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1、国际财务管理外汇风险管理外汇风险管理中山大学管理学院财务投资系中山大学管理学院财务投资系 辛宇辛宇1外汇风险管理基础外汇风险是指一家公司受汇率变动影响的程度会计风险/折算风险Accounting Exposure/Translation Exposure交易风险Transaction Exposure经营风险Operating/Economic Exposure交易风险和经营风险合称经济风险（狭义的经济风险只包括经营风险）Economic Exposure2Three Types of Exposure Translation ExposureExchange rate risk as app
2、lied to the firms consolidated financial statements.Transaction ExposureExchange rate risk as applied to the firms home currency cash flows.Economic ExposureExchange rate risk as applied to the firms competitive position.外汇风险管理基础3外汇风险管理基础会计风险Translation exposure arises from the need to convert forei
3、gn currency accounts,revenues,and expenses into the home currency.由于汇率变化而导致的资产负债表中资产和负债的账面价值以及损益表项目的变化Unanticipated changes in exchange rates may have the impact on the consolidated financial statements of the multinational company有关的资产负债表中的资产和负债项目以及损益表项目已经存在所产生的汇兑损益由会计准则的具体规定来决定，并且仅仅是纸面上的由于会计风险是建立在
4、发生在过去的企业活动的基础上的，因此，对会计风险的衡量实质上是面向过去的4外汇风险管理基础交易风险由于汇率变化而导致的在外未结算的、以外币计价的合约（即该合约会在未来产生以外币计量的现金流量）价值所发生的变化所产生的汇兑损益实际上是由已经存在的合约决定，并且是真实存在的合约已经存在，但将在未来某日进行结算由于交易风险是建立在发生于过去的企业活动、但将在未来进行结算的基础之上，因此，对交易风险的衡量是面向过去与面向未来的混合已经在资产负债表中反映的合约部分属于会计风险，而尚未在资产负债表中反映的合约部分属于经营风险5外汇风险管理基础经营风险由于汇率变化而导致的未来/预期经营现金流量的变化所产生的
5、汇兑损益是由公司的未来竞争地位的变化来决定的，并且是真实存在的，如销售量的变化、销售价格的变化、销售成本的变化等等与未来的销售相联系的收入和成本由于经营风险是建立在企业未来活动的基础之上，因此，对经营风险的衡量是面向未来的，很难进行准确衡量任何收入和成本受到汇率变化影响的公司都存在经营风险，即使其是一个纯粹的国内公司，并且所有的现金流量都由本国货币标价6外汇风险管理基础会计风险、交易风险、和经营风险 会计风险交易风险经营风险 时间 发生汇率变化7外汇风险管理基础三种外汇风险的比较交易风险和经营风险是现金流量风险，而会计风险是非现金流量风险经济风险是指当汇率变化时，公司价值（用预期现金流量的现值
6、来衡量）的变化程度。经营风险是汇率变动对企业未来交易可能产生的影响，而交易风险和会计风险则是汇率变动对企业已经发生的经济业务产生的影响经营风险对企业的影响是持续的和长远的，而交易风险和会计风险对企业的影响是短期的、一次性的经营风险的管理比较困难，而交易风险和折算风险管理起来相对容易一些8外汇风险管理基础外汇风险管理目标会计风险最小化由于汇率波动而导致的盈余波动最小化交易风险最小化经营风险最小化外汇风险管理成本最小化避免巨额外汇损失The most appropriate way to rank these objective is on their consistency with the o
7、verarching goal of maximizing shareholder value.Actions taken by a firm that decrease its total risk will improve its sales and cost outlooks,thereby increasing its expected cash flows.Hedging can reduce risk and can benefit a company.9外汇风险管理基础外汇风险管理实施程序确定恰当的计划期预测汇率变化情况计算外汇风险的受险额确定对外汇风险受险额是否采取行动选择适当
8、的避险方法10外汇风险管理基础外汇风险管理组织及其内部控制集中管理 VS 分散管理集中管理的原因：当地管理者缺乏整体视角，更多关注自身利益；公司总部具备全球视角；分支机构之间的外币现金流量及外汇风险可以相互抵消，从而避免重复支付管理费用Centralization of exchange risk management reduces the amount of hedging needed to achieve a given level of safety.集中管理的成本：缺少对当地具体情况的了解；不能为当地管理者关注外汇风险提供适当的激励一种改进方案：分支机构可以按照一个协议的汇率与公司
9、总部进行虚拟远期合约交易以对其外汇风险进行套期保值管理，但公司总部最终可以决定是否需要对该笔外汇风险在市场上进行套期保值11外汇风险管理基础外汇风险管理组织及其内部控制日常管理要点交易者、记录者和监督者的职能分离Several spectacular risk management failures point to the need to monitor and supervise risk managers.报酬安排，如延迟支付交易者的部分薪金衍生品的交易规模应与其外汇风险规模相适应，逐日订市12会计风险及其管理 会计风险的产生是由于需要将外币帐户、外币收入、外币成本费用等转换成本国货币，
10、主要影响因素包括：外国分支机构业务所占的比重外国分支机构所在国货币汇率变动的剧烈程度使用的折算方法使用的折算方法13会计风险及其管理流动/非流动法：子公司的所有流动资产和流动负债都按当前汇率折算，其他资产、负债和所有者权益则按历史汇率折算，汇兑损益作为当期损益在损益表中列示会计风险暴露部分是其营运资本折旧费用、摊销费用按历史汇率计算，损益表其他项目按平均汇率计算14会计风险及其管理Current/Noncurrent Method The underlying principal is that assets and liabilities should be translated based
11、 on their maturity.Current assets translated at the spot rate.Noncurrent assets translated at the historical rate in effect when the item was first recorded on the books.This method of foreign currency translation was generally accepted in the United States from the 1930s until 1975,at which time FA
12、SB 8 became effective.15会计风险及其管理Current/Noncurrent Method Current assets translated at the spot rate.e.g.DM2=$1Noncurrent assets translated at the historical rate in effect when the item was first recorded on the books.e.g.DM3=$116会计风险及其管理 Current/Noncurrent Method17会计风险及其管理货币/非货币法：对货币性项目以当前汇率折算，对非货
13、币性项目采用历史汇率折算，所有者权益也按历史汇率折算，汇兑损益作为当期损益在损益表中列示（FASB No.8）会计风险暴露部分是其净货币资产货币性资产与货币性负债的差额货币性资产：现金、有价证券、各种应收款货币性负债：应付款、长期负债非货币性资产：存货、固定资产、长期投资非货币性负债：递延款项折旧费用、摊销费用、和销售成本按历史汇率计算，损益表其他项目按平均汇率计算18会计风险及其管理Monetary/Nonmonetary Method The underlying principal is that monetary accounts have a similarity because t
14、heir value represents a sum of money whose value changes as the exchange rate changes.All monetary balance sheet accounts(cash,marketable securities,accounts receivable,etc.)of a foreign subsidiary are translated at the current exchange rate.All other(nonmonetary)balance sheet accounts(owners equity
15、,land)are translated at the historical exchange rate in effect when the account was first recorded.19会计风险及其管理Monetary/Nonmonetary Method All monetary balance sheet accounts are translated at the current exchange rate.e.g.DM2=$1All other balance sheet accounts are translated at the historical exchang
16、e rate in effect when the account was first recorded.e.g.DM3=$120会计风险及其管理 Monetary/Nonmonetary Method21会计风险及其管理时态法：以资产、负债项目的计量基础作为选择折算汇率依据的外币报表折算方法按市价计价的现金、应收项目、存货、投资和应付项目以及其他负债项目按现行汇率折算按历史成本计价的各项资产如固定资产、无形资产等按取得时的历史汇率折算实收资本项目仍旧按历史汇率折算汇兑损益作为当期损益在损益表中列示承担会计风险的是按现行市价计价的资产和负债，净暴露资产等于按现行市价计价的资产与负债的差额折旧费
17、用、摊销费用按历史汇率计算，损益表其他项目按平均汇率计算22会计风险及其管理Temporal Method The underlying principal is that assets and liabilities should be translated based on how they are carried on the firms books.Balance sheet account are translated at the current spot exchange rate if they are carried on the books at their current
18、 value.Items that are carried on the books at historical costs are translated at the historical exchange rates in effect at the time the firm placed the item on the books.23会计风险及其管理Temporal Method Items carried on the books at their current value are translated at the spot exchange rate.e.g.DM2=$1It
19、ems that are carried on the books at historical costs are translated at the historical exchangerates.e.g.DM3=$1Under the temporal method,it is assumed that the firm carries its inventory at the current market value of DM 1800 instead of at the historical value of DM1500.24会计风险及其管理 Temporal Method25会
20、计风险及其管理现行汇率法：将外国子公司的所有资产和负债全部按当前汇率折算，汇兑损益作为所有者权益的一项内容在资产负债表中反映，而不是在损益表中列示（FASB No.52）会计风险暴露部分是其净资产损益表项目按平均汇率计算Widespread dissatisfaction with FASB-8 led to the adoption of FASB-52,which mandated use of the current rate method.Under FASB-52,transaction gains or losses are generally included in the in
21、come statement,whereas translation gains or losses are not.26会计风险及其管理Current Rate Method All balance sheet items(except for stockholders equity)are translated at the current exchange rate.Very simple method in application.A“plug”equity account named cumulative translation adjustment is used to make
22、the balance sheet balance.27会计风险及其管理Current Rate Method All balance sheet items(except for stockholders equity)are translated at the current exchange rate.A“plug”equity account named cumulative translation adjustment is used to make the balance sheet balance28会计风险及其管理 Current Rate Method29How Variou
23、s Translation Methods Deal with a Change from DM3 to DM2=$1Spot exchange rateearnings30How Various Translation Methods Deal with a Change from DM3 to DM2=$1Book value of inventory at spot exchange rateBook value of inventory historic rateCurrent value of inventory at spot exchange rate.earnings31How
24、 Various Translation Methods Deal with a Change from DM3 to DM2=$1historic ratespot exchange rate.earnings32How Various Translation Methods Deal with a Change from DM3 to DM2=$1spot rateearnings33How Various Translation Methods Deal with a Change from DM3 to DM2=$1spot ratehistorical rateearnings34H
25、ow Various Translation Methods Deal with a Change from DM3 to DM2=$1historical rateearnings35How Various Translation Methods Deal with a Change from DM3 to DM2=$1From income statementearnings36How Various Translation Methods Deal with a Change from DM3 to DM2=$1Under the current rate method,a“plug”e
26、quity account named cumulative translation adjustment makes the balance sheet balance.earnings37How Various Translation Methods Deal with a Change from DM3 to DM2=$1Sales translate at average exchange rate over the period,DM2.50=$138How Various Translation Methods Deal with a Change from DM3 to DM2=
27、$1Translate at DM2.50=$1Translate at historical rate,DM3.00=$139How Various Translation Methods Deal with a Change from DM3 to DM2=$1Translate at DM3=$1Translate at average exchange rate,DM2.5=$140How Various Translation Methods Deal with a Change from DM3 to DM2=$1Note the effect on after-tax profi
28、t.41How Various Translation Methods Deal with a Change from DM3 to DM2=$1Note the effect that foreign exchange gains(losses)has on net income.42会计风险及其管理Hedging Translation Exposure If the managers of the firm wish to manage their accounting numbers as well as their business,they have two methods for
29、 dealing with translation exposure.Balance Sheet HedgeBalance Sheet Hedge Eliminates the mismatch between net assets and net liabilities denominated in the same currency.May create transaction exposure,however.Derivatives HedgeAn example would be the use of forward contracts with a maturity of the r
30、eporting period to attempt to manage the accounting numbers.Using a derivatives hedge to control translation exposure really involves speculation about foreign exchange rate changes,however.43会计风险及其管理Empirical Analysis of the Change from FASB 8 to FASB 52 There did not appear to be a revaluation of
31、firms values following the change.This suggests that market participants do not react to cosmetic earnings changes.Other researchers have found similar results when investigating other accounting changes.This highlights the futility of attempting to manage translation gains and losses.44会计风险及其管理会计风险
32、是否需要企业投入过多精力加以管理？Companies should focus on the economic effects of currency changes rather than the accounting effects.分支机构收益在很多情况下不须实际兑成母国货币，而是被保留在当地用作再投资，因此，较弱的当地货币不会影响分支机构的经营，也就并不存在严重的、实质意义上的外汇风险过分关注会计风险的管理会对公司的正常经营造成负面影响过分关注会计风险的管理会导致对更为重要的、导致未来现金流量变化的汇率风险的影响视而不见会计风险本身不影响企业现金流量，但是会计风险的保值措施却会影响企业
33、的现金流量，尤其是当汇率朝向与企业预期相反的方向变化时，保值措施带来的损失却会带来企业真正的现金流出只要保持充分、彻底、和完全的披露，不同折算方法的选择并不会对公司的市场价值（股票价格）造成影响。在有效有效的资本市场上，投资者可以对汇兑损益进行适当的评价。Empirical evidence indicates that investors can distinguish between accounting gimmickry and economic reality.45交易风险及其管理交易风险示例国际贸易信用买卖中的交易风险外汇借款和投资中的交易风险外汇买卖风险远期外汇交易风险公司对海外
34、分支机构的投资、利润汇回、和资本撤回的风险46交易风险及其管理交易风险衡量A multinational firm should not consider deals in isolation,but should focus on hedging the firm as a portfolio of currency positions.As an example,consider a U.S.-based multinational with Korean won receivables and Japanese yen payables.Since the won and the yen
35、 tend to move in similar directions against the U.S.dollar,the firm can just wait until these accounts come due and just buy yen with won.Even if its not a perfect hedge,it may be too expensive or impractical to hedge each currency separately.47交易风险及其管理交易风险衡量单从一项交易的角度来衡量交易风险是比较容易的，但实际工作中，企业的财务管理者需要站
36、在整个企业的角度来考虑全部交易风险的净影响结果交易风险还应该考虑不同外币之间的相关性问题48交易风险及其管理交易风险衡量一种外币的交易风险取决于两个因素：货币暴露净头寸（敞口）的大小和汇率波动的幅度单个企业所承担的外汇交易风险并不是所有业务产生交易风险的总和只有时间上匹配的现金流量才能相抵企业可以根据一些历史数据来评估一种外币可能的波动幅度，如标准差49交易风险及其管理交易风险衡量测算所有子公司的外汇敞口并加以合并，得到公司范围的预期外汇净流量估计预期汇率变动幅度内外汇净流量的本币币值变化范围分析汇率变动的相关性综合分析公司的总体交易风险Transaction exposure can be
37、managed by entering into offsetting foreign currency transactions.50交易风险及其管理交易风险管理工具Forward Market Hedge In a forward market hedge,any exchange gain or loss on the forward contract will be offset by a corresponding exchange loss or gain on the underlying transaction.If you are going to owe foreign c
38、urrency in the future,agree to buy the foreign currency now by entering into long position in a forward contract.An Example:You are a U.S.importer of British woolens and have just ordered next years inventory.Payment of 100M is due in one year.How can you fix the cash outflow in dollars?Answer:One w
39、ay is to put yourself in a position that delivers 100M in one yeara long forward contract on the pound.If you are going to receive foreign currency in the future,agree to sell the foreign currency now by entering into short position in a forward contract.假设现在一美国公司销售1000万的产品给一家欧洲公司，三个月后付款。当前的现汇价格是$1.
40、00/，三月期远期汇率为$0.957/。此时，该美国公司可以销售一份1000万的三月期远期合约，从而保证在到期时肯定能获得957万$。51交易风险及其管理交易风险管理工具期货市场套期保值与远期外汇市场套期保值相似有时可能与企业保值要求的金额、时期等不相匹配52交易风险及其管理交易风险管理工具Money Market Hedge This is the same idea as covered interest arbitrageA money market hedge uses simultaneous borrowing and lending activities in two diffe
41、rent currencies to eliminate a transaction exposure.假设现在一美国公司销售1000万的产品给一家欧洲公司，三个月后付款。当前的现汇价格是$1.00/，三月期远期汇率为$0.957/。目前和$的三月期利率分别是15%和10%。此时，该美国公司可以通过货币市场借入三月期的1000万/1.15=870万，并将这870万兑换成870万$，并进行投资，从而在到期时获得870万$*1.10=957万$。同时，三个月后该美国公司可以用收到的1000万偿还借款本息。A money market hedge is equivalent to a forward
42、 contract if interest rate parity holds.53交易风险及其管理交易风险管理工具Options Market Hedge Options provide a flexible hedge against the downside,while preserving the upside potential.To hedge a foreign currency payable buy calls on the currency.If the currency appreciates,your call option lets you buy the curre
43、ncy at the exercise price of the call.To hedge a foreign currency receivable buy puts on the currency.If the currency depreciates,your put option lets you sell the currency for the exercise price.54交易风险及其管理交易风险管理工具Options Market Hedge Hedging Contingent Exposure Currency options can be used to hedge
44、 contingent foreign currency cash flows.If only certain contingencies give rise to exposure,then options can be effective insurance.Companies often have contingent foreign currency cash flows that cant be hedged with forward contracts.For example,if your firm is bidding on a hydroelectric dam projec
45、t in Canada,you will need to hedge the Canadian-U.S.dollar exchange rate only if your bid wins the contract.Your firm can hedge this contingent risk with options.Forward contracts can be used to hedge the known portion of foreign currency cash flows,and options the uncertain remainder.55交易风险及其管理交易风险
46、管理工具Cross-Hedging Minor Currency Exposure The major currencies are the:U.S.dollar,Canadian dollar,British pound,French franc,Swiss franc,Italian lira,German mark,Japanese yen,and now the euro.Everything else is a minor currency,like the Polish zloty.It is difficult,expensive,or impossible to use fin
47、ancial contracts to hedge exposure to minor currencies.Cross-Hedging involves hedging a position in one asset by taking a position in another asset.Cross-hedging involves hedging a given currency exposure by using a forward or futures contract on a related currency.The effectiveness of cross-hedging
48、 depends upon how well the assets are correlated.56交易风险及其管理交易风险管理工具Cross-Hedging Minor Currency Exposure An example would be a U.S.importer with liabilities in Czech koruna hedging with long or short forward contracts on the euro.If the koruna is expensive when the euro is expensive,or even if the k
49、oruna is cheap when the euro is expensive it can be a good hedge.But they need to co-vary in a predictable way.57交易风险及其管理交易风险管理工具Hedging Recurrent Exposure with Swaps Recall that swap contracts can be viewed as a portfolio of forward contracts.Firms that have recurrent exposure can very likely hedge
50、 their exchange risk at a lower cost with swaps than with a program of hedging each exposure as it comes along.It is also the case that swaps are available in longer-terms than futures and forwards.58交易风险及其管理交易风险管理工具Hedging through Invoice CurrencyThe firm can shift exchange rate risk by invoicing f