-
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.. - ,
-
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;
;
;
.
;
,
.
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().
, .
, , ..
, .. (Madura, J.;
Shapiro, A.).
, .
:
,
.
-
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() ,
/
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.:
;
;
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vs. : /
( ).
: Fiat 421 55 , - () .
, (. ) ().
: Eastman Kodak Co.
.
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. .
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/ .
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;
; ;
.
, .
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.
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,
(. International Monetary MarketCME).
.
(
).
http://www.cmegroup.com/-
/
.
(2)
http://www.cmegroup.com/http://www.cmegroup.com/ -
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Chicago Mercantile Exchange (CME)
-
.
.
: London Financial FuturesExchange (LIFFE), New York Mercantile Exchange
(NYMEX), Philadelphia Stock Exchange (PHLX),
Singapore International Monetary Exchange
(SIMEX), Hong Kong Futures Exchange (HKFE),Deutsche Termin Borse (DTB),March
Termes des Instruments Financiers (MATIF) -
, Tokyo International Financial Futures
Exchange (TIFFE).
-
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,
,
(- ).
.
: DuPont Co.
$300 $500 .
.
(3)
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,
.
2 .: ,
.
: ,
.
(4)
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1
.
, ,
.
, , ,
.
(5)
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.
.
: (IRP)
,
.
.
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7/23/2019 Managing Exposures BG n
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call () put
.
,
1983 Philadelphia Stock Exchange (PHLX).
,
,
. ,
.
call .
put .
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7/23/2019 Managing Exposures BG n
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XYZ Inc., ..$,
100000,
90 .
XYZ $1.60
1. $0.04
( 100 000, $4 000).
:
(1) 1 $1.58.(2) 1 $1.64.
(3) 1 $1.66.
-
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() ()
(). ().
. .
. .
. .
()
call (). put ().
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.
: .
.
-
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,
.
/
.
.
-
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, Real cost of
hedging payables (RCHp)=
,
Real cost of
hedging receivables (RCHr)=
+ (
)
()
- RCH
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,
.
.
,
RCH.
RCH
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(hedging policy) :
,
, .
(
) %- .
,
.
.
-
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,
(overhedging).
,
/.
.
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LT :
.
, -
, OTE,
.
, - ,
.
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,
/
, LT .
LT :
;
swap-;
.
-
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,
, 10
.
. ,
,
() () ().
.
-
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(parall el loan), back-to-back , ,
.
( ) ,
.
..
( ).
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(
),
.
:
(leading and
lagging) ;
- (cross-hedging);
(currencydiversification).
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7/23/2019 Managing Exposures BG n
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leading and lagging
,
. leading,
- lagging.
.
: GE.
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,
,
.
, $ BGN, $ . -
, -
- cross-hedging.
,
,
.
:Coca-Cola Co., PepsiCo, Altria.
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7/23/2019 Managing Exposures BG n
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( /
, )
(CF) .
(
). (
) .
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-
CF ( , .).
,
(intra-)
(inter-).
:
.
, .
CF .
.
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-
()
(),
-
. (
-
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:/
;
/
;
/ ;
() (). LT
.
(ST) CF
() .
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- ( ) :
- /
/ ;
; ,
(, );
()
.
(
LT ).
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-
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/
( ).
CF!
.
,
. V .
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,
(
).
( ).
21.
.
0.
.
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?
(, ) .
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(, ), ,. .
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. .. .
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: ,
(BGN)
.
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( ). 31
.
(, )
.
.
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: .
,
CF, .
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,
(, )
.
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: ;
;
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,
, );
;
- ()
.
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n
t
t
n
j
tjtj
r1=
1
,,
1
ERECFE
=Value
E (CFj,t ) = j, tE (ERj,t ) = , j
t
r = WACC
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!
