问题 1：企业风险价值（20 分）
考虑在关于风险价值的第 6 讲中讨论的 FTZ 公司。由于明年的经济不确定性，自贸区面临的金融价格不确定性在下一预算年度急剧增加。尤其是欧元/美元汇率年化波动率上升到15%，铝价波动率达到300美元，利率波动率为3%。
通过对其税前收益进行 5,000 次模拟，确定 FTZ 的 95% 风险价值。解释 95% 风险价值的含义。 (5 分)
假设 FTZ 的管理层决定不对任何已识别的市场风险进行对冲。自贸区财务总监预计明年现金流将紧张，现金储备估计只有1200万美元。 FTZ 正在向 Nopay 银行申请信用额度，该额度可以以 95% 的置信度弥补税前收入的潜在不足。确定信用额度的大小。 (5 分)
自贸区有一个好项目，明年就可以开工。投资成本为300万美元。明年的现金储备估计为1200万美元。 FTZ 的管理层已聘请您担任他们的风险管理顾问。管理层的风险偏好是他们不喜欢对所有市场风险进行完美对冲，因为他们仍然希望在税前收益中保留一些上行潜力。他们想对冲市场风险，这样（1）不再需要信用额度，（2）现金储备足以支付明年对好项目的投资。您建议对冲哪些风险？ （10分）
注意：请使用为此问题提供的企业风险价值的 excel 模板。
Question 1: Corporate Value at Risk (20 points)
Consider the FTZ Company as discussed in Lecture 6 on Value-at-Risk. Due to economic uncertainty for next year, the financial price uncertainty faced by FTZ has increased drastically for the next budget year. In particular, the annualized volatility of euro/dollar exchange rate has increased to 15%, the volatility of aluminum price to $300 and the volatility of interest rate is 3%.
- Determine the 95% Value at Risk for FTZ by doing 5,000 simulations on its pre-tax earnings. Explain the meaning of the 95% Value-at-Risk. (5 points)
- Suppose FTZ’s management has decided not to hedge any of the identified market risks. FTZ’s financial controller figures that next year’s cash flow will be strained and the cash reserve is estimated to be $12 million only. FTZ is applying for a line of credit from Nopay Bank that can cover the potential shortfall of the pre-tax earnings with 95% confidence level. Determine the size of the line of credit. (5 points)
- FTZ has a good project that can start next year. The cost of investment is $3 million. The cash reserve is estimated to be $12 million next year. FTZ’s management has engaged you as their consultant on risk management. The management’s risk appetite is that they do not prefer a perfect hedge against all market risks because they still want to keep some upside potential in the pre-tax earnings. They want to hedge the market risks such that (1) the line of credit will no longer be needed and (2) the cash reserve will be enough to cover the investment in the good project next year. What risk(s) would you advise to hedge? (10 points)
Note: Please use the excel template for Corporate Value-at-Risk provided for this question.
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