第十讲 经营风险管理

1、 第十讲 经营风险的管理 Managing Operating Exposure to Currency Risk教学要点:To definition of Operating Exposure to Currency RiskTo discuss the exposure of shareholders equityThe methods for Managing Operating Exposure 1Definition of Operating exposureIt refers to the impact exchange rate fluctuations can have on

2、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 transaction exposure. Yet,

3、 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 1997-98 Asian crisis.2How Financial Markets Affected Laker AirlinesA firms operating exposure

4、 is determined by its use of the debt markets, as well as by foreign exchange market conditions.Consider the case of Laker Airway, a British airline that generated much of its revenue in British pounds.A large proportion of its expenses , however, were denominated in dollars.As the dollar strengthen

5、ed in the foreign exchange market in 1981, Laker needed larger amounts in pounds to cover its dollar-denominated expenses. In January 1981, Laker borrowed $131 million in the financial markets from a group of U.S. and European banks.As the dollar continued go strengthen, the firms revenues could not

6、 adequately cover its dollar-denominated expenses.Consequently, Laker Airways went bankrupt.It 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.Overall, Lakers performance was af

7、fected by conditions in the foreign exchange market along with its decision to borrow dollars in the debt markets. 3美国跨国公司的运营风险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远高于纯粹的国内企业.例如,凯特彼勒公司的销售收入严重依赖出口.美元走强将增加该公司的外国进口商支付的价款,因此,凯特彼勒公司特别容易受到美元价值波动的影响.20世纪80年代前叶,美元出现了持续的强势,对其他主要货币的升值幅度超过40%,因其主要竞争对手-日本的小松公司的出口品以日元标价

8、,在日元对美元贬值时,许多外国进口商放弃了凯特彼勒而选择了小松.20世纪80年代早期,墨西哥比索对美元贬值了40%,美元升值大幅降低了墨西哥顾客的购买力,结果,美国通用公司向墨西哥出售软件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.4Operating 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。In an integrated market（一体化市场中汇率风险大，此时PPP理论成立）purchasing power parity holds so that equivalent assets trad

9、e 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（分割市场至少部分地隔绝了汇率风险，此时PPP理论不成立。）prices are locally determined（ Causes of market segmentation in

10、clude 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 extremes5Operating Exposure and the Compe

11、titive Environment因此，不同的公司，其外汇的经营风险是不一样的。“Classic” operating exposures to currency riskDomestic firms buy and sell locally when local markets are segmented from foreign markets.Importers buy globally and sell locally. If the local market is segmented from other markets , the importer will have a neg

12、ative exposure to foreign currency values.Exporters manufacture locally and sell globally. If the local market is segmented from other markets , the exporter is positively exposed to foreign currency values.Multinational corporations buy and sell in global markets and are hence sensitive to foreign

13、currency values.6Operating exposures to fx riskDomestic firmsImportersExportersGlobal MNCs &importers/exportersin globallycompetitive marketsRevenuesOperating expensesLocalGlobalLocalGlobal(0)(-)(+)(?)竞争环境国内外市场是分割的。7Operating exposures to fx riskTransactions that Influence the Firms Cash InflowsLoca

14、l Currency AppreciatesLocal Currency DepreciatesLocal sales (relative to foreign competition in local markets)Firms exports denominated in local currencyFirms exports denominated in foreign currencyInterest received from foreign investmentsDecreaseDecreaseDecreaseDecrease IncreaseIncreaseIncreaseInc

15、rease Impact on Transactions 竞争环境国内外市场是一体化的。8Operating exposures to fx riskTransactions that Influence the Firms Cash OutflowsLocal Currency AppreciatesLocal Currency Depreciates Impact on Transactions Firms imported supplies denominated in local currencyFirms imported supplies denominated in foreig

16、n 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.因此,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.9Equity exposure to currency riskEconomic

17、 exposure to foreign exchange riskTransaction exposure change in value of contractual cash flowschange in value of monetary assets & liabilitiesNet monetary assets = 货币资产 货币负责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 ，也就是外汇的交易风险或交易暴露Operating exposure change in value of noncontractual cash flowschange in val

18、ue of real assets（工厂、设备、关键技术、商标等）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。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。Equity exposure is equal to transaction exposure plus operating exposure股东权益暴露（The exposure of shareholders equity） 净货币资产暴露实物资产暴露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。10股东权益的敞口从资产负债表角度衡量

19、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11股东权益的敞口从资产负债表角度衡量Monetary assets and liabilities are exposed one-for-one to currency risk假定外升值 10% 导致 公司净价值上升(20)(0.1)= 2.即由于外汇升值，使得所有者权益也上升10%（ 2/ 20)The exposure of real assets to currency risk may be positive, negative, or zero.If the value of real assets

20、is independent of foreign currency values, then real assets are not exposed to currency risk.If real assets are exposed 1-for-1, then a 10% increase in foreign currency value results in a 10% increase in the value of real assets, or (1)(10%)(35) = 3.5.If real assets are exposed 1-for-2, then a 10% i

21、ncrease in foreign currency value results in a 5% increase in the value of real assets, or ()(10%)(35) = 1.75.因此，If real assets are exposed 1-for-1, a 10% increase in foreign currency value results in a (2+3.5) = 5.5 increase in equity value in this example.12 基于市场的股东权益暴露的衡量（Market-based Measures of

22、 the Exposure of shareholders equity）Rtd = ad + bf std/f + etd DVd/fsd/fThis regression equation measures the exposure of equity to currency risk. Rtd是t时期用国内货币表示的股本收益率Std/f是t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敏感度。决定系数,r-square用来说明即期汇率的变动对

23、股权收益率变动的解释程度，它等于回归相关系数的平方，即如果相关系数为0，则r-square为0，表明股权价值没有汇率风险如果相关系数为0.2，则r-square为0.04，表明股权价值变动的4%来源于汇率的波动如果相关系数为1 ,则r-square为1，表明误差项为0，汇率变动能100%解释股东权益的变动。13 基于市场的股东权益暴露的衡量（Market-based Measures of the Exposure of shareholders equity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，用来衡量跨国公司面临

24、的多种外币带来的外汇风险： Rtd = ad + bf1 std/f1 + bf2 std/f2+ bf3 std/f3 +-+ etd 例如： Ford Motor Companys exposuresrt$= a$ + b st$/ + b st$/ + b st$/ + et$ = 0.060 + 0.02 st$/ + 0.01 st$/ + (-0.01) st$/ + et$What is the expected return on Ford stock whenst$/ = +10%st$/ = +8%st$/ = +8% Ert$= 0.06 + (0.02)(0.10) +

25、 (0.01)(0.08) + (-0.01)(0.08) = 0. 062 or 6.2 percent14 运用金融市场工具管理经营风险Managing Operating Exposure in the Financial MarketsAn Exporters Financial Market Hedging Alternatives: (1)远期外汇市场长期多头交易（卖出长期远期外汇）（2）为国外项目举债长期外债（货币市场套期）（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）（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）来重复地出售外汇。以上方法可以锁定合同

26、现金流出量正好等于公司的经营现金入量。An Importers Financial Market Hedging Alternatives: (1) 远期外汇市场长期空头交易（购买长期远期外汇）（2）投资长期外币债券（货币市场套期）（3）利用货币互换取得外币金融资产（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）来重复地购买外汇。15运用金融市场工具管理经营风险AdvantagesMost financial market instruments are actively traded and liquidIf financial prices reflect true value

27、, then financial market transactions are zero-NPV transactionsBecause financial transactions in efficient markets are zero-NPV transactions, you get what you pay forthere is no gain or loss on the hedge in isolation.DisadvantageA financial market hedge provides an imperfect hedge of operating exposu

28、re to currency risk The contractual cash flows of a financial market hedge cannot fully hedge the uncertain operating cash flows of the firms real assetsManagers should assess the performance of financial market hedges of operating exposures in the following ways: Vary the amount of the hedge Vary t

29、he term or maturity of the hedge Vary the type of hedge16 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。因此，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Duracell，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：（1）日元销售收入的变化（2）日元兑美元汇率的变化。假定Duracell公司预期下一年的日元销售额为￥100百万，但是，实际的销售收入可能至少是￥50百万或至多￥150百万。假定预期汇率为$0.01/￥

30、,但是，实际汇率可能是$0.005/￥或$0.015/￥17Duracells Operating Exposure18Duracells Operating Exposure19Duracells Operating Exposure20 管理经营风险的经营策略Managing operating exposure through operations跨国公司面临实际汇率波动时处理的灵活性大。（MNCs have a natural advantage over domestic firms in responding to changes in real exchange rates.)T

31、ake advantage of the MNCs ability to respond to differences in real foreign exchange ratesPlant location: Gain access to low-cost labor or capital resourcesProduct sourcing: Shift production to countries with low real costsMarket selection: Shift marketing efforts toward countries with higher demand

32、 or “overvalued” currenciesDiversification (whether product market or geographic) provides the MNC with flexibility in its sourcing, production, and marketing decisions. 21Pricing strategy in intlmarkets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

33、the same 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 th

34、e exporters 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.22 定价管理案例23Managi

35、ng transaction operating internallymultinational netting (currency diversification) leading and lagging24multinational 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

36、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。25 Example:The parent firm is located in the U.K. and uses pound sterling as its functional currency. Each affiliate invoices

37、in its local currency. In this example, the corporate Treasury 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. 26

38、Multinational nettingGermansubsidiaryU.S.subsidiaryU.K.parent100mCross rates1.5000/$1.2500/$0.8333/200m$75m$125m150m60m27Cash flows before nettingGermansubsidiaryU.S.subsidiaryU.K.parent100m200m60m100m100m40mThis slide shows the gross cash flows in pound sterling. This captures the gross change in v

39、alue of each affiliate and of the parent.28Cash flows after nettingGermansubsidiaryU.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. 29Leading and laggingLike multinational netting, leading and l