公司理财 习题库 Chap023

CHAPTER23RiskManagement:AnIntroductiontoFinancialEngineeringDEFINITIONSHEDGING1. istheprocessofreducingafirm’sexposuretopriceorratefluctuations.HedgingVolatilityDiversificationValueminimizationTranslationDERIVATIVESECURITY2. Afinancialassetthatrepresentsaclaimtoanotherfinancialassetiscalleda(n):initialpublicoffering.derivativesecurity.seasonedequityoffering.Eurobond.subjugated(orjunior)stock.RISKPROFILE3. Aplotshowinghowthevalueofafirmisaffectedbychangesinpricesorratescalleda:securitymarketpresentvalueprofile.riskprofile.scatterplot.returngrid.TRANSACTIONSEXPOSURE4. Short-runfinancialriskarisingfromtheneedtobuyorsellatuncertainpricesorinthenearfutureiscalled:riskmaximization.volatilitymaximization.economicexposure.transactionsexposure.translationexposure.ECONOMICEXPOSUREc 5. Long-termfinancialriskarisingfrompermanentchangesinpricesorothereconomicfundamentalsiscalled:riskmaximization.volatilitymaximization.economicexposure.transactionsexposure.translationexposure.CHAPTER23CHAPTER23CHAPTER23CHAPTER23FORWARDCONTRACT6. A(n) contractisalegallybindingagreementbetweentwopartiescallingforthesaleofanassetorproductinthefutureatapriceagreedupontoday.forwardspotswapoptionfloatingPAYOFFPROFILE7. Aplotshowingthegainsandlossesthatwilloccuronacontractastheresultunexpectedpricechangesiscalleda:riskprofile.payoffprofile.securitymarketline.scatterplot.normaldistribution.FUTURESCONTRACTe 8. Aforwardcontractwiththefeaturethatgainsandlossesarerealizedeachdaythanonlyonthesettlementdate,iscalleda(n) contract.floatingspotoptionswapfuturesCROSS-HEDGING9. Hedginganassetwithcontractswrittenonacloselyrelated,butnotidentical,assetcalled:primarytrading.opentrading.open-hedging.cross-hedging.perfect-hedging.SWAPCONTRACT10. Anagreementbytwopartiestoexchangespecifiedcashflowsatspecifiedintervalsthefutureiscalleda(n) contract.floatingspotoptionfuturesswapOPTIONCONTRACT11. Anagreementthatgivestheownertheright,butnottheobligation,tobuyorsellaspecificassetataspecificpriceforasetperiodoftimeiscalleda(n) contract.optionforwardfuturesswapspotCALLOPTION12. Anoptionthatgivestheownertheright,butnottheobligation,tobuyanassetcalleda option.paritycallputstraddlestranglePUTOPTION13. Anoptionthatgivestheownertheright,butnottheobligation,tosellanassetiscalleda option.paritycallputstraddlestrangleINTERESTRATECAP14. Acalloptiononaninterestrateiscalledaninterestrate:spread.swap.collar.cap.floor.INTERESTRATEFLOOR15. Aputoptiononaninterestrateiscalledaninterestrate:spread.swap.collar.cap.floor.CONCEPTSINTERESTRATEVOLATILITY16. Interestratevolatility:affectstheborrowingcostsofafirm.hasdecreasedintheU.S.since1979becauseofapolicychangebytheFederalReserve.createsaneedforfinancialengineering.decreasesuncertaintyaboutthefuture.IandIIIonlyIIandIVonlyIIandIIIonlyI,II,andIIIonlyI,III,andIVonlyINTERESTRATEVOLATILITY17. Astrongargumentcanbemadethatthecollapseofthesavingsandloanindustrybeganwhen:theinflationratesintheU.S.beganrisingrapidly.thevolatilityofinterestratesincreasedsignificantly.fluctuatingcommoditypricesbecamethenorm.theBrettonWoodsaccordbecameeffective.theFederalReservebegancontrollingthemarketrateofinterest.EXCHANGERATEVOLATILITY18. ThebreakdownoftheBrettonWoodsaccordcaused volatilitytoerestrateinflationrateexchangeratecommoditypriceoptionpriceDERIVATIVESUSAGEe 19. Accordingtothesectioninthetextbookentitled“CharlesW.SmithsononWhoUsesWhat”,thetwoprimaryreasonsfirmsutilizederivativesecuritiesistomanage and exposures.inflationrate;interestrateforeignexchangerate;stockmarketprofitmargin;inflationratecommodityprice;stockmarketinterestrate;foreignexchangerateFINANCIALRISKMANAGEMENTd 20. Thegoaloffinancialriskmanagementasitrelatestohedgingisto:increaseriskwiththehopeofearninghigherreturns.totallyeliminateallformsofrisk.totallyeliminatefinancialrisk.reducerisktoatolerablelevel.increasethesteepnessoftheriskprofile.FINANCIALRISKMANAGEMENTc 21. Acombinationbetweenwhichtwoofthefollowingfirmsismostapttoreduceeachfirm’sfinancialriskexposure?citrusgrowerwithanothercitrusgroweroilproducerwithanotheroilproducerclothingmanufacturerwithacottonfarmercerealmakerwithacottonfarmerashirtmanufacturerwithapantsmanufacturerSHORT-RUNFINANCIALRISK22. Whichofthefollowingstatementsarecorrectconcerningafirm’sshort-runfinancialrisk?Naturaldisastersareonecauseofshort-runfinancialrisk.Afinanciallysoundfirmcanbecomefinanciallydistressedastheresultoftheirrunexposuretofinancialrisk.Eachsegmentofabusinessshouldberesponsibleforhedgingtheirdivision’sshort-runfinancialrisk.Businessownerscannotreduce,eitherdirectlyorindirectly,theirshort-runexposuretochangesintheircashflows.IandIIIonlyIIandIVonlyIandIIonlyI,II,andIIIonlyI,II,III,andIVLONG-RUNFINANCIALRISK23. Long-runfinancialrisk:includesconditionssuchaslowgrainpricesinaparticularyear.iseasiertohedgeovertimethanshort-runfinancialrisk.isrelatedmoretonear-termtransactionsthantoadvancementsintechnology.generallyresultsfromchangesintheunderlyingeconomicsofabusiness.cangenerallybehedgedsuchthatthefinancialviabilityofafirmisprotected.FORWARDCONTRACTS24. Thebuyerofaforwardcontract:isobligatedtomakedeliveryandpaytheforwardprice.hastheoptionoftakingdeliveryandpayingthelesserofthespotmarketpriceorcontractprice.hastheoptionofmakingdeliveryandreceivingthehigherofthespotmarketpricethecontractprice.isobligatedtotakedeliveryandpaysthelowerofthespotmarketpriceorthecontractprice.isobligatedtotakedeliveryandpaytheforwardprice.FORWARDCONTRACTSa 25. Afarmergenerallyentersintoaforwardcontractasa:hedger.speculator.spottrader.broker.spectator.FORWARDCONTRACTSe 26. Aforwardcontract:requiresthatpaymentinfullbemadewhenthecontractisinitiallywritten.hasasettlementpricethatfluctuateswithdailymovementsinthemarketplace.hasadailyresettlementvidesoptionsto,butdoesnotobligate,thebuyerortheseller.isazero-sumgame.FUTURESCONTRACTSd 27. Gainsandlossesonfuturescontractsarerealized:onlyonthesettlementday.ifthecontractisexercised,otherwise,theyareneverrealized.onlyifthebuyerfindsitprofitabilitytoexercisethecontract.onadailybasisthroughaprocessknownasmarking-to-market.onlyatthetimethecontractsmature.SWAPCONTRACTSc 28. Yourfirmcurrentlyhasallfixed-ratedebt.Youwouldliketoconvertpartofthisfloating-ratedebt.Youshouldconsidera(n):optiononfloating-ratebonds.forwardcontractonU.S.Treasuryerestrateswap.currencyerestratecalloption.SWAPCONTRACTSc 29. Aninterestrateswap:shouldbebeneficialtobothpartiestothecontract.isoftenusedinconjunctionwithacurrencyswap.istheoreticallyappealingbutrarelyusedinactualpractice.canbeusedtochangetheindexwhichunderliesthevariablerateonafirm’sdebt.IandIIIonlyIIandIVonlyI,II,andIVonlyI,III,andIVonlyI,II,III,andIVSWAPCONTRACTSe 30 Aswapcontract:canbebasedoncurrencies,interestrates,orcommodities.istradedonNASDAQ.consistsofaseriesofforwardcontracts.isnormallyestablishedthroughaswapdealer.IandIIIonlyIIandIVonlyIIandIIIonlyI,II,andIIIonlyI,III,andIVonlyOPTIONCONTRACTSc 31. Acalloptioncontract:obligatesboththebuyerandtheseller.obligatesthebuyerbutnottheseller.grantsrightstothebuyerandobligatestheseller.grantsrightstothesellerandobligatesthebuyer.grantsrightstoboththebuyerandthesellerbutdoesnotobligateeitherparty.OPTIONCONTRACTSb 32. Thebuyerofanoptioncontract:receivestheoptionpremiuminexchangeforanobligationtoeitherbuyorsellunderlyingasset.paysanoptionpremiuminexchangeforarighttobuyorsellanunderlyingduringaspecifiedperiodoftime.paysthestrikepriceatthetimetheoptionispurchasedandinexchangereceivesrighttoexercisetheoptionatatimeoftheirchoosing.receivestheoptionpremiuminexchangeforguaranteeingthepurchaseorsaleofunderlyingassetifcalledupontodoso.paystheoptionpremiuminexchangeforreceivingthestrikepriceatalaterdate.OPTIONCONTRACTSe 33. Anoptioncontractcanbe:usedtohedgerisk.usedtospeculateinthemarket.basedonafuturescontracttocreateafuturesoption.basedonaforeigncurrency.IIandIIIonlyIandIIonlyI,III,andIVonlyII,III,andIVonlyI,II,III,andIVOPTIONCONTRACTSe 34.Youcanbuyanoptioncontracton:exchangerates.anotheroption.aswaperestrates.IIIandIVonlyIandIIonlyI,III,andIVonlyI,II,andIIIonlyI,II,III,andIVFUTURESEXCHANGESe 35. Whichofthefollowingarefuturesexchanges?NewYorkMercantileExchangeLondonInternationalFinancialFuturesandOptionsExchangeChicagoMercantileExchangeChicagoBoardofTradeIandIIIonlyIIandIVonlyI,II,andIIIonlyI,II,andIVonlyI,II,III,andIVINTERESTRATECAPc 36. Afirmwithavariable-rateloancanpurchaseaninterestrate toprotectitselffromincreasesininterestrates.floorwallcaphatcloakINTERESTRATECOLLARe 37. Ifyouhavea rateloanandyoufeltthatinterestratesaregoingto ,shouldconsiderpurchasinganinterestratecollar.fixed;risefixed;fallvariable;risevariable;fallvariable;changebutyoudon’tknowthedirectionofthechangeCALLOPTIONa 38. Whichoneofthefollowingactionswouldprovideyouwiththeright,butnotobligation,topurchasetheunderlyingassetduringaspecifiedperiodoftime?thepurchaseofacalloptionthesaleofacalloptionthepurchaseofaputoptionthepurchaseofacalloptiontheswapofaputoptionHEDGEe 39. Ifyoucancreateaperfecthedge,thenyou:areguaranteedtoprofitifinterestratesrise.areguaranteedtoprofitifpricesrise.risklosingyourprofitifpricesfall.risklosingyourprofitifinterestratesfall.willnotprofitnorloseifpricesrise.OPTIONCONTRACT40. Whichoneofthefollowingobligatesthesellertobuyanassetforaspecifiedpriceonlyifthecontractisexercised?calloptionputoptionswapcontractratecollarfuturescontractFORWARDVS.FUTURESCONTRACT41. Thedifferencebetweenaforwardcontractandafuturescontractis:thefactthatthefuturescontractdoesnotobligatethebuyerwhiletheforwardcontractdoes.thefactthataforwardcontractmustbepaidinfullattheonsetwhilethefuturescontractdoesnot.thedailyresettlementfeaturefoundinfuturescontractsbutnotinforwardcontracts.thefactthatafuturescontractisaformofanoptioncontractandaforwardcontractnot.thefactthattheforwardcontractismarked-to-the-marketandthefuturescontractnot.PAYOFFPROFILEc 42. Apayoffprofilehelps:determinethepriceofanoptioncontract.determinewhetheraforwardorafuturescontractisneeded.demonstratetheeffectofahedge.determinethepriceofacollar.demonstratetheeffectsofaswap.FUTURESPRICEb 43. Giventhefollowinginformation,whatisthepricepertroyouncethatwillbeusedforOpenHighLowOpenHighLowSettleChgLifetimeHighLifetimeLowOpenInterestJul 597.1613.1597.0610.013.4848.3434.61259Sep 597.3614.2596.9611.713.3830.1475.821,258a. $5.97b. $6.10c. $61.00d. $61.17e. $610.00FUTURESPRICEa 44. WhatisthehighestpricepertroyouncethattheSeptemberfuturescontractonhastraded?Silver–5,000troyoz.:cntspertroyoz.OpenHighLowSettleChgLifetimeHighLifetimeLowOpenInterestJul 597.1613.1597.0610.013.4848.3434.61,259Sep 597.3614.2596.9611.713.3830.1475.821,258a. $8.301b. $8.483c. $83.01d. $84.83e. $848.30FUTURESOPTIONSc 45. WhatistheoptionpremiumperounceontheMay430putcontractongoldgivenfollowingpricequotes?Gold–100troyounces;$pertroyouncePriceCallAprCallMayCallJunPutAprPutMayPutJun4256.3010.6013.902.805.809.704303.808.30012.20a. $5.80b. $8.30c. $9.30d. $10.60e. $12.20INTERESTRATESWAPb 46. CompanyAcanborrowmoneyatafixedrateof9percentoravariableratesetatprimeplus1percent.CompanyBcanborrowmoneyatavariablerateofprimeplus2percentorafixedrateof8.25percent.CompanyAprefersafixedrateandcompanyprefersavariablerate.Giventhisinformation,whichoneofthefollowingstatementsiscorrect?CompanyAcanswapwithBandpayafixedrateof8percent.IfCompanyAswapswithB,CompanyAshouldenduppayingafixedratebetween8¼percentand9percent.IfCompanyBswapswithCompanyAthenCompanyBwillenduppayingafixedof8percent.CompanyBcanswapwithCompanyAsuchthatCompanyBreceivesa9¼percentfixedrate.TherearenotermsunderwhichbothCompanyAandCompanyBcanswapinterestratesandbothrealizeaprofit.INTERESTRATESWAP47. TheBakerCo.canborrowmoneyateitherafixedrateof7percentoravariableratesetatprimeplus0.5percent.TheCostcoCo.canborrowmoneyateitheravariablerateofprimeplus1percentorafixedrateof7.5percent.TheBakerCo.prefersafixedrateandtheCostcoCo.prefersavariablerate.Giventhisinformation,whichofthefollowingstatementsiscorrect?AfteraswapwithBakerCo.,Costcoshouldenduppayingafixedrateofaboutpercent.CostcoshouldenduppayingnomorethantheprimerateontheirdebtiftheydointerestrateswapwiththeBakerCo.Bothfirmswillprofitiftheyswapa7.25percentfixedrateforaprimeplus1percentvariablerate.TheBakerCo.willenduppayingnolessthan7percentandnomorethan7.5percentasafixedrateafteraswapwithCostco.TheBakerCo.andtheCostcoCo.cannotswapinterestratesinamannerthatwillprofitableforbothfirms.INTERESTRATESWAP48. TheSmithCo.canborrowmoneyatafixedrateof9.25percentoravariableratesetprimeplus1.5percent.TheTannerCo.canborrowmoneyatavariablerateofprimeplus1percentorafixedrateof9percent.TheSmithCo.prefersafixedrateandtheTannerCo.prefersavariablerate.Giventhisinformation,whichoneofthefollowingstatementsiscorrect?AfterswappinginterestrateswiththeTannerCo.,theSmithCo.willendupabout1.25percentoverprimeontheirborrowedfunds.BothcompaniescanprofitinaswapwhichwillallowtheSmithCo.topaybetweenand9.25percentasafixedrate.TheTannerCo.willendupwithafixedrateof9.25percent.TheTannerCo.hasthebestchanceofprofitingiftheydoaninterestrateswaptheSmithCo.TherearenotermsunderwhichtheSmithCo.andtheTannerCo.canswapinterestratesandeachrealizeaprofit.PROBLEMSCONTRACTVALUEd 49. WhatistheclosingvalueonthisdayforoneSeptemberfuturescontractonsilver?Silver–5,000troyoz.:cntspertroyoz.OpenHighLowSettleChgLifetimeHighLifetimeLowOpenInterestJul 597.1613.1597.0610.013.4848.3434.61,259Sep 597.3614.2596.9611.713.3830.1475.821,258a. $29,845b. $29,865c. $30,500d. $30,585e. $30,710CONTRACTVALUE50. YouownfiveJulyfuturescontractsonsilver.Whatisthetotalvalueofyourpositionasoftheendofthisday’strading?Silver–5,000troyoz.:cntspertroyoz.OpenHighLowSettleChgLifetimeHighLifetimeLowOpenInterestJul597.1613.1597.0610.013.4848.3434.61,259Sep597.3614.2596.9611.713.3830.1475.821,258a. b. c. d. e. CONTRACTVALUE51. WhatistheclosingvalueonthisdayforoneMarchfuturescontractonmilk?Milk–200,000lbs.:centsperlb.OpenHighLowSettleChgLifetimeHighLifetimeLowOpenInterestMar 12.5312.7912.3312.78.0112.8612.19503a. $24,660b. $25,060c. $25,560d. $25,580e. $25,720CONTRACTPROFIT/LOSSb 52. YoupurchasedthreeJulyfuturescontractsonsilverwhenthepricequotewas713.2.OpenHighLowOpenHighLowSettleChgLifetimeHighLifetimeLowOpenInterestJul597.1613.1597.0610.013.4848.3434.61,259Sep597.3614.2596.9611.713.3830.1475.821,258a. -$51,600b. -$15,480c. -$5,160d. -$310e. -$155CONTRACTPROFIT/LOSSe 53. YoupurchasedtwoJulyfuturescontractsonsilverwhenthepricequotewasGiventoday’spricesasshowninthetable,youhaveatotalprofit(loss)todateof:Silver–5,000troyoz.:cntspertroyoz.OpenHighLowSettleChgLifetimeHighLifetimeLowOpenInterestJul597.1613.1597.0610.013.4848.3434.61,259Sep597.3614.2596.9611.713.3830.1475.821,258a. $804b. $2,804c. $4,020d. $4,804e. $8,040CONTRACTPROFIT/LOSSe54.Youspeculateinthemarketbyselling15goldfuturescontractswhenthefuturesis$418.23perounce.Thepriceonthecontractmaturitydateis$397.62.Whatisyourtotalprofit(loss)ifthecontractsizeis100ounces?a. $206b. $309c. $2,061d. $20,610e. $30,915FUTURESHEDGEb 55. Youexpecttodeliver400,000poundsofmilktothemarketinMarch.Today,youhedgeyourpositionattheclosingpriceasshowninthetable.Assumethatthepriceturnsouttobe12.89atthetimeyoumakeyourdeliveryinMarch.Howmuchincomedidyoureceiveintotalfromthehedgeddeliveryofyourmilk?Milk–200,000lbs.:centsperlb.OpenHighLowSettleChgLifetimeHighLifetimeLowOpenInterestMar 12.5312.7912.3312.78.0112.8612.19503a. $50,120b. $51,120c. $51,160d. $51,320e. $51,560FUTURESHEDGEa 56. Youarethebuyerforacerealcompany.Youthinkyouwillneed230,000bushelscornnextmonth.Thefuturescontractsoncornarebasedon5,000bushelsandarecurrentlyquotedat261.60centsperbushelfordeliverynextmonth.Ifyouwanttohedgeyourcostrisk,youshould contractsatacurrentvalueof percontract.a. buy46;$13,080b. buy230;$60,168c. sell46;$601,680d. sell230;$13,080,000e. sell46;$60,168,000FUTURESHEDGE57. Youareajewelrymaker.EveryJulyyouneedtopurchase10,000troyouncesoftocoveryourproductionneeds.Todayyouhedgedyourpositionatwhatturnedouttobethelowestpricefortheday.Assumethattheactualpricepertroyounceofsilveris605.0attimeyouneedthesilverinJuly.Howmuchmorewouldyouhavespentorsavedifyouhadnothedgedyourposition?Silver–5,000troyoz.:cntspertroyoz.OpenHighLowSettleChgLifetimeHighLifetimeLowOpenInterestJul597.1613.1597.0610.013.4848.3434.61,259Sep597.3614.2596.9611.713.3830.1475.821,258Yousaved$800.Youspentanextra$800.Yousaved$8,000.Youspentanextra$8,000Yousaved$80,000.FUTURESHEDGE58. Youarethepurchasingagentforacandycompany.Youanticipatethatyourfirmwillneed400,000poundsofmilkinMarch.Youdecidetohedgeyourpositiontodayanddidsoattheclosingpriceoftheday.Assumethattheactualmarketpriceturnsouttobe12.74onthedayyouactuallybuythemilk.Howmuchmorewouldyouhaveorsavedifyouhadnottakenthehedgeposition?Milk–200,000lbs.:centsperlb.OpenHighLowSettleChgLifetimeHighLifetimeLowOpenInterestMar12.5312.7912.3312.78.0112.8612.19503Youcouldhavesaved$160.Youspentanextra$160.Youcouldhavesaved$840.Youspentanextra$840.Youspentanextra$1,640.FUTURESOPTIONSd 59. YouareajewelrymakerandpurchasetwoJune425callsongold.Whatisthepriceyouwillpaytoacquirethisgold?Ignoretransactioncosts.Gold–100troyounces;$pertroyouncePriceCallAprCallMayCallJunPutAprPutMayPutJun4256.3010.6013.902.805.809.704303.808.30012.20a. $82,220b. $83,760c. $85,000d. $87,780e. $88,240FUTURESOPTIONSa60.YouownasmallgoldmineinAlaska.Youexpecttodeliver400ouncesofgoldtothemarketinApril.Ifyoubuy430putstocoveryourposition,howmuchwillyoureceiveintotalforyour400ouncesofgold?Ignoretransactioncosts.Gold–100troyounces;$pertroyouncePriceCallAprCallMayCallJunPutAprPutMayPutJun4256.3010.6013.902.805.809.704303.808.30012.20a. $169,960b. $172,000c. $173,520d. $174,040e. $182,707ESSAYSDERIVATIVESWhatisthedifferencebetweenhedgingandspeculating?Inotherwords,whatarehedgerstryingtoaccomplish?Whatarespeculatorstryingtoaccomplish?Ifafarmerwhoexpectsharvest40,000bushelsofwheatsellswheatfutures,ishehedgingorspeculating?Explain.Thekeyiswhetherornotthecontractingpartyhasanexistingpositionintheunderlyingassetthatheorshewishestooffset.Obviously,thefarmerinthequestionisahedgerandnotaspeculator.However,afarmercan,andsometimesdoes,speculateoverandabovehisorhercommodityrisk.Goodstudentswillrecognizethathedgerscontractinordertoriskwhilespeculatorsseekriskwiththeexpectationofearningsizeablereturns.HEDGINGWITHDERIVATIVESExplainhowamanufacturerwhohasanongoingneedforsilverasarawmaterialintheirproductionprocessmightusefuturestohedge.WhatdoesthemanufacturerhopetoThemanufacturerneedstoacquiresilversotheymightpurchasesilverfuturestooffsethigherproductioncostsshouldsilverpricesriseinthespotcommoditymarket.Sincethereisanongoingneed,itislikelythemanufacturerwillmaintainacontinuouspositioninthesilverfuturesmarket.Thefirminthiscasehopestoinsulateitselffromfluctuationsint