## *** A HES5o = Assignment 2 - 18* | TAG 12A A Aa A A E EVE E AL AallheDdAaBbCcDc Aadhe: de LE * BIUab x x A AA @EEEEEE 28 1.2 LLLLL LLLLL?,8,110,11, 14,15 16 17 18 Please note that cash group need to finish 2 questions. Every group needs to answer question 1. Groups 1 to 10 need to answer question 2. Groups 11 to 20 need to answer question EFT 8 AISEE S Suppose you and your group members are a team in the Risk Manngement Department of Bank One responsible for formulating hodging strategy for the bank's nct cxposure in foreign currencies. You are working in a US-based institution with some assets and liabilities, Your manager asks your leam to write a brief report about how to hedge the current Forex exposure according to each question, ...23.23. 21:30..19.18 17.1.26.15..14.23.17.12.10 LLLLLLLLL The content of your report should include, but not limited to, the followings for cach questione - Net exposure of the bank for that currency The expected lossguin of the bank in US$ if the FX rute moves to the level as specified in cach questione Analysis and decision of Futures hedging strategy, including the selection of the suitable future contract, determination of position of the future contract, and the application of regression analysis of hedge ratio (hased on the range of historical data that are provided), R. number of the futures contract for bedging....sis Extract the historical data in that you use in the hedge ratio regression analysis in proper Excel format and attached as a one-page appendix; Show as appendix your regression analysis buipullables You do not need to consider other costs or expenses in your above report So you need to identify and calculate the following and present to your manager for the report Net exposure and risk exposure identification Loss / Gain cstimation under no hedging Selection of futures and determination of number of emine Hedge rutio analysis Screen captures required: Good use of sub-heading - The data are provided to you by your stall, you are required to study the data and they are the FX nite of Spot GBPUSD, USDJPY, USDSGD, and the future prices and the contract size. You need to study the FX rate and see how you should prepare the data for analysis. Question le Your bank hus British assets of GBP18,000,000 and British liabilities of GBP10,000,000. The expected FX rate in indirect quote will be 0.90 in the future. 1 . #2 458 1 X X X DE FE- + 100% ## *** A HES5o = Assignment 2 - 18* | TAG 12A A Aa A A E EVE E AL AallheDdAaBbCcDc Aadhe: de LE * BIUab x x A AA @EEEEEE 28 1.2 LLLLL LLLLL?,8,110,11, 14,15 16 17 18 Please note that cash group need to finish 2 questions. Every group needs to answer question 1. Groups 1 to 10 need to answer question 2. Groups 11 to 20 need to answer question EFT 8 AISEE S Suppose you and your group members are a team in the Risk Manngement Department of Bank One responsible for formulating hodging strategy for the bank's nct cxposure in foreign currencies. You are working in a US-based institution with some assets and liabilities, Your manager asks your leam to write a brief report about how to hedge the current Forex exposure according to each question, ...23.23. 21:30..19.18 17.1.26.15..14.23.17.12.10 LLLLLLLLL The content of your report should include, but not limited to, the followings for cach questione - Net exposure of the bank for that currency The expected lossguin of the bank in US$ if the FX rute moves to the level as specified in cach questione Analysis and decision of Futures hedging strategy, including the selection of the suitable future contract, determination of position of the future contract, and the application of regression analysis of hedge ratio (hased on the range of historical data that are provided), R. number of the futures contract for bedging....sis Extract the historical data in that you use in the hedge ratio regression analysis in proper Excel format and attached as a one-page appendix; Show as appendix your regression analysis buipullables You do not need to consider other costs or expenses in your above report So you need to identify and calculate the following and present to your manager for the report Net exposure and risk exposure identification Loss / Gain cstimation under no hedging Selection of futures and determination of number of emine Hedge rutio analysis Screen captures required: Good use of sub-heading - The data are provided to you by your stall, you are required to study the data and they are the FX nite of Spot GBPUSD, USDJPY, USDSGD, and the future prices and the contract size. You need to study the FX rate and see how you should prepare the data for analysis. Question le Your bank hus British assets of GBP18,000,000 and British liabilities of GBP10,000,000. The expected FX rate in indirect quote will be 0.90 in the future. 1 . #2 458 1 X X X DE FE- + 100%