第十讲 经营风险管理ppt课件

1、 第十讲第十讲 经营风险的管理经营风险的管理 Managing Operating Exposure to Currency Risko教学要点教学要点:oTo definition of Operating Exposure to Currency RiskoTo discuss the exposure of shareholders equityoThe methods for Managing Operating Exposure Definition of Operating exposureIt refers to the impact exchange rate fluctuat

2、ions can have on a firms future cash flows即由于汇率的非预期变动引起企业未来营运现金流发生变化，从而使得企业的现值发生变动的可能性Recall that corporate cash flows can be affected by exchange rate movements in ways not directly associated with foreign transactions.Cash flows that do not require conversion of currencies do not reflect transacti

3、on exposure. Yet, these cash flows may also be influenced significantly by exchange rate movements.The importance of managing operating exposure can be seen from the case of the bankruptcy of Laker Airways, and from the the 2019-98 Asian crisis.How Financial Markets Affected Laker AirlinesoA firms o

4、perating exposure is determined by its use of the debt markets, as well as by foreign exchange market conditions.oConsider the case of Laker Airway, a British airline that generated much of its revenue in British pounds.oA large proportion of its expenses , however, were denominated in dollars.oAs t

5、he dollar strengthened in the foreign exchange market in 1981, Laker needed larger amounts in pounds to cover its dollar-denominated expenses. oIn January 1981, Laker borrowed $131 million in the financial markets from a group of U.S. and European banks.oAs the dollar continued go strengthen, the fi

6、rms revenues could not adequately cover its dollar-denominated expenses.oConsequently, Laker Airways went bankrupt.oIt might have avoided bankruptcy if it had reduced its operating exposure, either by reducing its dollar-denominated expenses or by increasing its dollar-denominated revenue.oOverall,

7、Lakers performance was affected by conditions in the foreign exchange market along with its decision to borrow dollars in the debt markets. 美国跨国公司的运营风险美国跨国公司的运营风险o从事国际业务的跨国公司从事国际业务的跨国公司, ,承受汇率波动带来的运营风险的程度远承受汇率波动带来的运营风险的程度远远高于纯粹的国内企业远高于纯粹的国内企业. .o例如例如, ,凯特彼勒公司的销售收入严重依赖出口凯特彼勒公司的销售收入严重依赖出口. .美元走强将增加该美元

8、走强将增加该公司的外国进口商支付的价款公司的外国进口商支付的价款, ,因而因而, ,凯特彼勒公司特别容易受到凯特彼勒公司特别容易受到美元价值波动的影响美元价值波动的影响. .o2020世纪世纪8080年代前叶年代前叶, ,美元出现了持续的强势美元出现了持续的强势, ,对其他主要货币的升对其他主要货币的升值幅度超过值幅度超过40%,40%,因其主要竞争对手因其主要竞争对手-日本的小松公司的出口品以日本的小松公司的出口品以日元标价日元标价, ,在日元对美元贬值时在日元对美元贬值时, ,许多外国进口商放弃了凯特彼勒许多外国进口商放弃了凯特彼勒而选择了小松而选择了小松. .o2020世纪世纪8080年

9、代早期年代早期, ,墨西哥比索对美元贬值了墨西哥比索对美元贬值了40%,40%,美元升值大幅降美元升值大幅降低了墨西哥顾客的购买力低了墨西哥顾客的购买力, ,结果结果, ,美国通用公司向墨西哥出售软件美国通用公司向墨西哥出售软件的业务受到惨重打打击的业务受到惨重打打击, ,通用公司对墨西哥的销售大幅下降通用公司对墨西哥的销售大幅下降. .Operating Exposure and the Competitive Environment外汇的经营风险大小与企业竞争性环境密切相关。外汇的经营风险大小与企业竞争性环境密切相关。In an integrated market一体化市场中汇率风险大，此

10、时一体化市场中汇率风险大，此时PPP理论成立）理论成立）purchasing power parity holds so that equivalent assets trade for the same price regardless of where they are traded（(e.g., currencies, interest rates, or financial claims on oil or gold are determined by worldwide supply and demand. ）In a completely segmented market分割市场至

11、少部分地隔绝了汇率分割市场至少部分地隔绝了汇率风险，此时风险，此时PPP理论不成立。）理论不成立。）prices are locally determined（ Causes of market segmentation include transaction costs, transportation costs, information costs, legal or institutional barriers, and government intervention in the form of taxes, tariffs, or other barriers to trade. 比

12、如，劳动力成本就是由各地的劳动力供求所决定的。）比如，劳动力成本就是由各地的劳动力供求所决定的。）Real-world markets fall somewhere between these extremesOperating Exposure and the Competitive Environmento因而，不同的公司，其外汇的经营风险是不一样的。因而，不同的公司，其外汇的经营风险是不一样的。o“Classic” operating exposures to currency riskoDomestic firms buy and sell locally when local mar

13、kets are segmented from foreign markets.oImporters buy globally and sell locally. oIf the local market is segmented from other markets , the importer will have a negative exposure to foreign currency values.oExporters manufacture locally and sell globally. oIf the local market is segmented from othe

14、r markets , the exporter is positively exposed to foreign currency values.oMultinational corporations buy and sell in global markets and are hence sensitive to foreign currency values.Operating exposures to fx risk Domestic firmsImportersExportersGlobal MNCs &importers/exportersin globallycompet

15、itive marketsRevenuesOperating expensesLocalGlobalLocalGlobal(0)(-)(+)(?)竞争环境国内外市场是分割的。Operating exposures to fx riskTransactions that Influence the Firms Cash InflowsLocal Currency AppreciatesLocal Currency DepreciatesLocal sales (relative to foreign competition in local markets)Firms exports denom

16、inated in local currencyFirms exports denominated in foreign currencyInterest received from foreign investmentsDecreaseDecreaseDecreaseDecrease IncreaseIncreaseIncreaseIncrease Impact on Transactions 竞争环境国内外市场是一体化的。Operating exposures to fx riskTransactions that Influence the Firms Cash OutflowsLoca

17、l Currency AppreciatesLocal Currency Depreciates Impact on Transactions Firms imported supplies denominated in local currencyFirms imported supplies denominated in foreign currencyInterest owed on foreign funds borrowedNo 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

18、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.因而,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.Equity exposure to currency riskoEconomic exposure to foreign exchange riskoTransaction exposure ochange in value of contractual cash flowsochange in value of monetary ass

19、ets & liabilitiesoNet monetary assets = 货币资产货币资产 货币负责货币负责o净货币资产的汇率风险就是等于货币资产的外汇暴露货币负债的外汇暴露净货币资产的汇率风险就是等于货币资产的外汇暴露货币负债的外汇暴露 ，也就是外汇，也就是外汇的交易风险或交易暴露的交易风险或交易暴露oOperating exposure ochange in value of noncontractual cash flowsochange in value of real assets工厂、设备、关键技术、商标等）工厂、设备、关键技术、商标等）o由于汇率的变化导致的实物资产

20、价值的变化就是汇率的经营风险，即经营现金流对汇率变由于汇率的变化导致的实物资产价值的变化就是汇率的经营风险，即经营现金流对汇率变化的敏感性。化的敏感性。o在此基础上，必然要影响到公司价值，即股东权益，这就是股东权益的汇率风险。在此基础上，必然要影响到公司价值，即股东权益，这就是股东权益的汇率风险。oEquity exposure is equal to transaction exposure plus operating exposureo股东权益暴露股东权益暴露The exposure of shareholders equity） 净货币资产暴露实净货币资产暴露实物资产暴露物资产暴露o可

21、以从两个方面来衡量：一个是从公司资产负债表中衡量；二个是以市场基础来衡量。可以从两个方面来衡量：一个是从公司资产负债表中衡量；二个是以市场基础来衡量。股东权益的敞口从资产负债表角度衡量股东权益的敞口从资产负债表角度衡量 Forei gn currency m onetary assets (40) D om esti c currency m onetary 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

22、 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股东权益的敞口从资产负债表角度衡量股东权益的敞口从资产负债表角度衡量oMonetary assets and liabilities are exposed one-for-one to currency risko假定外升值假定外升值 10% 导致导致 公司净价值上升公司净价值上升(20)(0.1)= 2.即由于外

23、汇升值，使得所有即由于外汇升值，使得所有者权益也上升者权益也上升10%（ 2/ 20)oThe exposure of real assets to currency risk may be positive, negative, or zero.oIf the value of real assets is independent of foreign currency values, then real assets are not exposed to currency risk.oIf real assets are exposed 1-for-1, then a 10% increa

24、se in foreign currency value results in a 10% increase in the value of real assets, or (1)(10%)(35) = 3.5.oIf real assets are exposed 1-for-2, then a 10% increase in foreign currency value results in a 5% increase in the value of real assets, or ()(10%)(35) = 1.75.o因而，因而，If real assets are exposed 1

25、-for-1, a 10% increase in foreign currency value results in a (2+3.5) = 5.5 increase in equity value in this example. 基于市场的股东权益暴露的衡量基于市场的股东权益暴露的衡量（Market-based Measures of the Exposure of shareholders equity）Rtd = ad + bf std/f + etd DVd/fsd/fThis regression equation measures the exposure of equity

26、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）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用来说明即期汇率的变动对股权收益率变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

27、的平方，即动的解释程度，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率，表明股权价值没有汇率风险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，表明股权价值变动，表明股权价值变动的的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，汇率变，汇率变动能动能100%解释股东权益的变动。解释股东权益的变动。)/(,srsrf2,)sr（ 基于市场的股东权益暴露的衡量基于市场的股东权益暴露的衡量（Market-based Measur

28、es of the Exposure of shareholders equityo以上是关于公司面临一种货币的汇率风险情况。现实中，公司可能会面以上是关于公司面临一种货币的汇率风险情况。现实中，公司可能会面临一种以上货币的风险暴露。此时，就要引入多元回归模型，用来衡量临一种以上货币的风险暴露。此时，就要引入多元回归模型，用来衡量跨国公司面临的多种外币带来的外汇风险：跨国公司面临的多种外币带来的外汇风险：o Rtd = ad + bf1 std/f1 + bf2 std/f2+ bf3 std/f3 +-+ etd o例如：例如： Ford Motor Companys exposuresor

29、t$= a$ + b st$/ + b st$/ + b st$/ + et$ o = 0.060 + 0.02 st$/ + 0.01 st$/ + (-0.01) st$/ + et$oWhat is the expected return on Ford stock whenost$/ = +10%st$/ = +8%st$/ = +8% oErt$= 0.06 + (0.02)(0.10) + (0.01)(0.08) + (-0.01)(0.08)o = 0. 062o or 6.2 percent 运用金融市场工具管理经营风险Managing Operating Exposure

30、in the Financial MarketsoAn Exporter s Financial Market Hedging Alternatives:o (1)远期外汇市场长期多头交易卖出长期远期外汇）远期外汇市场长期多头交易卖出长期远期外汇）o（2为国外项目举债长期外债货币市场套期）为国外项目举债长期外债货币市场套期）o（3利用货币互换取得外币债务利用本币债务与外币债务互换）利用货币互换取得外币债务利用本币债务与外币债务互换）o（4利用循环套期法一系列的短期远期外汇、期货或期权交易来重利用循环套期法一系列的短期远期外汇、期货或期权交易来重复地出售外汇。复地出售外汇。o以上方法可以锁定合同

31、现金流出量正好等于公司的经营现金入量。以上方法可以锁定合同现金流出量正好等于公司的经营现金入量。oAn Importer s Financial Market Hedging Alternatives:o (1) 远期外汇市场长期空头交易购买长期远期外汇）远期外汇市场长期空头交易购买长期远期外汇）o（2投资长期外币债券货币市场套期）投资长期外币债券货币市场套期）o（3利用货币互换取得外币金融资产利用货币互换取得外币金融资产o（4利用循环套期法一系列的短期远期外汇、期货或期权交易来重利用循环套期法一系列的短期远期外汇、期货或期权交易来重复地购买外汇。复地购买外汇。运用金融市场工具管理经营风险oA

32、dvantagesoMost financial market instruments are actively traded and liquidoIf financial prices reflect true value, then financial market transactions are zero-NPV transactionsoBecause financial transactions in efficient markets are zero-NPV transactions, you get what you pay forthere is no gain or l

33、oss on the hedge in isolation.oDisadvantageoA financial market hedge provides an imperfect hedge of operating exposure to currency risk oThe contractual cash flows of a financial market hedge cannot fully hedge the uncertain operating cash flows of the firms real assetsoManagers should assess the pe

34、rformance of financial market hedges of operating exposures in the following ways:o Vary the amount of the hedge o Vary the term or maturity of the hedgeo Vary the type of hedge 经营风险管理案例与交易风险通常是短期的相对立，经营风险通常是长期的。与交易风险通常是短期的相对立，经营风险通常是长期的。因而，运用金融市场工具管理经营风险并不是最完善的。因而，运用金融市场工具管理经营风险并不是最完善的。对冲并不能完全减少经营风

35、险，只是通过大致相反头寸部分抵减风险暴露对冲并不能完全减少经营风险，只是通过大致相反头寸部分抵减风险暴露考虑跨国公司考虑跨国公司DuracellDuracell，从美国出口电池到日本，其日元销售的美元现金，从美国出口电池到日本，其日元销售的美元现金流量至少取决于两方面的变化：流量至少取决于两方面的变化：（1 1日元销售收入的变化日元销售收入的变化（2 2日元兑美元汇率的变化。日元兑美元汇率的变化。假定假定DuracellDuracell公司预期下一年的日元销售额为￥公司预期下一年的日元销售额为￥100100百万，但是，实际的销百万，但是，实际的销售收入可能至少是￥售收入可能至少是￥5050百万

36、或至多￥百万或至多￥150150百万。百万。假定预期汇率为假定预期汇率为$0.01/$0.01/￥, ,但是，实际汇率可能是但是，实际汇率可能是$0.005/$0.005/￥或￥或$0.015/$0.015/￥Duracells Operating Exposure 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+$1

37、million-￥100million+$1million+￥50millionDuracells Operating Exposure 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

38、-￥100million+$1million￥50million $0.015/￥+$250,000Duracells Operating Exposure 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+￥1

39、50million+$1million-￥100million+$1million+￥50million $0.015/￥+$1,750,000 管理经营风险的经营策略Managing operating exposure through operationso跨国公司面临实际汇率波动时处理的灵活性大。（跨国公司面临实际汇率波动时处理的灵活性大。（MNC s have a natural advantage over domestic firms in responding to changes in real exchange rates.)oTake advantage of the MN

40、Cs ability to respond to differences in real foreign exchange ratesoPlant location: Gain access to low-cost labor or capital resourcesoProduct sourcing: Shift production to countries with low real costsoMarket selection: Shift marketing efforts toward countries with higher demand or “overvalued” cur

41、renciesoDiversification (whether product market or geographic) provides the MNC with flexibility in its sourcing, production, and marketing decisions. Pricing strategy in intlmarkets定价策略也会影响公司的经营风险。定价策略也会影响公司的经营风险。Pricing alternatives includeHold the foreign currency price constant Try to Sell the s

42、ame quantityBigger domestic profit margin per unitHold the domestic currency price constantLower foreign priceTry to increase sales volumeThe issue is:“Which pricing strategy creates the highest value for the exporter?” Which pricing strategy dominates depends on the nature of competition in the exp

43、orters industryIf the exporter is competing against other international competitors, the entire industry will face the same situationIf the exporter is competing against local (foreign) firms, the exporter will enjoy a cost advantage relative to its local (foreign) competition. 定价管理案例期初汇率期初汇率S$2.0/$

44、美元升值美元升值25%达到达到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10000200

45、00800020001200030000880022000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%Managing transaction operating internallynmultinational nett

46、ing (currency diversification) nleading and laggingmultinational netting净额冲抵即子公司之间以及子公司与母公司之间通过净额结算相互冲抵彼此所承担的汇率风险.A.双边冲抵(Bilateral Netting) -强调两个子公司之间进行净额结算以冲抵各自所承担的汇率风险。例如：假设德国公司在英国和美国分别设有子公司，并且英国子公司欠美国子公司900万美元，而美国子公司欠英国子公司400万英镑，假设汇率为1.8$/,则英国子公司只需要向美国子公司支付180万美元便可了结彼此的债权与债务关系。而且，还节省了成本，因为如果不进行双边

47、冲抵，双方的资金结算总额为1620万美元，而净额冲抵只需要双方进行180万美元的结算。B.多边冲抵Multilateral Netting)-强调在跨国公司内部两个以上的子公司之间进行净额计算，以最终达到降低汇率风险和减少交易成本的目的。 Example:oThe parent firm is located in the U.K. and uses pound sterling as its functional currency. Each affiliate invoices in its local currency. oIn this example, the corporate T

48、reasury can avoid the external currency markets entirely by using bookkeeping entries at the home office to indicate transfers of value to/from each affiliate. Of course, there will still be cash flows to and from the firms external partners. Multinational nettingGermansubsidiaryU.S.subsidiaryU.K.pa

49、rent100mCross rates1.5000/$1.2500/$0.8333/200m$75m$125m150m60mCash flows before nettingGermansubsidiaryU.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.Cash flows after n

50、ettingGermansubsidiaryU.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 sale in foreign markets. Leadi