金融风险管理题目！急 金融风险管理习题求解
\u91d1\u878d\u98ce\u9669\u7ba1\u7406\u9898\u76ee\u770b\u8dcc\u671f\u6743\u5b9e\u9645\u542b\u4e49\u662f\u82f1\u9551\u7684\u5356\u6743\uff0c\u884c\u6743\u4ef7\u683c\u4e3a1.8730\uff0c\u56e0\u6b64\u4e09\u4e2a\u6708\u540e\u7684\u6c47\u7387\u5982\u679c\u4f4e\u4e8e1.8730\uff0c\u8be5\u516c\u53f8\u4f1a\u884c\u4f7f\u6743\u529b\uff1b\u5982\u679c\u9ad8\u4e8e1.8730\uff0c\u8be5\u516c\u53f8\u4e0d\u4f1a\u884c\u4f7f\u6743\u529b
\uff081\uff09 \u4e09\u4e2a\u6708\u540e\u6c47\u7387\u4e3a1.8210\uff0c\u4f4e\u4e8e\u884c\u6743\u4ef7\u683c\uff0c\u8be5\u516c\u53f8\u884c\u4f7f\u6743\u529b\uff0c\u5c06\u6536\u5230\u76841000000\u82f1\u9551\u4ee51.8730\u7684\u4ef7\u683c\u5356\u7ed9\u671f\u6743\u5356\u65b9\uff0c\u6b64\u5916\u6263\u9664\u671f\u6743\u4ef7\u683c\u6bcf\u82f1\u95510.02\u7f8e\u5143\uff0c\u6700\u540e\u989d\u5916\u6536\u5165\u4e3a\uff1a
1000000*\uff081.8730-1.8210-0.02\uff09=32000\u7f8e\u5143
\uff082\uff09 \u4e09\u4e2a\u6708\u540e\u6c47\u7387\u4e3a1.9050\uff0c\u9ad8\u4e8e\u884c\u6743\u4ef7\u683c\uff0c\u8be5\u516c\u53f8\u4e0d\u4f1a\u884c\u4f7f\u6743\u529b\uff0c\u635f\u5931\u671f\u6743\u8d39\u7528\u6bcf\u82f1\u95510.02\u7f8e\u5143\uff0c\u4f46\u7531\u4e8e\u82f1\u9551\u5347\u503c\uff0c\u5176\u82f1\u9551\u6536\u5165\u6709\u5347\u503c\uff0c\u6536\u5165\u7b97\u51fa\u6765\u4e3a
1000000*\uff081.9050-1.8725-0.02\uff09=12500\u7f8e\u5143
1. USA\u94f6\u884c\u6700\u8fd1\u630910%\u7684\u5e74\u5229\u7387\u53d1\u653e\u4e86\u4e00\u7b14\u4ef7\u503c\u4e3a1000\u4e07\u7f8e\u5143\u7684\u4e00\u5e74\u671f\u8d37\u6b3e.\u8d37\u6b3e\u8d44\u91d1\u6765\u6e90\u4e8e\u5e74\u5229\u7387\u4e3a8%\u7684\u4e00\u5e74\u671f\u745e\u58eb\u6cd5\u90ce\u5b58\u6b3e\u3002\u76ee\u524d\u7684\u5373\u671f\u6c47\u7387\u4e3aSF1.60/\uff041\u3002
a.\u5982\u679c\u5e74\u5e95\u65f6\u7684\u5373\u671f\u6c47\u7387\u4e3aSF1.60/\uff041\u548cSF1.85/\uff041\uff0c\u4e00\u5e74\u671f\u8d37\u6b3e\u6309\u7f8e\u5143\u8861\u91cf\u7684\u5229\u606f\u51c0\u6536\u76ca\u4e3a\u591a\u5c11\uff1f
\u5f53\u5373\u671f\u6c47\u7387\u4e3aSF1.85/\uff041\u65f6\uff1a\u4e00\u5e74\u671f\u672c\u606f\u548c= $10000000x (1 +10%) = $11000000
\u7f8e\u5143\u6362\u745e\u58eb\u6cd5\u90ce\uff1a$10000000x 1.6= SK16000000
\u516d\u4e2a\u6708\u540e\u672c\u606f\u548c=SK16000000 x (1 +8%) = SK17280000
\u745e\u58eb\u6cd5\u90ce\u6362\u7f8e\u5143\uff1aSK 17280000/1.85= $9340540.54
\u5229\u606f\u51c0\u6536\u76ca=$11000000-$9340540.54-=$1659459.46
\u5f53\u5373\u671f\u6c47\u7387\u4e3aSF1.60/\uff041\u65f6\uff1a
\u5229\u606f\u51c0\u6536\u76ca=10000000x (1 +10%)\u201410000000 x1.6\uff081+8%\uff09/1.6=$200000
b.\u8d44\u4ea7\u7684\u5229\u606f\u51c0\u6536\u76ca\u4e3a\u591a\u5c11\uff1f
SF1.85/\uff041\u65f6\uff1a$1659459.46
SF1.60/\uff041\u65f6\uff1a$200000
c.\u5f53\u745e\u58eb\u6cd5\u90ce\u8d2c\u503c\u5230\u591a\u5c11\u65f6\uff0c\u5c31\u4f1a\u7ed9\u94f6\u884c\u7684\u4ea4\u6613\u5e26\u6765\u635f\u5931\uff1f
1000*\uff081+10%\uff09\u20141000*1.6*\uff081+8%\uff09/x=0
x=1.57
d.\u5047\u8bbe\u5e74\u5e95\u65f6\u7684\u5373\u671f\u6c47\u7387\u4e0e(a)\u9898\u4e2d\u7684\u76f8\u540c\uff0c\u90a3\u4e48\u8fd9\u7b14\u4ea4\u6613\u5bf9\u5229\u606f\u51c0\u6536\u76ca\u548c\u672c\u91d1\u7684\u603b\u4f53\u5f71\u54cd\u6709\u591a\u5927\uff1f
\u5f53\u5373\u671f\u6c47\u7387\u4e3aSF1.85/\uff041\u65f6\uff1a\u5229\u606f\u51c0\u6536\u76ca\u4e3a$1659459.46
\u51c0\u5229\u5dee=$1659459.46/$10000000=0.16594
\u5f53\u5373\u671f\u6c47\u7387\u4e3aSF1.60/\uff041\u65f6\uff1a\u5229\u606f\u51c0\u6536\u76ca\u4e3a$200000
\u51c0\u5229\u5dee=$200000/$10000000=0.02
2.\u67d0\u94f6\u884c\u63096.5%\u7684\u5e74\u5229\u7387\u5438\u6536\u4e86\u4e00\u7b14\u4ef7\u503c\u4e3a100\u4e07\u7f8e\u5143\u76846\u4e2a\u6708\u671f\u6b27\u6d32\u7f8e\u5143\u5b58\u6b3e\u3002\u5b83\u5c06\u8fd9\u7b14\u8d44\u91d1\u6295\u8d44\u4e8e\u5e74\u5229\u7387\u4e3a7.5%\u76846\u4e2a\u6708\u745e\u5178\u6cd5\u90ce\uff08SK\uff09\u503a\u5238\u3002\u76ee\u524d\u7684\u5373\u671f\u6c47\u7387\u4e3a\uff040.18/SK1.
a.\u745e\u5178\u514b\u67176\u4e2a\u6708\u8fdc\u671f\u62a5\u4ef7\u4e3a\uff040.1810/SK1\u3002\u5982\u679c\u94f6\u884c\u5229\u7528\u8fdc\u671f\u5e02\u573a\u6765\u8fdb\u884c\u5916\u6c47\u98ce\u9669\u4fdd\u503c\uff0c\u90a3\u4e48\u8fd9\u7b14\u6295\u8d44\u7684\u51c0\u5229\u5dee\u6536\u76ca\u662f\u591a\u5c11\uff1f
\u516d\u4e2a\u6708\u7684\u5b9a\u671f\u5b58\u6b3e\u672c\u606f\u548c= $1,000,000x (1 + 0.065/2) = $1,032,500
\u7f8e\u5143\u6362\u745e\u5178\u6cd5\u90ce\uff1a$1,000,000/0.18 = SK5,555,555.56
\u516d\u4e2a\u6708\u540e\u672c\u606f\u548c=SK5,555,555.56x (1 + 0.075/2) = SK 5,763,888.89
\u745e\u5178\u6cd5\u90ce\u6362\u7f8e\u5143\uff1aSK 5,763,888.89 x 0.1810 = $1,043,263.89
\u51c0\u5229\u5dee=\uff08$1,043,263.89-1,032,500\uff09/ $1,000,000=0.010764
b.\u4f7f\u5229\u5dee\u4ec5\u4e3a1%\u7684\u8fdc\u671f\u6c47\u7387\u662f\u591a\u5c11\uff1f
\u51c0\u5229\u606f\u6536\u5165=1% /2x 1,000,000 = $5,000
\u56e0\u6b64,\u5229\u606f\u6536\u5165= $1,032,500 + $5,000 = $1,037,500
\u8fdc\u671f\u6c47\u7387 = SK 5,763,888.89/$1,037,500 =$0.18/SK
c.\u8bf7\u89e3\u91ca\u5229\u5dee\u6269\u5927\u65f6\uff0c\u8fdc\u671f\u548c\u5373\u671f\u6c47\u7387\u5c06\u5982\u4f55\u53d1\u751f\u53d8\u5316\uff1f
\u6839\u636e\u5229\u7387\u5e73\u4ef7\u7406\u8bba,\u5229\u7387\u9ad8\u7684\u8d27\u5e01\u5373\u671f\u6c47\u7387\u4f1a\u5347\u503c,\u8fdc\u671f\u6c47\u7387\u4f1a\u8d2c\u503c. \u5229\u7387\u76f8\u5bf9\u8f83\u4f4e\uff0c\u4f1a\u5f15\u8d77\u5957\u5229\u884c\u4e3a\uff0c\u5373\u5c06\u4f4e\u5229\u7387\u8d27\u5e01\u5373\u671f\u5151\u6362\u6210\u9ad8\u5229\u7387\u8d27\u5e01\u8fdb\u884c\u6295\u8d44\u7684\u884c\u4e3a\uff0c\u77ed\u671f\u5185\u4f7f\u9ad8\u5229\u7387\u8d27\u5e01\u5347\u503c\uff0c\u5728\u5957\u5229\u4e2d\uff0c\u4e3a\u4e86\u9632\u8303\u6c47\u7387\u53d8\u52a8\u7684\u635f\u5931\uff0c\u6295\u8d44\u8005\u5f80\u5f80\u4f1a\u5bf9\u5957\u5229\u884c\u4e3a\u8fdb\u884c\u8fdc\u671f\u7684\u629b\u8865\uff0c\u5373\u5728\u5373\u671f\u5151\u6362\u9ad8\u5229\u7387\u8d27\u5e01\u7684\u540c\u65f6\uff0c\u5356\u51fa\u8fdc\u671f\u9ad8\u5229\u7387\u8d27\u5e01\uff0c\u4f7f\u8fdc\u671f\u9ad8\u5229\u7387\u8d27\u5e01\u8d2c\u503c\u3002
1、3个月后英镑汇率1.8520美元比期权协定价1.8730低，所以公司会行权，以协定价卖出
美元计价的收入为：125000*(1.8730-1.8520-0.02)=125美元
2、3个月后英镑汇率1.8840美元比期权协定价1.8730高，公司不行权，但收到的英镑升值
美元计价的收入为：125000*(1.8840-1.8825-0.02)=-2312.5美元
绛旓細1 灏忔椂鍓 路 鐧惧害璁よ瘉:璧棰樺簱瀹樻柟甯愬彿 鑰冭瘯璧勬枡缃 鍚慣A鎻愰棶 鍏虫敞 灞曞紑鍏ㄩ儴 銆愮瓟妗堛:AC鎺у埗娉,鏄寚鍦ㄦ崯澶卞彂鐢熶箣鍓,瀹炴柦鍚勭鎺у埗宸ュ叿,鍔涙眰娑堥櫎鍚勭闅愭偅,鍑忓皯閲戣瀺椋庨櫓鍙戠敓鐨勫洜绱,灏嗘崯澶辩殑涓ラ噸鍚庢灉鍑忓皯鍒版渶浣庣▼搴︾殑涓绉嶆柟娉;璐㈠姟娉,鏄寚鍦ㄩ噾铻嶉闄╀簨浠跺彂鐢熷悗宸查犳垚鎹熷け鏃,杩愮敤璐㈠姟宸ュ叿,瀵瑰凡鍙戠敓鐨勬崯澶辩粰浜堝強鏃...
绛旓細鐪嬬瓟妗堟槸A浜 閫熷姩姣旂巼鏄祦鍔ㄩ櫎鎺変簡瀛樿揣 鑻ラ塨 鏇翠笉濡傞夌幇閲戞瘮鐜 d
绛旓細1.15鍋囧畾鏌愪竴鎶曡祫棰勬湡鍥炴姤涓8%锛屾爣鍑嗗樊涓14%锛涘彟涓鎶曡祫棰勬湡鍥炴姤涓12%锛屾爣鍑嗗樊涓20%銆備袱椤规姇璧勭浉鍏崇郴鏁颁负0.3锛屾瀯閫椋庨櫓鍥炴姤缁勫悎鎯呭舰銆1.166甯傚満鐨勯鏈熷洖鎶ヤ负12%锛屾棤椋庨櫓鍒╃巼涓7%锛屽競鍦哄洖鎶ユ爣鍑嗗樊涓15%銆備竴涓姇璧勪汉鍦ㄦ湁鏁堣竟鐣屼笂鏋勯犱簡涓涓祫浜х粍鍚堬紝棰勬湡鍥炴姤涓10%锛屽彟澶栦竴涓瀯閫狅紝棰勬湡鍥炴姤20%锛屾眰...
绛旓細璁鸿堪棰1. 閲戣瀺椋庨櫓绠＄悊鐨勭瓥鐣ユ湁鍝簺?绛:閲戣瀺椋庨櫓绠＄悊绛栫暐鍖呮嫭:1.鍥為伩绛栫暐銆傞闄╁洖閬挎槸涓绉嶄簨鍓嶆帶鍒,鎸囧喅绛栬呰冭檻鍒伴闄╃殑瀛樺湪,涓诲姩鏀惧純鎴栬呮嫆缁濇壙璁よ椋庨櫓銆傝繖鏄繚瀹堢殑椋庨櫓鎺у埗鎵嬫,鍥為伩浜嗛闄╃殑鎹熷け,鍚屾牱涔熸剰鍛崇潃鏀惧純浜嗛闄╂敹鐩婄殑鏈轰細銆2.闃茶寖绛栫暐銆傛槸鎸囬闃查闄╃殑浜х敓銆傞噾铻嶆満鏋勯氳繃瀵归闄╀簨鏁呭彂鐢熺殑鏉′欢銆佸師鍥犺繘琛...
绛旓細(鍏40棰.姣忛1鍒.鍏40鍒) 1.涓轰簡閬垮厤椋庨櫓鍦ㄥ湴鍖恒佷骇鍝併佽涓氬拰瀹㈡埛缇ょ殑杩囧害闆嗕腑,鍟嗕笟閾惰鍙互閲囧彇( )绛変竴绯诲垪鍏ㄦ柊鐨椋庨櫓绠＄悊鎶鏈拰鏂规硶,闃茶寖鍜岃浆绉荤绫婚闄┿ A.浜哄憳鍩硅 B.鎬讳綋缁勫悎闄愰 C.璧勪骇璇佸埜鍖 D.淇＄敤琛嶇敓浜у搧 E.鎺堜俊闆嗕腑搴﹂檺棰 2.浠ヤ笅瀵瑰崟涓娉曚汉瀹㈡埛杩涜鐨勪俊鐢ㄩ闄╄瘑鍒繃绋嬩腑,涓嶅睘浜庨潪璐㈠姟鍥犵礌鍒嗘瀽...
绛旓細閲戣瀺椋庨櫓绠＄悊甯堝嵆FRM鐨勪袱閮ㄥ垎鑰冭瘯棰樺瀷鍧囦负鍗曢」閫夋嫨棰橈紝绗竴閮ㄥ垎锛團RM涓绾э級鑰冭瘯鐢100閬撳崟閫夐缁勬垚锛岀浜岄儴鍒嗭紙FRM浜岀骇锛夎冭瘯鐢80閬撳崟閫夐缁勬垚锛屾瘡棰樻潈閲嶇浉鍚屻2022骞碏RM绗竴閮ㄥ垎鍜岀浜岄儴鍒嗚冭瘯鍧囬噰鐢ㄦ満鑰冿紙CBT锛夋ā寮忋傛瘡涓閮ㄥ垎鐨勮冭瘯鏃堕棿鍧囦负4灏忔椂銆傝冭瘯鐨勫唴瀹规槸缁煎悎鎬х殑锛屼互瀹炶返涓哄鍚戯紝娑电洊閲戣瀺椋庨櫓...
绛旓細9. 閲戣瀺绉熻祦涓庝腑灏忎紒涓氳瀺璧:鍩轰簬閲戣瀺鍔熻兘鐞嗚鍒嗘瀽 10. 璧勬簮绾︽潫銆佸畾浠锋潈缂哄け涓庡绛栭夋嫨 11. 淇＄敤鍗¤浆鎹㈡垚鏈爺绌剁患杩 12. 鍦版柟 *** 铻嶈祫妯″紡鐨勫浗闄呮瘮杈冨拰涓浗閫傚簲鎬ч夋嫨:鏂囩尞杩拌瘎 13. 鏃ョ編涓ゅ浗閲忓寲瀹芥澗璐у竵鏀跨瓥鐨勬瘮杈 14. 鍖哄煙浜烘皯甯椋庨櫓绠＄悊鐨勫疄璇佽皟鏌ヤ笌鐮旂┒ 15. 杩愮敤鍊哄姟閲嶇粍鎵嬫澶勭疆閲戣瀺涓嶈壇璧勪骇鐨...
绛旓細鐒惰屼簰鑱旂綉浣滀负涓绉嶉潪宸ュ叿,瀹冩湰韬叿鏈夊紑鏀炬,浜轰滑鍦ㄤ娇鐢ㄤ簰鑱旂綉閲戣瀺鐨勬椂鍊,闇瑕佹壙鎷呰緝澶х殑浜掕仈缃閲戣瀺椋庨櫓,濡傜珵浜夐闄┿佷俊瑾夐闄┿佺粡钀ラ闄╃瓑,涓鏃﹂闄╁彂鐢,涓嶄粎浼氬奖鍝嶅埌閲戣瀺甯傚満鐨勫彂灞,鍚屾椂杩樹細褰卞搷鍒版垜鍥界ぞ浼氱粡娴庣殑鍙戝睍銆傞潰瀵硅繖涓珵浜夋棩鐩婃縺鐑堢殑甯傚満鐜涓,浜掕仈缃戦噾铻嶈鎯虫洿濂藉湴鍙戝睍,灏卞繀椤婚噸瑙椋庨櫓绠＄悊宸ヤ綔銆傚彧鏈夊仛濂...
绛旓細锛2锛夊浜庢煇浜閲戣瀺宸ュ叿锛屼紒涓氬湪纭畾鍏跺叕鍏佷环鍊兼椂鍙互鏈変袱绉嶉夋嫨锛屽嵆浠ョ珛鍗崇粨绠椾环鍊间负鍩虹鎴栦互棰勬湡缁撶畻浠峰间负鍩虹銆傦紙3锛変紒涓氬湪鍒╃敤鏌愰」閲戣瀺宸ュ叿鏃讹紝閫氬父灏嗗畠涓庡叾浠栫被浼奸噾铻嶅伐鍏锋斁鍦ㄤ竴璧峰舰鎴愮粍鍚堣繘琛椋庨櫓绠＄悊锛屼篃灏辨槸閫氬父璇寸殑鈥滄墦鍖呪濈幇璞°傛鏃讹紝鍗曢」閲戣瀺宸ュ叿鐨勫叕鍏佷环鍊肩‘瀹氳涓嶈鑰冭檻鈥滄墦鍖呪濈殑褰卞搷鍛紵绗...
绛旓細绗叚绔 閲戣瀺椋庨櫓绠＄悊 绗竴鑺傞闄╂杩 涓銆侀闄╀笌閲戣瀺椋庨櫓 (涓)椋庨櫓 椋庨櫓涓鑸瀹氫箟涓衡滀骇鐢熸崯澶辩殑鍙兘鎬ф垨涓嶇‘瀹氭р濄傞闄╂槸鐢遍闄╁洜绱犮侀闄╀簨鏁呭拰鎹熷け鐨勫彲鑳芥т笁涓绱犳湁鏈烘瀯鎴愮殑銆 (浜)閲戣瀺椋庨櫓 閲戣瀺椋庨櫓涔熸槸涓绉嶉闄,鏄寚閲戣瀺鍙橀噺鐨勫彉鍔ㄦ墍寮曡捣鐨勮祫浜х粍鍚堟湭鏉ユ敹鐩婄殑涓嶇‘瀹氭с 1.閲戣瀺椋庨櫓鐨勭壒寰 (1)...
