Download Stratergic Fianancial Management- Bài tập buổi 7

Risk Management:
An Introduction to Financial Engineering
Question 1: Future Quotes:
Purchase Cocoa:
10 tons
Settle price
Sept
$3.122,00 1 tons
Turn out: P =
$3.081,00 1 tons
Because Expiration Price was lower than Settle price => company loss
Loss
$410,00 (10 tons)
Question 2: Future Quotes:
Sell Silver:
Sept
5000 oz
1660,7 cnts
Expiration Price P=16,81$
$16,61 [1] 1 oz
> settle price
Company loss when sell at settle price
Loss = (16,81-16,61)*5000
Expiration Price P=16,32 $
$1.000,00
< settle price
Company profit when sell at settle price
Profit = (16,61-16,32)*5000
$1.450,00
Question 6: Hedging with future
a,
To hedge the risk exposure, we can buy a part of the needed corn in
future contract and buy the remaining part in the December
Queston 7: Interest rate Swaps
a,
Company ABC
Fixed rate
Floating rate
11%
10%
LIBRO +1%
LIBRO +3%
Company ABC
Company XYZ
Fixed rate
Floating rate
Company XYZ
1%
2%
There is an opportunity if 2 company use Interest rate Swaps:
ABC will pay LIBRO +1% for lenders
XYZ pay 10% for lenders
b,
[1] (1$=100cnts)