各位学姐学长，
小学妹不才，刚本科毕业，在美国，目前收到 jane street 的面试，他们让我先完成一个test, 可是第一个我就不太会， 是求 currency haircuts的， 小学妹本科根本就木有学过。 求各位大神帮我解答一下吧。 问题在下面，需要在excel上面解答，excel is attached with this. Thanks. 我愿意奉献所有面试的原题给大家。希望大家能帮忙。
Introduction Broker-dealers are required to maintain a certainminimum amount of net capital. The first step in calculating a firm's netcapital is to determine the firm's total capital. To then compute net capital,one must take charges against total capital to account for the inherent risk ofpositions held. These charges are called 'haircuts'. Technically, a haircut is defined as "a percentage that issubtracted from the par value of the assets that are being used as collateral. Thesize of the haircut reflects the perceived risk associated with holding theassets." We're going to determine the haircuts in somehypothetical situations. Part I: Currencies There is a separate haircut calculated for eachforeign (i.e., non-USD) currency. The first thing we need to do to calculatethe haircut on a given currency is to figure out the firm's total exposure tothat currency. A negative currency position indicates that the firm is short(or owes) the currency. There are two ways the accompanying spreadsheet willshow currency exposure: 1) Actual cash is denoted 'cash' in the Position Symbol column, and can be in avariety of different currencies. You can see the symbol for the currency of thecash in the Currency column (EUR = Euro,GBP = British Pound, BRL = Brazilian Real, USD = US Dollar). The USD value ofthe cash is shown in the Market Value (USD)column. There may be several cash lines for the same currency due to thepositions being in different accounts. 2) We also have forwards. A forward is an agreementto buy a currency in the future. For risk purposes, it is essentially the sameas actually owning the currency. So if we show a 'Forward EUR' position with amarket value in USD, this is the same (for risk and haircut purposes) as if wehad 'cash' with 'EUR' in the Currencycolumn. Add up the pieces to get to the total exposurefor a currency, and apply a haircut to the absolute value of that totalexposure. If the firm is long and short the same currency (whether in cash orforwards), the total currency risk is the net position in that currency. The haircut for GBP and EUR is 6%, while thehaircut for ZAR and BRL is 20%. There is no haircut for USD positions. What is the total haircut in USD onthe positions in the accompanying spreadsheet?
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发表于 2015-6-20 00:32:30
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