Copyright ? 2010 Pearson Prentice Hall. All rights reserved. Chapter 9 Interest Rate and Currency Swaps 利率互换与货币互换 Copyright ? 2010 Pearson Prentice Hall. All rights reserved. ?金融风险——汇率风险、利率风险和价格风险,都会使公司的现金流存在风险。?现在人们已经越来越重视对利率风险的识别、度量和管理 Copyright ? 2010 Pearson Prentice Hall. All rights reserved. 9- 3 Define Interest Rate Risk 首要风险:债务风险? All firms – domestic or multinational, small or large, leveraged or unleveraged – are sensitive to interest rate movements in one way or another. ? The single largest interest rate risk of the nonfinancial firm (our focus in this discussion) is debt service ;? the multicurrency dimension of interest rate risk for the MNE is of serious concern. 跨国公司应特别重视利率风险的多币种性 Copyright ? 2010 Pearson Prentice Hall. All rights reserved. 9- 4 次要风险:所持有的利率敏感性证券? The second most prevalent source of interest rate risk for the MNE lies in its holdings of interest-sensitive securities 持有的利率敏感性证券. ? Unlike debt, which is recorded on the right- hand side of the firm ’ s balance sheet 资产负债表, the marketable securities portfolio 市场化证券组合 of the firm appears on the left- hand side. ? Marketable securities represent potential earnings for the firm. Copyright ? 2010 Pearson Prentice Hall. All rights reserved. 基准利率?无论是资产负债表的左方还是右方,利率计算中的基准利率都应得到足够的重视。?基准利率( reference rate ),是在标准报价、贷款协议和金融衍生品估价中所采用的利率。?伦敦银行间拆借利率( LIBOR: The Interbank Interest Rate )是至今为止使用最为广泛的基准利率。? P236 EXHIBIT 美元利率 Copyright ? 2010 Pearson Prentice Hall. All rights reserved. 9- 6 Exhibit . Dollar-Denominated Interest Rates (February 2004) Copyright ? 2010 Pearson Prentice Hall. All rights reserved. 9- 7 信用风险和重新定价风险? Prior to describing the management of the mon interest rate pricing risks, it is important to distinguish between credit risk and repricing risk. ? Credit risk 信用风险, sometimes termed roll- over risk 展期风险, is the possibility that a borrower ’ s credit worthiness, at the time of renewing a credit (
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