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Parapoulis, Panagiotis. "Hedging foreign currency options." Thesis, University of Reading, 1992. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.317577.
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Jakutis, Aurimas. "Mutual fund's currency risk hedging." Bachelor's thesis, Lithuanian Academic Libraries Network (LABT), 2009. http://vddb.library.lt/obj/LT-eLABa-0001:E.02~2008~D_20090403_124219-25175.
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Mutual funds currency risk management is analyzed in this bachelor paper. It aims to analyze hedging by currency forward and options under different hedge ratios and various durations of the contracts. Afterwards the outcome is compared to non-hedging. After comparing hedging on six emerging markets equity indexes, it is concluded, that fund managers should hedge not all the time, but only when they expect foreign currency to depreciate. It is shown that forward contracts are better means than options for currency risk insurance purposes. Moreover, it is demonstrated that hedging with the shortest duration forward contracts is most effective and it is recommended to use the hedge ratio of 50 %.<br>Bakalauro baigiamajame darbe yra analizuojama valiutų rizikos valdymas investiciniuose fonduose. Darbe analizuojamas valiutų rizikos draudimas ateities ir pasirinkimo sandoriais, bei gauti rezultatai palyginti su rezultatais kai rizika nebuvo valdoma. Išanalizavus šešių besivystančių rinkų akcijų indeksų valiutos draudimą, buvo prieita išvados, jog fondų valdytojai valiutą turėtų drausti ne nuolatos, o tik kai jie tikisi jog užsienio valiuta silpnės. Be to, darbe parodoma, jog valiutų draudimas ateities sandoriais yra geresnis būdas valdyti valiutos riziką nei kad pasirinkimo sandoriai. Taip pat pademonstruojama, jog trumpiausio periodo ateities sandoriai yra efektyviausi valiutų rizikos valdymo tikslais bei rekomenduojama naudoti 50 % draudimo koeficientą.
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Buck, Alexander Wolfram. "Cross-currency hedging with multiple options." reponame:Repositório Institucional do FGV, 2017. http://hdl.handle.net/10438/19379.
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Previous issue date: 2017-11-23<br>Financial derivatives are broadly used for hedging purposes by large financial and non-financial corporations in developed countries. Thereof, currency derivatives represent the biggest class. For some currencies, foreign exchange exposure, for example arising from exports or foreign investments, cannot be hedged due to illiquid or nonexistent derivative markets. However, a third currency with liquid derivative markets exists and can be used to cross-hedge the exposure. This thesis examines whether using options with multiple strikes can improve the hedging performance in such a case. Several stochastic models commonly applied in the literature to foreign exchange markets are used for the out-of-sample hedging portfolio construction and applied to currencies in the regions Latin America, Europe and East/Southeast Asia between 2012 and 2016. This paper delivers two main results: Firstly, it is shown that adding options is not beneficial mainly due to model and estimation errors which increase risk. Secondly, it is shown that if the US-Dollar exchange rate is not cross-hedgeable, the exchange rate with the third currency must be, unless the foreign currency is highly volatile. As a consequence, cross-hedging can be successfully applied to at least one of those exchange rates. However, it is optimal to use only forwards in that case.<br>Derivativos financeiros são amplamente utilizados com finalidade de hedge por grandes corporações financeiras e não-financeiras em países desenvolvidos. Nesse sentido, derivativos de câmbio representam a classe mais expressiva. Para algumas moedas, a exposição cambial resultante por exemplo de exportações ou investimentos externos não pode ser coberta devido à iliquidez ou inexistência de mercados de derivativos. No entanto, existe um terceiro câmbio de mercados de derivativos líquidos que pode ser utilizado para cobrir a exposição cambial com cross-hedge. A presente tese examina se o uso de opções com múltiplos preços de exercício pode melhorar o desempenho de hedge em tal caso. Vários modelos estocásticos comumente aplicados na literatura a mercados de câmbio são utilizados para a construção out-of-sample de um portfolio de hedging e aplicados a câmbios na América Latina, Europa e Leste/Sudeste asiático entre 2012 e 2016. Esse trabalho chega a dois resultados centrais. O primeiro demonstra que não é benéfico adicionar opções sobretudo em virtude de erros de modelo e estimativa que elevam riscos. O segundo demonstra que se a taxa de câmbio do dólar americano não permite cross-hedging, a taxa de câmbio do terceiro câmbio precisa permitir, a menos que a moeda estrangeira seja altamente volátil. Consequentemente, cross-hedging pode ser aplicado com sucesso a pelo menos uma destas taxas de câmbio. Entretanto, é aconselhável utilizar apenas forwards nesse caso.
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Jordaan, Felipe Yvann. "Hedging currency futures basis risk : a SADC uniform currency perspective." Thesis, Stellenbosch : Stellenbosch University, 2012. http://hdl.handle.net/10019.1/19903.
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Thesis (MComm)--Stellenbosch University, 2012.<br>ENGLISH ABSTRACT: The implementation or adaption of a common currency by a group of countries has managerial as well as risk management implications for these emerging market multinational corporations (EMNC’S). This study sets out to examine these business management implications and the computation of a fictitious uniform currency for the SADC region, “SADC dollar” to derive its optimality should the SADC dollar replace the ZAR. This optimality was determined by comparing the basis risk of currency futures hedge positions using both the USD/ZAR on a ZAR currency index and USD/SADC dollar on a SADC currency index as the respective underlings.
Findings indicated that the basis risk and currency risk declined over a time-series analysis which implied better business management decisions, increased profit margins, larger firm value and more effective hedged positions for the companies in South Africa that may adopt this new currency.<br>AFRIKAANSE OPSOMMING: Die implementering of aanvaarding van ‘n gemene wisselkoers deur ‘n groep SADC-lande het besigheidsbestuurs- asook risikobestuursimplikasies vir SADC multinasionale maatskappye. Hierdie studie beoog om die implikasies vir bestuur te ondersoek en te bepaal hoe die skep van ‘n fiktiewe eenvormige wisselkoers vir die SADC-streek gebruik kan word, dit is, sou die “SADC dollar” die ZAR vervang. Hierdie optimaliteit is bereken deur die basisrisiko van verskeie valutatermynkontrakte vergelyk. Die instrument onderliggend aan die verskillende valutatermynkontrakte was die VSA dollar/rand wisselkoers wat op ‘n Suid-Afrikaanse rand (ZAR) valutaindeks gemodelleer is en die VSA dollar/SADC dollar wat op ‘n SADC valutaindeks gemodelleer was.
Die resultate van die navorsing op die gekose tydreeks dui daarop dat die basisrisiko sowel as die valutarisiko moontlik sal afneem. Die implikasie hiervan is moonlik beter besigheidsbestuurs-besluite, toename in winsmarges, toenames in maatskapywaardes en meer effektiewe skans posisies vir maatskappye in Suid–Afrika wat hierdie eenvormige wisselkoers sou implementeer.
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Payne, M. K. "Hedging and trading models for currency options portfolios." Thesis, Imperial College London, 1991. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.296907.
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Sarkis, Sumbat, and Chang Shu. "CORPORATE STRATEGIES FOR CURRENCY RISK MANAGEMENT." Thesis, Mälardalen University, School of Sustainable Development of Society and Technology, 2008. http://urn.kb.se/resolve?urn=urn:nbn:se:mdh:diva-801.
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<p>Title: Corporate Strategies for Currency Risk Management</p><p>ackground:Currency fluctuations are a global phenomenon, and can affect multinational</p><p>companies directly through their cash flow, financial result and company</p><p>valuation. The exposure to currency risks might however be covered against or</p><p>‘hedged’, as it is called, by different external and internal corporate strategies.</p><p>However, some of these strategies might include a risk themselves as they can</p><p>be expensive and uncertain. It is therefore an interesting question whether if</p><p>these strategies are actually applied in practice, and if so which strategies are</p><p>favored and why.</p><p>Purpose: The purpose of this thesis is to present and explain the different external and</p><p>internal hedging techniques and to see which, or if any, strategies are favored by</p><p>large, medium-sized and small companies and for what reasons.</p><p>Method: Regarding primary data, interviews with a mostly qualitative profile have been</p><p>used to discuss the subject with respondents from six companies, diversified in</p><p>size using the classification from the European Commission. Secondary data has</p><p>been collected through literature from the university library and internet sources.</p><p>Conclusion: Large companies primarily use the strategy of forwards, since they carry high</p><p>elements of risk aversion, predictability and simplicity. For internal strategies,</p><p>large companies prefer netting. Small companies extensively use matching</p><p>because the routine is easy to establish and handle. Medium-sized companies</p><p>can use either one so much depends on the risk-aversion and cash-flow</p><p>management of the company.</p><p>Large companies continuously regard currency risk a big factor, whereas small</p><p>companies have just recently started due to the dollar depreciation. Translation</p><p>exposure should be considered a big risk regardless of the company size, if the</p><p>company is the main one in a corporate group. Finally, the subject of</p><p>currency risk management is very theoretically broad, but its appliance in</p><p>practice is very slim as only a few strategies are actually favored and frequently</p><p>used.</p>
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Carlsson, Gustav, and Robin Ericsson. "Layered Basket Option Hedging : Currency risk management for multinational corporations." Thesis, Internationella Handelshögskolan, Högskolan i Jönköping, IHH, Företagsekonomi, 2012. http://urn.kb.se/resolve?urn=urn:nbn:se:hj:diva-18338.
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Background: In an increasingly globalized environment, corporations perform transactions across borders on a day-to-day basis. As multinational corporations expand their businesses the number of currencies in their operations increases. The consequence of operating with several currencies is the risk associated with currency fluctuations. Sandvik AB is a worldwide corporation where activities are conducted through representation in more than 130 countries. Currency exposures are controlled through risk management where financial derivatives are applied to protect the corporation from potential losses caused by fluctuations. Sandvik AB recently implemented a hedging strategy entitled Layered Basket Option hedging. The strategy is a combination of a layered- and a basket option approach to maximize the effect of the hedge. There is a limited amount of previous research regarding Layered Basket Option hedging and Sandvik AB is the first corporation to actively practice this strategy. Purpose: The purpose is to investigate and provide information about how currency risk most effectively is hedged for the multinational corporation Sandvik AB. Furthermore, we want to evaluate if Sandvik’s recently implemented hedging strategy, Layered Basket Option hedging, is the best-suited strategy for them and if there are any improvements to be made. This thesis will further investigate the importance of currency hedging for multinational corporations, which are dependent on reporting to their stakeholders. Hopefully, this thesis will also facilitate the communication of Sandvik’s currency strategies throughout the organization and make it more comprehensible. Method: Exchange rates on daily basis for the period 2002-2012 were collected from Bank of Canada and Reuters database. The collected data was thereafter used as a basis to perform calculations to determine if Layered Basket Option hedging is the optimal solution for Sandvik AB. Conclusion: The results of this study highlight the benefits from applying a Layered Basket Option hedging strategy and the strategy succeeds to reduce the volatility caused by currency fluctuation. The results indicate that the combination of a layered- and a basket option approach successfully creates a suitable strategy for Sandvik AB. Furthermore, this thesis has recognized that there exists room for improvement by actively allocating currencies according to their weights and correlations to fully exploit the effects from the strategy.
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Spitz, David Evan. "Optimization models for foreign exchange rate hedging using currency options." Thesis, Massachusetts Institute of Technology, 1989. http://hdl.handle.net/1721.1/33479.
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Gustafsson, Sandra, Ramona Isaksson, and Johan Lagerqvist. "Currency risk management : A case study of Superfos." Thesis, Jönköping University, JIBS, Accounting and Finance, 2008. http://urn.kb.se/resolve?urn=urn:nbn:se:hj:diva-7818.
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Slavík, Tomáš. "Měnový hedging s využitím finančních derivátů." Master's thesis, Vysoká škola ekonomická v Praze, 2009. http://www.nusl.cz/ntk/nusl-17028.
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Thesis "Currency Hedging Using Financial Derivates" provides comprehensive survey about hedge derivatives contracts from view of real datas. The principle is whole life of derivates contracts - from the beginning of contract settlement to expiration of agreement. Thesis shows hedge relation with czech accounting law and provides different views on potential problems and shows possible improvements in this topic.
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Martinsen, Gustav, and Christoffer Branæs Skaarer. "Currency Hedging in Norwegian Listed Companies: Strategies and Effects on Exposure." Thesis, Norges teknisk-naturvitenskapelige universitet, Institutt for industriell økonomi og teknologiledelse, 2012. http://urn.kb.se/resolve?urn=urn:nbn:no:ntnu:diva-20954.
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We investigate hedging strategies and foreign exchange rate exposure of Norwegian companies in the seafood and offshore support industries. Factor models building on the Capital Asset Pricing Model are used to analyze stock returns. Results suggest that currency exposure is affected both by company specific features and market wide effects, including oil price influence and speculation in the NOK. Systematic factors, surprisingly, lead to negative exposure to depreciations of the NOK for a majority of the firms in the offshore service sector. Hedging strategies, mostly based on forward contracts and debt in foreign currencies, vary significantly between and within sectors. Foreign currency denominated debt is found to be the most effective means to reduce exposure to currency fluctuations. The findings add useful information to financial managers of Norwegian exporters and investors in the Norwegian stock market.
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Steil, Benn Lawrence. "The use of currency options in hedging foreign exchange exposure risk." Thesis, University of Oxford, 1991. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.316827.
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Kanas, Angelos. "Exchange rate economic exposure and hedging : the significance of currency options." Thesis, Aston University, 1993. http://publications.aston.ac.uk/10870/.
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This thesis focuses on the theoretical examination of the exchange rate economic (operating) exposure within the context of the theory of the firm, and proposes some hedging solutions using currency options. The examination of economic exposure is based on such parameters as firms' objectives, industry structure and production cost efficiency. In particular, it examines an hypothetical exporting firm with costs in domestic currency, which faces competition from foreign firms in overseas markets and has a market share expansion objective. Within this framework, the hypothesis is established that economic exposure, portrayed in a diagram connecting export prices and real exchange rates, is asymmetric (i.e. the negative effects depreciation are higher than the positive effects of a currency depreciation). In this case, export business can be seen as a real option, given by exporting firms to overseas customer. Different scenarios about the asymmetry hypothesis can be derived for different assumptions about the determinants of economic exposure. Having established the asymmetry hypothesis, the hedging against this exposure is analysed. The hypothesis is established, that a currency call option should be used in hedging against asymmetric economic exposure. Further, some advanced currency options stategies are discussed, and their use in hedging several scenarios of exposure is indicated, establishing the hypothesis that, the optimal options strategy is a function of the determinants of exposure. Some extensions on the theoretical analysis are examined. These include the hedging of multicurrency exposure using options, and the exposure of a purely domestic firm facing import competition. The empirical work addresses two issues: the empirical validity of the asymmetry hypothesis and the examination of the hedging effectiveness of currency options.
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Kaplanoglou, Sevasti D. "Empirical issues of foreign exchange risk management with futures contracts." Thesis, Durham University, 2000. http://etheses.dur.ac.uk/1531/.
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Lindström, David, and Erik Säterborg. "Managing Currency Risk Exposure : A case study of Svenska Cellulosa AB." Thesis, Umeå University, Umeå School of Business, 2009. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-25164.
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<p><strong>Introduction:</strong> Recent years’ globalization and expanding currency markets have increased the importance of financial managers. A multinational company handles different currencies through export and imports, and is thus exposed to currency fluctuations. Awareness and assessment of risk management are issues more important not to ignore.</p><p><strong>Research question:</strong> <em>How does the multinational company SCA indentify currency risk exposure, and how does the financial management relate to it?</em></p><p><strong>Purpose:</strong> The aim of this study is to get a deeper understanding of the currency risk management at a Swedish multinational company and how the individual manager identifies exposure. Furthermore, what means that exist for assessing the exposure and how the management choose to reduce the risk will be investigated.</p><p><strong>Method:</strong> This case study has a qualitative approach, and is mainly based on two unstructured interviews that have been conducted with the financial mangers of SCA.</p><p><strong>Findings:</strong> The authors found that SCA identifies different kinds of exposures related to currency risk. SCA is equipped with organizational strategies as well as practical methods for reducing the risk exposure and positioning themselves in line with company framework and policies.</p><p><strong>Conclusion</strong>: Currency risk management is a subject of great complexity since exposures interrelate and alternates with time and as global economy changes. A company could hold a framework of policies, strategies and instruments that will provide their financial managers with means for risk assessment and management. Ultimately the responsibility is still in the hand of the managers.</p>
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Goncalves, António. "Does risk management influence performance of E-commerce SME’s?" Master's thesis, Vysoká škola ekonomická v Praze, 2017. http://www.nusl.cz/ntk/nusl-359889.
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Global Savings Group - Rocket Internet SE venture currency risk management exposure. This thesis covers the theory around currency risk management, putting it into practice with the real case of GSG currency risk exposure. In the end I aim to verify if currency risk affects the performance of SMEs, and if such type of companies (in this case the GSG) are aware of such exposure and if they adopt any strategies in order to reduce such exposure.
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Unver, Ibrahim Emre. "Pricing And Hedging A Participating Forward Contract." Master's thesis, METU, 2013. http://etd.lib.metu.edu.tr/upload/12615532/index.pdf.
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We use the Garman-Kohlhagen model to compute the hedge and price of a participating forward
contract on the US dollar that is written by a Turkish Bank. The algorithm is computed
using actual market data and a weekly updated hedge is computed. We note that despite a
weekly update and many assumptions made on the volatility and the interest rates the model
gives a very reasonable hedge.
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Wu, Jichun 1961. "A sampling-based stochastic programming algorithm and its applications to currency option hedging." Diss., The University of Arizona, 1997. http://hdl.handle.net/10150/289666.
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This dissertation is intended to study the stochastic optimization of a dynamical currency option hedging process and presents a sampling-based scenario aggregation algorithm which can be used to solve the optimal currency option hedging model. First, we review various financial applications of stochastic programming modeling techniques in the literature and examine traditional option hedging and valuation methods in finance. Next, we analyze the uncertain factors in currency exchange and discuss how to generate scenarios and scenario tree for financial optimization methods. We examine the advantages of using short-term derivative securities in portfolio hedging and give valuation models for the short term derivative securities traded in the exchange market. We provide three types of optimal currency option hedging models to satisfy various hedging environment and risk management needs. To solve the currency option hedging model, we propose a sampling-based stochastic programming algorithm which is based on its corresponding deterministic algorithm. The sample frequencies and a sampled scenario tree will be used to approximate the scenario probabilities and the true scenario tree respectively in the algorithm. We prove that the iteration points will converge with probability one to the true optimal solution asymptotically and show that the accuracy and speed of the algorithm depend on the sample size and error tolerance for each sampled problem in the iterations. Finally, we present the results of numerical experiments of our option hedging models and sampling-based scenario aggregation algorithm. The computational results for the option hedging models show that our optimal hedging method generates better cost-profit hedging performance compared with traditional hedging methods. The experiments of the sampling algorithm shows that the algorithm can generate good solutions effectively, especially for extremely large-scale stochastic programming problems.
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Cottrell, Paul Edward. "Dynamically Hedging Oil and Currency Futures Using Receding Horizontal Control and Stochastic Programming." ScholarWorks, 2015. https://scholarworks.waldenu.edu/dissertations/293.
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There is a lack of research in the area of hedging future contracts, especially in illiquid or very volatile market conditions. It is important to understand the volatility of the oil and currency markets because reduced fluctuations in these markets could lead to better hedging performance. This study compared different hedging methods by using a hedging error metric, supplementing the Receding Horizontal Control and Stochastic Programming (RHCSP) method by utilizing the London Interbank Offered Rate with the Levy process. The RHCSP hedging method was investigated to determine if improved hedging error was accomplished compared to the Black-Scholes, Leland, and Whalley and Wilmott methods when applied on simulated, oil, and currency futures markets. A modified RHCSP method was also investigated to determine if this method could significantly reduce hedging error under extreme market illiquidity conditions when applied on simulated, oil, and currency futures markets. This quantitative study used chaos theory and emergence for its theoretical foundation. An experimental research method was utilized for this study with a sample size of 506 hedging errors pertaining to historical and simulation data. The historical data were from January 1, 2005 through December 31, 2012. The modified RHCSP method was found to significantly reduce hedging error for the oil and currency market futures by the use of a 2-way ANOVA with a t test and post hoc Tukey test. This study promotes positive social change by identifying better risk controls for investment portfolios and illustrating how to benefit from high volatility in markets. Economists, professional investment managers, and independent investors could benefit from the findings of this study.
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Figueira, Raquel de Sousa Pereira Pinho. "Hedging of product import in the oil industry : the case of currency risk." Master's thesis, Instituto Superior de Economia e Gestão, 2012. http://hdl.handle.net/10400.5/10365.
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Mestrado em Finanças<br>Este relatório foca um caso de cobertura de risco e um contrato específico da OZ Energia para importação de Diesel, com a exposição de propostas de cobertura desses riscos através de instrumentos financeiros.
Como metodologia é utilizada uma abordagem de case-study, com o enfoque na análise de um evento de negócio real, com uma extensa apresentação dos riscos de mercado, de taxa de juro, de crédito e cambial.
A análise é baseada no investimento realizado em 2011. A escolha do período de tempo é justificada pela importação de combustível por parte da empresa nesse ano, o qual não foi totalmente coberto. Assim, este trabalho procura dar respostas e soluções para um hedge perfeito da posição da empresa.
Diferentes estratégias são estudadas e cenários simulados com base em dados do período entre Dez-08 e Jun-12 sob dois diferentes ângulos - custo e receita. A definição da melhor estratégia é feita através da comparação para ambas as perspectivas. São ainda realizados stress tests por forma a avaliar os resultados.<br>In this report we focus on an hedging case and on a particular contract used by OZ Energia for Diesel import, through the identification of hedging solutions using different financial instruments.
A case-study approach is used as method, given that the report is the result of an event within a real business context, with an extensive presentation of market, interest rate, credit and currency risks.
The analysis is based on the investment of 2011. The choice of time period is justified by the Diesel import made by OZ Energia over the course of that year, which was not fully hedged. Thus, this work seeks to provide answers and solutions to a perfect hedge on the firm?s position.
Different strategies are studied and scenarios are simulated based on data for the period between Dec-08 and Jun-12 under two different angles - cost and revenue. The definition of the best strategy is done by comparing them for both perspectives. Stress tests are also performed in order to assess the results.
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Lehner, Zachary M. "Determinants of exchange rate hedging an empirical analysis of U.S. small-cap industrial firms." Honors in the Major Thesis, University of Central Florida, 2011. http://digital.library.ucf.edu/cdm/ref/collection/ETH/id/459.
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Using a sample of 141 U.S. small-cap industrial firms, I examine the firm characteristics that influence its use of foreign exchange derivatives to hedge exchange rate risk. Companies in the industrial sector produce goods and services that are used for the production of another final product. The performance of this sector is closely correlated to the level of demand from the final consumer. I find firm size, the amount of foreign sales, and firm liquidity influence the firm's decision to use foreign exchange derivatives to hedge exchange rate risk. For those firms that hedge exchange rate risk using derivatives, a second test examines the firm characteristics that influence the extent of its hedging activities. I find the extent of hedging is influenced by the amount of foreign sales, the amount of foreign assets, and the number of foreign subsidiaries the firm operates. A final test examines whether certain firm characteristics influence its decision to use options as part of its hedging operations. I find no evidence that the firm characteristics examined herein influence that decision.<br>B.S.B.A.<br>Bachelors<br>Business Administration<br>Finance
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Jakobsson, Catrin, Daniel Edvardsen, and Ola Henriksson. "Foreign Exchange Risk Management Practices : A Study of Swedish Medium- and Large-sized Companies." Thesis, Jönköping University, JIBS, Business Administration, 2009. http://urn.kb.se/resolve?urn=urn:nbn:se:hj:diva-11499.
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<p><strong>Purpose: </strong>The purpose of the thesis is to describe which foreign exchange risk techniques that are used by medium- and large-sized Swedish companies within the Jönköping region, and how they as well as a bank evaluate the techniques in the current recession.</p><p><strong>Background: </strong>The reason why companies decide to expand their operations abroad is to take advantage from imperfections in other national markets. The fluctuations in currencies and exchange rates can have a huge effect on a company’s cash flows when doing business abroad. Therefore, when companies manage their foreign exchange risk, they have to be familiar with all the methods and tools available in order to pick the ones that best suit their needs.</p><p><strong>Method: </strong>We sent out a questionnaire and got it answered by eight companies within the Jönköping region regarding their strategy when managing foreign exchange risk. We have also interviewed a financial adviser, working at Handelsbanken, regarding the techniques offered to companies. A “foreign currency table” located in Linköping, was also contacted. They are in charge of creating recommendations and products sold by Handelsbanken. <strong></strong></p><p><strong>Conclusion: </strong>Hedging is the most frequently used tool by the companies in our study. Leading and lagging strategies are used quite often, while swaps and invoice currency is used less frequently by them. Exposure netting and cash pooling does not seem to be used at all. We believe that companies generally should seek more information on new techniques introduced in the market and be open to new possibilities and solutions for managing currency risk. Most of the companies in our sample, according to us, are too comfortable in their choice of techniques.<strong></strong></p><br><p><strong>Syfte: </strong>Syftet med denna uppsats är att beskriva vilka valutarisk tekniker som används av<strong> </strong>medelstora och stora företag inom Jönköpings området, samt hur dessa företag och en bank utvärderar teknikerna i den rådande lågkonjunkturen.</p><p><strong>Bakgrund: </strong>Anledningen till varför företag väljer att expandera utomlands är för att ta nytta av fördelar som uppstår i andra marknader. Fluktuationer i valutor och valutakurser kan ha stor effekt på företagens kassaflöden när handel utomlands utförs. När företag hanterar sin valutarisk måste de vara familjära med de olika metoder som finns tillgängliga, för att få reda på vilka av dessa som bäst tillgodoser deras behov.</p><p><strong>Metod: </strong>Åtta företag inom Jönköpings regionen, svarade på ett formulär, angående deras strategi när det kommer till hantering av valutarisk. Vi har även intervjuat en företags rådgivare på Handelsbanken, angående teknikerna som de erbjuder företagen. Valutabordet i Linköping har också blivit kontaktat. De har till uppgift att ta fram rekommendationer och produkter som säljs av Handelsbanken.<strong></strong></p><p><strong>Slutsats: </strong>Hedging är den teknik som används mest av företagen i vår undersökning. Leading och lagging används rätt så ofta, medan swaps och invoice currency används mer sällan av dem. Exposure netting och cash pooling tycks inte användas alls. Vi anser att företag generellt ska eftersöka mer information om nya tekniker som introduceras på marknaden samt vara öppna för nya möjligheter och lösningar till att hantera valutarisk. De flesta av de undersökta företagen anser vi i dagsläget är för bekväma i sina val av tekniker.</p>
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Appelqvist, Elin, and Emma Thomsson. "Det är som att leka med elden : En kvalitativ studie om valutakursens påverkan på internationellt agernade svenska SME-företag." Thesis, Linnéuniversitetet, Institutionen för ekonomistyrning och logistik (ELO), 2020. http://urn.kb.se/resolve?urn=urn:nbn:se:lnu:diva-92479.
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Företag som agerar på en internationell marknad står inför olika risker men också möjligheter vid en valutafluktuation. Företag som hanterar ett pengaflöde i någon form av utländsk valuta står inför valutaexponering när valutakursen fluktuerar. För att minska valutarisken kan företagen använda sig av olika valutastrategier. Enligt tidigare studier är det vanligare bland större företag att använda valutastrategier medan ’small medium sized enterprises’ (SME) har bristande kunskaper inom ämnet och känner en oro för att använda sig av de verktyg som finns. Eftersom SME-företagen står inför olika valutarisker som hanteras fragmentariskt ämnar denna uppsats att undersöka och analysera svenska SME-företags valutarisker och hur valutaexponeringen reduceras genom valutastrategier. För att besvara uppsatsens syfte valdes en kvalitativ metod med en deduktiv ansats baserad på företagens erfarenhet av ett ämne. Semistrukturerande intervjuer har genomförts med fyra svenska SME-företag som hanterar direkt import och/eller export och därmed påverkas av valutarisker och valutafluktuationer. Resultatet från uppsatsen indikerar på att svenska SME-företags valutarisker har ett signifikant samband mellan verksamhetsstruktur och valutaexponering. Resultatet visar på att valutaexponeringen påverkas beroende på hur företaget hanterar internationell handel vilket stödjer tidigare studier. Det har även visat sig att svenska SME-företag använder sig av valutastrategier genom hedging metoder. Det kan dock konstateras att majoriteten av de analyserade SME-företagen har bristande kunskap vilket stödjer tidigare studier.<br>Businesses that are internationally based are faced with currency risks but also possibilities. The businesses that are internationally based are faced with currency exposure due to fluctuation. To limit the currency risks businesses can utilize different currency strategies. According to previous studies, larger businesses are more likely to utilize these currency strategies, while small medium sized enterprises (SME) lack the knowledge about currency strategies and thus feel a disquiet about utilizing them. Since SME face a currency risk that is handled in a fragmented way, this paper aims to investigate and analyze Swedish SME currency risks and how they manage currency exposure through currency strategies. The method used in this study was to implement a qualitative research method with a deductive approach based on the businesses experience of a subject. Semi-structured interviews have been conducted with four Swedish SME that handle import and/or export. Thus, being affected by currency risks and currency fluctuations. The conclusion drawn from the result of this study indicate that Swedish SME currency risks have a significant relationship between businesses structures and currency exposure. The conclusion supports previous studies that currency exposure is affected depending on how the businesses manage their export and import. The study has also shown that Swedish SME utilize currency strategies through hedging derivatives. Although the majority of the analysed SME have insufficient knowledge about these derivatives which supports previous studies.
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McCarron, Sean. "Reducing exchange rate risk and exposure: The value of foreign exchange currency hedging strategies." CSUSB ScholarWorks, 2004. https://scholarworks.lib.csusb.edu/etd-project/2534.
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The topic researched for this project will be foreigh exchange hedging; the available forms, the uses, the procedures, and the value. This project will expand beyond the typical research and examine the value of hedging through the use of different foreign exchang currency trading strategies to small multinationational corporations.
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Säterborg, Erik. "The Determinants of Hedging with Currency Derivatives : A quantitative study on the Swedish OMX Exchange." Thesis, Umeå universitet, Företagsekonomi, 2010. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-119809.
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Most firms are actively assessing the financial risks exposure and do determine a policy for the hedging activities. It is not solely the risk aversive attitude from the managers that need to be overlooked, but to provide sufficient information to the shareholder is desirable for minimizing the gap of information asymmetry, which is by itself considered a tool for value creation (Bergstrand et al. 2009:45-47). To narrow this gap, listed Swedish companies have since 2005 been required to disclose their financial risk in their Annual Reports. By using a quantitative approach the researcher will review the financial risk note in Annual Reports of 2008 to identify characteristics and determinant variables on firms depending on whether they utilize currency derivatives or not. An independent two-sample t-test has showed statistical significance that there difference of the means regarding size, FX exposure and leverage between users and non-users of currency derivatives. The means of currency derivatives users were higher for Size and FX exposure, while lower for leverage. A positive correlation between a firm’s size and FX exposure was found, suggesting that the determinant for hedging FX exposure could be explained by the size of the firm and vice versa.
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Chang, Chuang-Chang. "Efficient binomial methods for option valuation and hedging : the case of American currency options and warrants." Thesis, Lancaster University, 1995. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.260944.
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Arabi, Alireza, and Maziar Saei. "Simple foreign currency option Hedge strategies A comparison of Option contracts versus Forward contracts." Thesis, Mälardalens högskola, Akademin för hållbar samhälls- och teknikutveckling, 2010. http://urn.kb.se/resolve?urn=urn:nbn:se:mdh:diva-9977.
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The use of currency options has been grown widely during the latest years. This paper tries to answer whether hedge strategies using currency options are superior to forward exchange contracts or not.
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Pindur, Přemysl. "Řízení kurzového rizika v strojírenském podniku." Master's thesis, Vysoké učení technické v Brně. Fakulta podnikatelská, 2019. http://www.nusl.cz/ntk/nusl-402080.
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The thesis primarily deals with the foreign exchange risk in the manufactory company Šroubárna Kyjov spol. s r.o. The aim of the thesis was to evaluate the current situation in the company using selected elements of financial analysis and performing strategic analysis. Based on the analysis of the foreign exchange risk in previous years and on the basis of the CZK/EUR exchange rate forecast, measures were proposed for the next period.
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Persson, Jakob. "Can Hedgin Affect Firm's Market Value : A study with help of Tobin's Q." Thesis, Jönköping University, JIBS, Economics, 2006. http://urn.kb.se/resolve?urn=urn:nbn:se:hj:diva-869.
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<p>Previous studies have identified that the use of currency derivatives in order to minimize the risk involved with foreign trade can also increase a firm’s value. Evidence of this can be found in a paper such as Allayannis and Weston (2001) “Use of Foreign Derivatives and Firm Market Value”, which showed that companies in the U.S. that uses these currency derivatives has a higher firm value than companies that do not use them. However, there have not been any studies concerning the Swedish market. This is why the Swedish market is selected for this thesis but also since the Swedish market is a more open market than the U.S. market for instance. The more open, the more volatile is the exchange rate, which one could see as a reason to why Swedish companies should hedge even more. The purpose of this thesis is to analyze the Swedish market and to find out if there is a relation between the firm value and hedging, analyzed with help of Tobin’s Q that gives us a measurement of the firm’s underlying value.</p><p>The analysis is done on the 50 largest companies in Sweden, although some of the companies are ranked lower in the category total asset but since not all of the 50 largest companies met the requirements, the selection had to go further down the list. The data is received from the companies annual reports (2005), this to receive the latest data. The companies are analyzed with help of Tobin’s Q and also EBIT (Earnings Before Interest and Tax), this to get a measurement of how the market value of the companies was towards each others with pr without hedging.</p><p>The result is presented in the analyze and shows that there is no relation between firm value and hedging, at least not in this research and with this selection of companies in the Swedish market. This result contradicts the findings in the paper made on the U.S. market.</p>
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Cederkäll, Jacob, and Rickard Karlsson. "Att säkra eller inte säkra : En kvantitativ studie om säkring av transaktionsexponering med valutaderivat." Thesis, Södertörns högskola, Företagsekonomi, 2018. http://urn.kb.se/resolve?urn=urn:nbn:se:sh:diva-36476.
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With an increasingly globalized world of multinational firms dominating the global market, firms have discovered the impact of transaction exposure on their business. To handle the risk, firms can hedge their transaction exposure with currency derivatives. This paper aims to determine and explain what variables, beyond the size of the transaction exposure, affect firms’ usage of currency derivatives for hedging purposes. Previous research shows a divided estimation of what underlying causes. The variables studied to explain the usage of currency derivatives are industry affiliation, size of firm, geographical dispersal and profitability. With a sample size of 70 major Swedish internationally active non-financial firms, a multiple regression analysis was constructed to potentially demonstrate causality. To create a method triangulation, an interview with a currency derivatives expert was conducted as a complement to the quantitative strategy. The result of this paper indicates that industry affiliation possibly affects firm’s usage of currency derivatives for hedging purposes, however none of the studied variables show a sufficient statistical significance to prove a causality.<br>Med en allt mer globaliserad värld med multinationella företag som dominerar den globala marknaden har företagen upptäckt transaktionsexponeringens påverkan på dess verksamhet. För att hantera risken kan företag säkra sin transaktionsexponering med hjälp av valutaderivat. Denna studie ämnar till att fastslå och förklara vilka variabler, utöver transaktionsexponeringens storlek, som påverkar svenska rörelsedrivande företags användande av valutaderivat i säkringssyfte. Inom tidigare forskningen råder delade meningar om vilka bakomliggande orsaker som påverkar företags användande av valutaderivat. De variabler som undersöktes för att förklara användandet av valutaderivat är företagens branschtillhörighet, dess storlek, verksamhetens geografiska spridning samt dess lönsamhet. Med ett urval på 70 stora svenska internationellt verksamma rörelsedrivna företag gjordes en multipel regressionsanalys för att påvisa samband mellan användandet av valutaderivat i transaktionssäkringssyfte och påverkande variabler. För att skapa en metodtriangulering genomfördes även en intervju med en valutaderivatexpert som ett komplement till den kvantitativa strategin. Resultatet av studien indikerar på att branschtillhörighet möjligen kan påverka företagens användande av valutaderivat men ingen av de studerade variablerna uppvisade en tillräcklig signifikans för att statistiskt säkerställa sambanden.
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Cam, Korhan. "Minimization of currency risk exposures by developing foreign currency trading strategies for a multinational United States company." CSUSB ScholarWorks, 2004. https://scholarworks.lib.csusb.edu/etd-project/2601.
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This paper presents a case study of developing foreign currency trading strategies for trading operations for a multi-million dollar company that sells analytical products and services to European countries. The analysis provides a general framework for managing currency risk exposures for U.S. Multinational companies.
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Thorp, Susan Jane Economics Australian School of Business UNSW. "Risk management in superannuation." Awarded by:University of New South Wales. Economics, 2005. http://handle.unsw.edu.au/1959.4/20858.
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The aim of this thesis is to investigate how members of Australian superannuation funds can manage risks arising from uncertain security returns and unpredictable mortality so as to ensure a steady income stream during retirement. In chapter 2 we note that the proportion of superannuation assets invested in foreign assets has increased over the past two decades, exposing investors to currency risk. Surveys of superannuation funds verify that most international bond holdings, but not equity holdings, have been hedged for currency risk. We test the mean-variance efficiency of this practice against two alternative hedging strategies: a conventional forward hedge and a selective hedge conditioned on the domestic-foreign interest differential. Implementing optimal hedging results in portfolios whose returns stochastically dominate portfolios constructed under restricted equity hedging, according to our new adaptation of Barrett-Donald (2003) tests. Selective hedging works best for equities and conventional hedging for bonds. Chapter 3 applies a discrete-time Merton (1971) model to questions of optimal decumulation and asset allocation for self-funded retirees drawing down lump-sum retirement benefits. Risk management is taken to revolve around protecting a pre-specified minimum consumption stream. Risk tolerances and lifetimes are allowed to span a range of possibilities. In the case of an agent living to age 90, ideal investment in equity-type assets increases gradually from 27-43 % over remaining life. This is much lower than the 55-60% observed among retirees. Conservative investment strategies are needed to meet consumption goals over long lifetimes. Milevsky and Young (2002, 2003) attribute the reluctance to voluntarily annuitise to a valuable real option to delay annuitisation (RODA). Chapter 4 extends the RODA analysis to the case of HARA preferences. A formula for the optimal timing of annuitisation is derived from the solution to a dynamic stochastic consumption and investment problem with uncertain lifetime. The effect of introducing a consumption floor is to reduce the delay before annuity purchase. As in the CRRA case, delayed annuitisation is associated with optimistic predictions of the Sharpe ratio and divergence between annuity purchaser and provider predictions of mortality.
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Santos, Rui Fernando Alves dos. "Forwards e swaps cambiais, projeto no setor da construção." Master's thesis, Instituto Superior de Economia e Gestão, 2015. http://hdl.handle.net/10400.5/10528.
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Mestrado em Ciências Empresariais<br>A presente dissertação foi realizada com vista à obtenção do grau de mestre em Ciências Empresariais pelo Instituto Superior de Economia e Gestão.
Para o desenvolvimento desta dissertação foi escolhido o tema "Forwards e SwapsCambiais ou de Divisas, Projeto no sector da Construção".
Em termos essenciais este trabalho divide-se sequencialmente da seguinte forma:
Inicialmente faz-se uma exposição sobre o tema, na segunda parte é apresentado o trabalho de investigação que foi desenvolvido.
Na exposição realizada sobre o tema pretende-se realizar uma apresentação dos mesmos onde se evidencia e onde são feitas descrições sumárias dos vários tipos de produtos associados ao mercado de derivados, as suas características, os diversos tipos de risco, as estratégias de gestão do risco, entre outros.
Foi dada especial atenção aos "Swaps eFowardsCambiais", pelo facto, do trabalho de investigação incidir fundamentalmente sobre esta temática.
Na segunda parte deste estudo (o trabalho de investigação) pretende-se, através da metodologia de estudo de caso, explicar as diferenças verificadas entre os valores antes da introdução das operações com "Forwards Cambiais", e o impacto que isso teve no grupo em análise, identificar e explicar a volatilidade ocorrida, na realização deste estudo foi realizada uma revisão da literatura, foram estabelecidos contactos com especialistas, foi elaborada uma análise documental em livros e consulta de fontes eletrónicas.<br>This dissertation was carried out in order to obtain the master's degree in Business Administration from the "Instituto Superior de Economia e Gestão".
For the development of this thesis was chosen the theme "Forwards and Cross-Currency Swaps, Project in the Construction sector." In essence this work is divided sequentially as follows
Initially we made an enunciation about the subject and in the second part we show the research that has been developed. In the dissertation held on, is intended to give a presentation about the subject where we summarize the various types of products associated with the derivatives market, their characteristics, the various types of risk and risk management strategies among others.
Special attention was paid to the "Swaps and Forwards Exchange", once the research work was mostly focus on this issue.
In the second part of this study (research work) is intended, through the case study methodology, to explain the differences found between the values before the introduction of operations with "Exchange Forwards" and the impact it had on the considered subject. We wish to identify and explain the volatility that occurred.
In this study we analyzed specific literature, we've contacted specialists and also search on the web.
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Renč, Jan. "Zajištění kurzových rizik v kontextu českého exportu." Master's thesis, Vysoká škola ekonomická v Praze, 2010. http://www.nusl.cz/ntk/nusl-71823.
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The main focus of this work is on hedging of currency risks with special emphasis on the case of Czech export. In the first chapter, I create a motivation for further studying of the problem. I describe the state of export industries and the economy as a whole and how these aspects are connected to the exchange rates. In the second chapter, I explain how firms create their assumptions about future exchange rates. I also run a Monte Carlo analysis on historical data and come with predictions of my own. In the third chapter, I am discussing the relevance of using VaR models for estimating the maximum possible loss of funds due to unwanted moves in the exchange rate. Furthermore, I describe various instruments usable for hedging of currency exposure including forwards, options, swaps and other derivatives. In the final chapter of this work, I am asking financial and sales directors of 51 Czech firms about how currency risks influence their businesses and how they protect themselves against these threats.
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Borgström, Björn, and Viktor Eriksson. "Valutariskhantering - Spelar storleken någon roll? : Fallstudier på Sandvik och CardGroup." Thesis, Högskolan i Gävle, Avdelningen för ekonomi, 2011. http://urn.kb.se/resolve?urn=urn:nbn:se:hig:diva-9318.
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Syfte: Hantering av valutarisker i ett exporterande företag kan vara avgörande för att nå framgång. Syftet är att undersöka hur valutariskexponering uppstår samt att se hur valutarisk hanteras i två exporterande företag. Uppsatsen behandlar ett stort multinationellt företag och ett mindre företag. Studien jämför olika förhållningssätt i de två företagen samt hur extern respektive intern hantering av riskerna kan skilja sig. Metod: I studien har en kvalitativ ansats tillämpats genom intervjuer med representativa befattningshavare i de båda företagen. Intervjuerna utgår från ett hermeneutiskt synsätt som sedan också till stor del är genomgående i uppsatsen. Förutom intervjuer så har trovärdig sekundärdata använts i förekommande fall. Resultat & slutsats: Möjlighet till intern hantering av valutarisker skiljer sig mellan stora och små företag. Sandvik har stora resurser för att kunna hantera valutarisker internt samtidigt som CardGroup har mindre resurser och kunskaper för detta. Företagens förhållningssätt till risk skiljer sig men skillnaden beror inte på storleken utan snarare synen på hur affärer görs. Företagens externa metoder för valutariskhantering är snarlika då samma derivatinstrument används, med undantag för hur företagen tillämpar dem genom olika metoder. Förslag till fortsatt forskning: En intressant ansats för vidare studier skulle vara att använda en kvantitativ metod för forskning inom området för att kunna dra mer allmänna slutsatser. Fokus för fortsatta studier kan även vara att utgå från ekonomisk eller omräkningsexponering. Uppsatsens bidrag: Uppsatsen har bidragit till ökad kunskap om vilka metoder och instrument exporterande företag använder och varför. Dessutom har studien belyst hur arbetet kan skilja sig mellan ett stort och ett litet företag.<br>Aim: Currency risk management can be crucial to reach success in an international environment. The aim of this thesis is to examine currency exposure in exporting companies and to see how they handle currency risk. The thesis consists of one large multinational company and one small local business. Differences in risk approach, internal and external management are examined. Method: The study has a qualitative approach applied by interviews with representative employees in both companies. A hermeneutic approach is used for the interviews and then also to a large extent throughout the essay. In addition to interviews, reliable secondary data where used when appropriate. Result & Conclusions: Internal currency risk management is different depending on the company’s size. Sandvik have great resources in managing currency risk internally while CardGroup have less knowledge and resources to do so. The companies approach to risk is different but the difference is not due to size but rather the perception of how business is done. The external methods of managing currency risk are similar between the companies. The same derivatives are used with exception for how the companies apply them through various methods. Suggestions for future research: An interesting approach for further studies in this field of finance would be to use a quantitative approach to receive general conclusions. Operating and translation exposure can also be focus for future studies. Contribution of the thesis: The thesis has contributed to increased knowledge of which instruments companies use and why companies apply certain methods. In addition the essay examines how this differs between a large and a small company.
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Lukášová, Helena. "Řízení kurzového rizika v podnicích zaměřených na export." Master's thesis, Vysoká škola ekonomická v Praze, 2011. http://www.nusl.cz/ntk/nusl-161862.
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The aim of this Diploma thesis is to describe and explain how to identify, quantify and eliminate negative effects of exchange rate fluctuation. Both internal and external methods of hedging are considered. A recommendation of an appropriate complex hedging strategy relating to a specific Czech technological company forms the second part of the thesis. This provides a guidance to practical use of the theoretical relations described in the first part.
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Chang, Tsung-Tsao, and 張宗載. "Currency Basket Hedging." Thesis, 2006. http://ndltd.ncl.edu.tw/handle/64144541102431632047.
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碩士<br>國立臺灣大學<br>財務金融學研究所<br>94<br>Abstract
In the present modern age, international businesses are tied more closely. Many global companies usually trade from one country to another, so “foreign exchange hedge” has become a key strategy to control the foreign exchange risk.
In the following context, I plan to provide a new method (currency basket hedging model) to reduce or improve the “foreign exchange hedge cost” which most companies have met so far.
With the “currency basket hedging model”, empirical analysis shows that this strategy is inexpensive. Averagely, instead of NDF, the currency basket hedging strategy has the advantage of saving hedging cost. Furthermore, its VaR estimate has a stable result.
Therefore, if the owner agrees to take the downside risk (correspond to a specific critical value of a portfolio’s potential one-day profit and loss probability distribution), the currency basket hedging strategy will be a feasible, usable, effective and referable strategy.
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Jamil, Mehdi. "Currency hedging in emerging market investments." Master's thesis, 2019. http://hdl.handle.net/10362/73504.
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This paper investigates whether currencies enhance performance of portfolios
diversified over a number of different international markets from the perspective of an
American based investor and determines what is the source and the extend of the added value.
While the US market is considered to be the largest in the world, emerging markets are smaller,
more volatile and contain more inherent risks but they do present huge potential and
diversification opportunities for investors. Hence adding these foreign investments into their
portfolios present risk reduction benefits for investors but it exposes them to the notion of
currency risk. Hedging currency exposure could help mitigate those risks but it at what cost?
It is indeed shown that hedging levels have different impacts on performance but also on the
volatility associated with those investments. This paper aims at showing this risk-return
dilemma, and explore optimal hedging strategies to mitigate against currency exposures in
American emerging markets.
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Zhang, Jie. "Hedging Currency Risk in Emerging Markets Portfolios." Thesis, 2011. http://spectrum.library.concordia.ca/15160/1/Zhang_MSc_F2011.pdf.
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Liou, Huei-Mei, and 劉惠美. "The hedging strategy of Dual Currency Deposit." Thesis, 2007. http://ndltd.ncl.edu.tw/handle/36115903653735487577.
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碩士<br>逢甲大學<br>經營管理碩士在職專班<br>95<br>Abstract
As the restrictions and regulations on financial instruments / products are becoming loose, banks and securities firms can now provide a more variety of investment products for the investors. The FX risk / impact on individuals and institutions should not be overlooked because the movement of FX rates are more volatile, and the frequency of rate hikes / drops are higher than before, due to the global trend. The purpose of this article is to explore the effectiveness of various FX hedging instruments. The comparison method that this study employs are (1) no hedge strategy used, (2) hedge strategy – forward, (3) hedge strategy – FX options, including Buy Put and Sell Call. At the beginning of 2005, the subject company buys USD1,000,000 of DCD every month, each with a tenor of 1 month, using USD as the base currency, and EUR as the converted currency. Interest rate Partity and a modified Black Scholes model (G&K Model) were used to calculate the hedging results from the 3 different hedging strategies mentioned above. The results are to provide an insight for future investors when conducting FX hedge strategies in the future.
This study explores and analyzes the results. The findings are as follows:
1. There is a higher FX risk exposed using 100% Sell Forward or Sell Euro Call / USD Put Option than when no hedge strategy is used at all
2. The effectiveness of FX strategies from the best to the worst are:
Sell Euro Call / USD Put Option > Sell Euro Forward > Not Hedged > Buy Euro Put / USD Call Option
3. 100% buy Euro Put / USD Call has the result, but with the lowest FX risk. 100% sell Euro Call / USD Put has the best result, but with the highest FX risk.
4. Sell Forward or Sell Euro Call / USD Put options share similar results, and can conclude that the percentage being hedged is positively correlated with the effectiveness of a hedge.
5. Employs less than 75% Sell Forward or Sell Call Option has better effect than with no hedge strategy.
This study suggests that investors can try various hedging methods with various percentages in order to determine a hedging strategy that is suitable to lower his/her investment risk. He/She can also try methods, strategies and different percentages that were not used in this study to conduct different studies to determine the relationship between the different hedging risks and their effectiveness.
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Jeng, Kuo Jen, and 簡國珍. "A Study of Foreign Currency Futures Hedging Strategy Hedging Effectiveness with Transaction Costs." Thesis, 1994. http://ndltd.ncl.edu.tw/handle/48088510273008309086.
Full textAbstract:
碩士<br>輔仁大學<br>金融研究所<br>82<br>Sharda & Musser(1986)以目標規劃法(goal programming)建立多期、多
重目標之動態避險模式，使避險者能夠同時達成避險組合之損益最小、避
險成本最低、及保證金存入總額最少之三大目標。另外，乃引進
Ederington(1979)延續Johnson(1960)但考慮避險成本之最小風險模式，
目的在於比較兩大避險模式之避險效果與避險成本。實證方法上，兩大避
險策略有明顯差異，目標規劃避險策略必須透過對未來現貨及期貨價格變
動量之預測來估計最適期貨避險部位，而最小風險避險策略則是根據過去
現貨及期貨之價格變動量關係，以OLS法估計最適避險比例，同時，以OLS
法求避險比例時會面臨誤差項是否滿 足基本假設之檢定及修正問題，再
者，所求出之避險比例也會面臨是否該隨時間而調整問題，而這些操作方
法之避險效果與避險成本都是避險者急欲知道的。本文以英磅、馬克、及
日幣為實證對象，結果發現:(1)目標規劃避險策略因為涉及價格變動之預
測能力，及本身目標函數中不單純只是最小風險，故避險效果普遍不佳
。(2)最小風險法中誤差項之檢定結果，英磅有異質變異數，馬克及日幣
有一階自我相關，經修正後之避險效果英磅及馬克都下降，而日幣則略提
升。(3)探討兩大避險策略最適期貨部位之調整幅度，發現目標規劃法每
日調幅極大，而最小風險策略之每日調幅不到1％，也由於此一現象，目
標規劃策略之避險成本平均為最小風險策略之二至四倍。(4)比較最小風
險法中之避險比例不調整、每日調整及每週調整之結果對避險效果及成本
之影響，結果發現必險效果與避險期間長短無一致性關係，此外我們也發
現，以R-square去衡量避險效果既不合理也不精確。
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Hsiang, Le-Chi, and 項樂琪. "The Study of Currency Hedging on Global Investment." Thesis, 2013. http://ndltd.ncl.edu.tw/handle/08934963665314782919.
Full textAbstract:
碩士<br>東吳大學<br>財務工程與精算數學系<br>101<br>Evidence shows that investors can increase investment return through global diversified portfolio, but they would have the currency exposure implied by the foreign asset holding. Investors may ask how to reduce the volatility of return on portfolio due to the foreign exchange rate fluctuations.
This study considers the currency hedging strategies by Campbell et al. (2010), using the monthly stock and bond market data of Germany, Australia, Canada, Japan, Switzerland, the United Kingdom and the United States, from January 2000 to March 2013, to examine the risk reduction effect of no hedging, half hedging, fully hedging and optimal hedging. The empirical results show that in the stock market portfolio, the standard deviation of optimal currency hedging ratio is significantly reduced, but the average excess return and Sharpe ratio are inferior to the other three methods. In the bond market portfolio, the standard deviation and Sharpe ratio of the optimal currency hedging ratio are better than the others.
Due to the RMB business launched in Taiwan’s Domestic Banking Unit (DBU) in 2013, this study also uses the monthly stock and bond market data of the United States, Japan, Germany, United Kingdom, Australia, China and Taiwan, from January 2007 to March 2013, to analyze the risk-minimizing currency hedging strategy. The empirical results show that in the stock market portfolio, the standard deviation, average excess return and Sharpe ratio of optimal currency hedging are superior to the other three methods. There is little evidence that investors should use optimal currency hedging ratio in the bond market portfolio.
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Huang, Yung-Chin, and 黃韻琴. "Research of RMB Currency Futures Contract Hedging Strategy." Thesis, 2017. http://ndltd.ncl.edu.tw/handle/msk3hb.
Full textAbstract:
碩士<br>健行科技大學<br>財務金融系碩士班<br>105<br>Taiwan Future Exchange (TAIFEX) introduced two RMB FX futures on July 20th of 2015 that use US Dollar (USD)/RMB FX foreign exchange futures as the object of transaction to provide the market with an exchange transaction tool that is standardized and with financial leverage, to expand the traders’ flexibility in their usage of financial instruments, and to promote diversity of development in Taiwan’s offshore RMB (CNH) market. This research used models including OLS, univariate GARCH (1,1), and bivariate GARCH (1,1) to predict the hedge ratio and compared the performance of the two foreign exchange futures’ hedging tools under different models with the goal of finding the most fitting hedging tool for the general investor’s reference.
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CHEN, YI-YUAN, and 陳鐿元. "The Study of the Portfolio Hedging Strategy on Currency Forward Contracts and Currency Futures." Thesis, 2006. http://ndltd.ncl.edu.tw/handle/97560939658618287344.
Full textAbstract:
碩士<br>國立臺北大學<br>合作經濟學系<br>94<br>This study tests the abnormality (over-reaction or under-reaction) of Taiwan public stock market. We construct portfolios based on the different levels of return and volume applying the concept of Filter Rules proposed by Cooper (1999). The purpose is to show whether portfolio experienced extreme prior price index changes and volume changes have more significant continuing or reversing tendency. Turnover rate of individual securities is used as the proxy of volume. The data include the weekly returns and volumes of the individual securities in Taiwan stock market during 1991-2005.
Empirical results suggest that the Taiwan stock market exhibits inefficiency which shows under-reaction or over-reaction, that is, winners continue to win and losers continue to lose. Portfolios with higher prior return tend to maintain higher return in current period, and vice versa. The above tendency is more significant when winner/loser portfolio is judged by return of two consecutive prior periods rather than just one prior period. It implies that stock return in longer period may contain more information for prediction of future return movement.
The growth of turnover rate is significantly related to the portfolio return in the same period. However, turnover rate fails to provide useful information in predicting the future return
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HUANG, BO-KAI, and 黃柏凱. "The Study of the Portfolio Hedging Strategy on Currency Forward Contracts and Currency Futures." Thesis, 2006. http://ndltd.ncl.edu.tw/handle/96132246557408562249.
Full textAbstract:
碩士<br>國立臺北大學<br>合作經濟學系<br>94<br>The study is to make use of five kinds of currency futures of Japanese yen, S.African Rand, Swiss Franc, Swed. Krona and Australian Dollar, adopt hedging strategies of single future position, two kinds of futures portfolio position, three kinds of futures portfolio position, four kinds of futures portfolio position and five kinds of futures portfolio position, to hedge risk of NT/US currency forward contracts. In order to get better hedging strategies, make minimum variance hedge model and risk-return trade-off hedge model to analyze hedging effectiveness of hedging strategies. The data cover the period from July 1, 2000, through March 20, 2006, and divided into in-sample period and out-of-sample period, adopt hedging periods of 10 days, 30 days, 60 days, 90 days and 180 days, to estimate hedging ratio and hedging effectiveness.
Show through the empirical result, in minimum variance hedge model, what has been estimated OLS model and GARCH model hedging effectiveness value, show hedging period and hedging effectiveness are about positive correlation, in-sample and out-of-sample of 20 day hedging period and 30 day hedging period are very great differences. In addition, the hedging effectiveness value of futures portfolio position hedging strategies will be greater than single future position hedging strategy, if hedging strategies include Japanese yen futures, it can improve the hedging effectiveness. In risk-return trade-off hedge model, if the hedging effectiveness considers return and risk, the hedging strategies are not good strategies. In general, all kinds of NT/US currency forward contracts have nearly the same hedging strategies.
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Wang, Shaio-Tien, and 王曉恬. "Optimal Currency Hedging Overlay Strategies for Taiwan’s Pension Fund." Thesis, 2007. http://ndltd.ncl.edu.tw/handle/05420857299778120015.
Full textAbstract:
碩士<br>國立臺灣大學<br>財務金融學研究所<br>95<br>In this paper, we are trying to determine the optimal currency hedging overlay strategies for Taiwanese pension funds. Markowitz Mean-Variance model and Williams Maximum Probability Approach are used to construct a spot position as the hedging subject. Then, we apply the conventional hedging effectiveness as well as Sharpe ratio to analyze the efficiency of single contract and multiple contracts overlay strategies. We discover that dynamic hedge under minimum-variance model is the most efficient based on risk reduction. Secondly, the hedging effectiveness of dual and triple overlay strategies are greater than the other strategies based on risk-adjusted performance. Finally, the hedging effectiveness for a longer duration is found to be more efficient than a shorter one.
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Lee, Chien-Jung, and 李健溶. "On the Pricing and Hedging of Currency Instalment Option." Thesis, 2004. http://ndltd.ncl.edu.tw/handle/69542012249052835590.
Full textAbstract:
碩士<br>輔仁大學<br>金融研究所<br>92<br>Without the extensive markets and plentiful resources, Taiwan is highly depended on the international trade. However, companies involving in the international trade are often reluctant to explore risks, such as the risk caused by the currency volatility. Therefore, companies involving the international business can often protect themselves from the currency risks by forward currency, currency future, NDF, as well as currency option. Although the currency option only can be traded over-the-counter, the volume of the currency option is quite large. But the option premium is not low enough to attract the public so the most traders are big-sized companies.
The purpose of this paper is to design the currency instalment option, which people can buy by instalment plan. Besides, we would like to investigate the advantages of the currency instalment option by simulation. Moreover, we analyze the pricing by binomial tree model, trinomial tree model, monte carlo simulation, and the analytical solution. The results are as follow:
1.If investors, after buying the currency instalment options, face the extremely out-the-money options with very low time values or don’t want to hold the currency instalment options, the currency instalment options can save some premiums for the buyers.
2.It is very useful to price the currency instalment options if we use the binomial tree model and the trinomial tree model. In addition, the trinomial tree model is better than the binomial tree model in the stability and efficiency of the pricing.
3.Monte carlo simulation that pricing the multi-term currency instalment options is not appropriate.
4.Analyzing Gamma by the binomial tree model and the trinomial tree model could cause the Gamma to keep jumping. It is why the figure illustrated Gamma won’t be smooth.
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Wang, Shaio-Tien. "Optimal Currency Hedging Overlay Strategies for Taiwan's Pension Fund." 2007. http://www.cetd.com.tw/ec/thesisdetail.aspx?etdun=U0001-2407200722160800.
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Tsai, Che-sheng, and 蔡哲聖. "Effectiveness of currency hedging -- Evidence from USD against NTD." Thesis, 2012. http://ndltd.ncl.edu.tw/handle/91471110332828553241.
Full textAbstract:
碩士<br>國立交通大學<br>管理學院財務金融學程<br>100<br>Following the accelerating pace of globalization, trade between countries has become much more frequent and thus the topic of exchange risk management has become important. Researchers from different countries have been exploring and raising different opinions regarding hedging strategies, theories, tools, periods in foreign exchange rates. However, the conclusions based on their studies might not be applicable in Taiwan since each individual country has different restrictions based on their own foreign exchange policies and regulations and the market environments are not similar as well. As for the research within Taiwan, the derivative prices which are used in the model cannot be obtained easily. Hence, they are often substituted with numbers from calculations based on pricing theory and this may be too idealized. The objective of this study is to analyze the effectiveness of various hedging strategies using the actual transaction price based on different periods. This study may be used as a reference for enterprises, investors, government and other foreign market participants when they deal with the corresponding hedging strategies.
The empirical findings of this study showed：
1. According to the traditional theory, the hedging effects of forward and options are close but on the whole, options is still better. This is especially evident when it comes to selective strategy.
2. Portfolio theory is a more effective than traditional theory and the optimal hedge ratio method performance.
3. The most effective hedging period will be one month to three months when there are no special financial issues, government interventions or any other external factors.
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Ko, AiLin, and 柯藹琳. "Behavior Study on Currency Hedging Using Foreign Currency Derivatives-Case Study of Chunghwa Telecom Co." Thesis, 2008. http://ndltd.ncl.edu.tw/handle/60767141677120287052.
Full textAbstract:
碩士<br>國立交通大學<br>企業管理碩士學程<br>96<br>The using ratio of foreign derivatives is getting higher by year in Taiwan foreign currency transactions. However, historically, since the mid-1980s there have been some spectacular losses in American derivative market. Surprisingly, of the conservative Taiwan currency market, Chunghwa Telecom Co. (CT) announced that it’s unrealized currency lost reached 4 billion NT dollars as a result of trading a 10-year, 1.4 billion notional amount foreign currency derivative. Because this mishap is hard to be seen in Taiwan currency market, our study will be illustrated by this case at first, from why Chunghwa Telecom Co. chose this financial instrument to hedge, what impact have been made on CT to what proper actions should be taken by CT in order to clear so many irrational decisions made by CT. Furthermore, this study aims to propose the proper attitude an enterprise should has from the view of Behavioral Finance when using foreign currency derivatives, standard or exotic derivatives, to hedge before choosing the most suitable derivatives. The main discoveries and arguments are as follows:
1. The hedging brings CT a lost around a few millions per period in cash flow. However, its Fair-value has to be listed on income statement because of its trading purpose. Thus, this hedging made a small impact on working capital but a sheer drop in EPS.
2. Explained by the theory of over confidence and blind optimism, the aberration in decision behavior of CT could result from the framework of hedging cost, the change of finance policy and enterprise environment, representativeness heuristic in the intervention of central bank of the republic of China, hindsight in the forecast of exchange rate.
3. Suggest CT continue this hedging contract until the opportune time.
4. From the view of corporate governance, unfamiliarity with derivatives and lack of risk analysis made this hedging proposal approved too easily. Thus, not only the hedger and manager but also the board should be responsible for the losses of investors.
5. Besides choosing the most suitable hedging instrument, enterprise is suggested to examine its attitude from 3 aspects: ensure you fully understand the trades you are doing, ensure a hedger does not become a speculator, and ensure you thoroughly forecast exchange rate. Finally, consult with your certifying certified public accountant.