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高頓名師講解2013年ACCA考試P4風險管理知識點

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Foreign exchange risk management

- Relevant to paper P4

Foreign exchange risk management is a compulsory session of P4 study. Therefore, this article will introduce the purpose and definition of foreign exchange risk management, and then describe the risk management programmes and finally the policies.

PURPOSE

This document sets out the minimum policies and procedures that each financial institution needs to have in place and apply within its foreign exchange risk management programme, and the minimum criteria it should use to prudently manage and control its exposure to foreign exchange risk. Foreign exchange risk management must be conducted in the context of a comprehensive business plan. Although this document focuses on the responsibility of an institution for managing foreign exchange risk, it is not meant to imply that foreign exchange risk management can be conducted in isolation from other risks or asset/liability management considerations, such as the paramount need to maintain adequate liquidity.

Foreign Exchange Risk Management Policies

Well articulated policies, setting forth the objectives of the institution’s foreign exchange risk management strategy and the parameters within which this strategy is to be controlled, are the focal point of effective and prudent foreign exchange risk management.

These policies need to include: ?

1. a statement of risk principles and objectives governing the extent to which the institution is willing to assume foreign exchange risk; ?

2. explicit and prudent limits on the institutions’ exposure to foreign exchange risk;

3. andclearly defined levels of delegation of trading authorities.

i) Statement of Foreign Exchange Risk Principles and Objectives

Before foreign exchange risk limits and management controls can be set it is necessary for an institution to decide the objectives of its foreign exchange risk management programme and in particular its willingness to assume risk. The tolerance of each institution to assume foreign exchange risk will vary with the extent of other risks (e.g. liquidity, credit risk, interest rate risk, investment risk) and the institution’s ability to absorb potential losses. As with other aspects of financial management, a trade-off exists between risk and return. Although the avoidance of foreign currency exposure or the hedging of such exposure may eliminate foreign exchange risk, such a position may not be desirable for other sound business reasons. Accordingly, the objective of foreign exchange risk management need not necessarilybe the complete elimination of exposure to changes in exchange rates. Rather, it should be to manage the impact of exchange rate changes within self imposed limits after careful consideration of a range of possible foreign exchange rate scenarios.

ii) Foreign Exchange Risk Limits

Each institution needs to establish explicit and prudent foreign exchange limits, and ensure that the level of its foreign exchange risk exposure does not exceed these limits. Where applicable, these limits need to cover, at a minimum: the currencies in which the institution is permitted to incur exposure; and the level of foreign currency exposure that the institution is prepared to assume. Foreign exchange risk limits need to be set within an institution’s overall risk profile, which reflects factors such as its capital adequacy, liquidity, credit quality, investment risk and interest rate risk. Foreign exchange positions should be managed within an institution’s ability to quickly cover such positions if necessary. Moreover, foreign exchange risk limits needs to be reassessed on a regular basis to reflect potential changes in exchange rate volatility, the institution’s overall risk philosophy and risk profile. Authorised currencies will normally include currencies in which the institution may be called on to settle foreign exchange transactions. These are usually the currencies in which the institution or its customers conduct business. Limits on an institution’s foreign exchange exposure should reflect both the specific foreign currency exposures that arise from daily foreign currency dealing or trading activities (transactional positions) and those exposures that arise from an institution’s overall asset/liability infrastructure, both on- and off-balance sheet (structural or translational positions). The establishment of aggregate foreign exchange limits that reflect both foreign currency dealing and structural positions helps to ensure that the size and composition of both positions are appropriately and prudently managed and controlled and do not overextend an institution’s overall foreign exchange exposure. Usually, risk limits are established in terms of a relationship between the foreign exchange position and earnings or capital, or in terms of foreign exchange volume, such as total dollars or numbers of transactions. Although the overall assessment of foreign exchange counterparties is an integral component of any foreign exchange operation, this may be conducted by an institution’s credit risk management function, thus obviating the need for separate counterparty assessment within the institution’s foreign exchange operations.

Summary

Overall, when business doing transactions related to foreign exchange exposure, business should plan a good risk management program and policy in place, although the risk management program and policy are not limited to the contents above.

Prepared by Golden ACCA R&D Center

December, 2012