The global Treasury of 123 MNC is forecasting for the next year the following Trading Log: Transaction
Question:
The global Treasury of 123 MNC is forecasting for the next year the following Trading Log:
Transaction | FX | AMT | Volatility |
Short USD against Euro | 1,08 | 20 MILLION | 7% |
Long GBP against Euro | 1,23 | 50 MILLION | 8% |
Long 10 MT of Coffee Bean | 600k/ MT | 6Million USD | 10% |
Short 5MT of 22K Gold | $25Mi / MT | 125 Million USD | 4% |
Long 1 million APPLE Shares | 50 $ / share | 50 million | 4,2% |
Short 2 million AMAZON shares | 100 $ / share | 200 million | 6,3% |
1-Calculate and interpret the finding of the VAR at 95% for each position
2-What are the best hedging strategies / products to manage the exposure of 123 MNC in each position? What is the P&L for each hedging strategy?
3-Is there a possibility of Netting if the 123 MNC has subsidiaries in Kenya, UK and Germany? How will it work?
Spreadsheet Modeling & Decision Analysis A Practical Introduction to Management Science
ISBN: 978-0324656633
5th edition
Authors: Cliff T. Ragsdale