course, something of value must have been transferred in the other direction. In this example, the parent firm may have shipped goods to the foreign affiliates for