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首页>备考规划>备考FRM一级>【FRM每日一题】一级:估值与风险模型

【FRM每日一题】一级:估值与风险模型

发表时间:2015/10/29 11:30:29 编辑:小T 告诉小伙伴:
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[编考按]A Canadian-based tire company is due a $2,500,000 SGD payment from its Singapore-based distributor in two months. The firm prepares to use a forward contract priced at $0.80 CAD/SGD to hedge the exchange rate risk. If the Singapore dollar...

   A Canadian-based tire company is due a $2,500,000 SGD payment from its Singapore-based distributor in two months. The firm prepares to use a forward contract priced at $0.80 CAD/SGD to hedge the exchange rate risk. If the Singapore dollar depreciates over the next two months to a spot rate of $0.73 CAD/SCD, how much more or less will the firm receive in Canadian dollars by hedging, versus an unhedged position?

  A. $175,000 CAD more.

  B. $175,000 CAD less.

  C. $70,000 CAD more.

  D. $29,167 SGD less.

  Answer: A

  Hedged position: $250,000 SGD×$0.80 CAD/SGD = $200,000 CAD

  Unhedged position: $250,000×$0.73 CAD/SGD =$182,500 CAD


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