外匯交易風險之趨避

Abstract

本研究提出一個推導外匯避險策略的模式。該模式容許未反映於以外幣為基準之資產或交易之額外風險層面。此模式同時考慮到利用不同決策者來考量不同之風險規避。本模式之主要功用為:以兩種截然不同之方法──總公司觀點及部門經理觀點來說明該模式之應用性。另藉數值分析法來比較及評估兩種方法下不同之策略。本研究證現在某些時候及某些條件下，一般常用之衡量方法，可能不宜做為避險績效評估之用。本研究之模式及實證結果與對避險及投機交易採不同損盆衡量及報導程序之SFAS 52情形亦加以研究。本研究證明區分此二類交易之困難，同時指出會計處理誤導之時機及偏誤的情況為何。

In this study, a model is developed to derive hedging strategies against foreign currency exchange risk. The model takes into consideration varying degrees of risk-aversion by different decision-makers.This model is subsequently employed to derive hedging strategies from two extreme approaches; from a central viewpoint, and from a divisional hedging manager`s perspective. The applicability of the model and its results are subsequently illustrated and some accounting implications are discussed. A numerical analysis is performed to compare and evaluate the strategies of these two different approaches. For this purpose, a version of Sharpe`s widely used performance measure is utilized. The numerical analysis demonstrates when, and under what conditions, use of this popular measure might not be appropriate for hedging performance evaluation. The study concludes that the current accounting regulation for hedging against foreign exchange risk is inadequate.