Treasury and Risk Management - Desklib

Running head: TREASURY AND RISK MANAGEMENT
Treasury and Risk Management
Name of the Student:
Name of the University:
Authors Note:

TREASURY AND RISK MANAGEMENT
1
Table of Contents
a.1) ABC unhedged strategy:.....................................................................................................2
a.2) ABC Forward hedge strategy:.............................................................................................2
a.3) ABC Money Market hedge strategy:..................................................................................3
a.4) ABC Option hedge strategy:...............................................................................................4
b) Optimal hedge for ABC:........................................................................................................5
Reference and Bibliography:......................................................................................................7

TREASURY AND RISK MANAGEMENT
2
a.1) ABC unhedged strategy:
Strategy (Un-Hedge) Value Value Profit/loss Comment
Payment in 1 year €
50,000,000
Spot rate $
1.100
$
55,000,000.0
Future Spot rate $
0.800
$
40,000,000.0
$
(15,000,000.0)
Hedge is Unsuccessful
Future Spot rate $
0.900
$
45,000,000.0
$
(10,000,000.0)
Hedge is Unsuccessful
Future Spot rate $
1.050
$
52,500,000.0
$
(2,500,000.0)
Hedge is Unsuccessful
Future Spot rate $
1.130
$
56,500,000.0
$
1,500,000.0
Hedge is Successful
Future Spot rate $
1.200
$
60,000,000.0
$
5,000,000.0
Hedge is Successful
Future Spot rate $
1.250
$
62,500,000.0
$
7,500,000.0
Hedge is Successful
Future Spot rate $
1.300
$
65,000,000.0
$
10,000,000.0
Hedge is Successful
a.2) ABC Forward hedge strategy:
Strategy (Forward Value Value Profit/loss Comment