Relevant bibliographies by topics / Rate hedging

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  1. Journal articles
  2. Dissertations / Theses
  3. Books
  4. Book chapters
  5. Conference papers
  6. Reports

Academic literature on the topic 'Rate hedging'

Author: Grafiati
Published: 4 June 2021
Last updated: 17 February 2022

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Journal articles on the topic "Rate hedging"

1

Finnerty, Joseph E. "HEDGING THE PRIME RATE." Financial Review 20, no. 3 (August 1985): 39. http://dx.doi.org/10.1111/j.1540-6288.1985.tb00217.x.

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BLACK, FISCHER. "Equilibrium Exchange Rate Hedging." Journal of Finance 45, no. 3 (July 1990): 899–907. http://dx.doi.org/10.1111/j.1540-6261.1990.tb05111.x.

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Broll, Udo, Jack E. Wahl, and Christoph Wessel. "Export, Exchange Rate Risk and Hedging: The Duopoly Case." German Economic Review 12, no. 4 (December 1, 2011): 490–502. http://dx.doi.org/10.1111/j.1468-0475.2011.00531.x.

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Abstract This paper studies a Cournot duopoly in international trade with firms exposed to exchange rate risk. A hedging opportunity is introduced by a forward market on which one firm can trade the foreign currency.We investigate two settings: First, we assume that hedging and output decisions are taken simultaneously. It is shown that hedging is exclusively done for risk-managing reasons as it is not possible to use hedging strategically. Second, the hedging decision is made before the output decisions. We show that hedging is not only used to manage the risk exposure but also as a strategic device.
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Ghosh, Asim. "Hedging With Interest Rate Futures." Journal of Fixed Income 3, no. 1 (June 30, 1993): 72–79. http://dx.doi.org/10.3905/jfi.1993.408072.

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KAUFFMAN, THOMAS D., and STEPHEN B. DOPPLER. "Hedging a Commodity Power Rate." Natural Resources Forum 10, no. 2 (May 1986): 173–79. http://dx.doi.org/10.1111/j.1477-8947.1986.tb00792.x.

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Brealey, R. A., and E. C. Kaplanis. "Discrete exchange rate hedging strategies." Journal of Banking & Finance 19, no. 5 (August 1995): 765–84. http://dx.doi.org/10.1016/0378-4266(95)00089-y.

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Bartram, Söhnke M., and Gordon M. Bodnar. "The exchange rate exposure puzzle." Managerial Finance 33, no. 9 (August 7, 2007): 642–66. http://dx.doi.org/10.1108/03074350710776226.

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PurposeBased on basic financial models and reports in the business press, exchange rate movements are generally believed to affect the value of nonfinancial firms. In contrast, the empirical research on nonfinancial firms typically produces fewer significant exposures estimates than researchers expect, independent of the sample studied and the methodology used, giving rise to a situation known as “the exposure puzzle”. To this end, this paper aims to systematically analyze the existing empirical evidence of the exposure phenomenon and to attempt to understand the possible source of the exposure puzzle.Design/methodology/approachThe paper provides a survey of the existing research on the exposure phenomenon for nonfinancial firms. A simple model of exposure elasticity is also used to demonstrate the substantial impact of operational hedging on exposure elasticities. Furthermore, the evidence on the nature of firms’ financial derivative usage is considered.FindingsIt is suggested that the exposure puzzle may not be a problem of empirical methodology or sample selection as previous research has suggested, but is simply the result of the endogeneity of operative and financial hedging at the firm level. Given that empirical tests estimate exchange exposures net of corporate hedging, both firms with low gross exposures that do not need to hedge and firms with large gross exposures that employ one or several forms of hedging, may exhibit only weak exchange rate exposures net of hedging. Consequently, empirical tests yield only small percentages of firms with significant stock price exposures in almost any sample.Originality/valueIf firms react rationally to their exposures, most firms will either have no exposure to start with, or reduce their exposure to levels that may be too small to detect empirically. Consequently, the exposure puzzle may not be a problem with methodology or theory, but mainly the result of endogeneity of operative and financial hedging at the firm level.
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Bueno-Guerrero, Alberto. "Interest rate option hedging portfolios without bank account." Studies in Economics and Finance 37, no. 1 (September 20, 2019): 134–42. http://dx.doi.org/10.1108/sef-02-2019-0058.

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Purpose This paper aims to study the conditions for the hedging portfolio of any contingent claim on bonds to have no bank account part. Design/methodology/approach Hedging and Malliavin calculus techniques recently developed under a stochastic string framework are applied. Findings A necessary and sufficient condition for the hedging portfolio to have no bank account part is found. This condition is applied to a barrier option, and an example of a contingent claim whose hedging portfolio has a bank account part different from zero is provided. Originality/value To the best of the authors’ knowledge, this is the first time that this issue has been addressed in the literature.
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Badshah, Imtiaz, and Trond-Arne Borgersen. "Management of Exchange Rate Risk in SMEs." SEISENSE Journal of Management 3, no. 6 (November 11, 2020): 35–49. http://dx.doi.org/10.33215/sjom.v3i6.474.

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Exchange rate fluctuations represent a challenge for the internationalization of all firms, both big and small. This paper reflects on two aspects of the exchange rate challenge - (i) the exchange rate pass-through and (ii) hedging of exchange rate risk and how SMEs manage these two aspects of exchange rate risk. The exchange rate challenges that SMEs face might differ from the risks larger firms are exposed to, and their management of the risks might vary. In family-owned SMEs, longer planning horizons than listed firms might imply a weaker exchange rate pass-through, while smaller financial buffers might pull pass-through rules in the opposite direction for the same SMEs. When considering hedging, the paper argues for both operational hedging and external hedging to represent a management challenge for SMEs, pushing the exchange rate risk towards the forefront of the factors hampering internationalization among SMEs.
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Jiménez-Gómez, Miguel, Natalia Acevedo-Prins, and Miguel Rojas-López. "Evaluation of options portfolios for exchange rate hedges." Indonesian Journal of Electrical Engineering and Computer Science 21, no. 1 (January 1, 2021): 406. http://dx.doi.org/10.11591/ijeecs.v21.i1.pp406-411.

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<p><span>In this paper evaluate six exchange rate hedging strategies with financial options from the OTC market in Colombia. Three hedging strategies for importers and three for exporters were raised. The coverage for importers was carried out with the traditional strategy of long call, bull call spread and bull put spread, the last two correspond to options portfolios. the coverage for importers was carried out with the traditional strategy of long put, bear call spread and bear put spread, the last two correspond to options portfolios. to determine the best hedging strategy, the currency price was modeled with a Wiener process and the VaR for the six covered scenarios was calculated and compared with the VaR of the uncovered scenario. The results shown by the six hedging strategies manage to mitigate the exchange risk, but the most efficient strategies are the traditional ones for both importers and exporters.</span></p>
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Dissertations / Theses on the topic "Rate hedging"

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Jangenstål, Lovisa. "Hedging Interest Rate Swaps." Thesis, KTH, Matematisk statistik, 2015. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-169390.

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This thesis investigates hedging strategies for a book of interest rate swaps of the currencies EUR and SEK. The aim is to minimize the variance of the portfolio and keep the transaction costs down. The analysis is performed using historical simulation for two different cases. First, with the real changes of the forward rate curve and the discount curve. Then, with principal component analysis to reduce the dimension of the changes in the curves. These methods are compared with a method using the principal component variance to randomize new principal components.
Den här uppsatsen undersöker hedgingstrategier för en portfölj bestående av ränteswapar i valutorna EUR och SEK. Syftet är att minimera portföljens varians och samtidigt minimera transaktionskostnaderna. Analysen genomförs med historisk simulering för två olika fall. Först med de verkliga förändringarna i forward- och diskonteringskurvorna. Sedan med hjälp av principalkomponentanalys för att reducera dimensionen av förändringarna i kurvorna. Dessa metoder jämförs med en metod som använder principalkomponenternas varians för att slumpa ut nya principalkomponenter.
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Wanga, Godwill George. "Hedging Exchange Rate Risks." ScholarWorks, 2017. https://scholarworks.waldenu.edu/dissertations/3373.

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Risks associated with fluctuating exchange rates affect investment cost and investor profitability. Approximately 50% of firms in emerging markets have significant exposure to fluctuating exchange rates. Grounded in principal-agent theory (PAT), the purpose of this case study was to explore hedging strategies to mitigate risks of fluctuating exchange rates. The population comprised a census sampling of 12 bank hedgers (risk managers and controllers) in Dar es Salaam in Tanzania, East Africa. Data collection involved semistructured interviews, casual observations of the work environment, and analysis of reports including risk management, internal control, and compliance policies. Data were analyzed by coding and grouping narrative segments and significant statements into themes of participants' experience in hedging exchange rate risks. Method triangulation and member checking were used to increase the trustworthiness of interpretations. Four themes emerged directly related to the PAT conceptual framework: training and skills development, management of hedging strategies and contracts, corporate governance, and benefits to management and the organization through effective compensation programs. A focus on training and skill development helped develop appropriate exchange rate hedging strategies and corporate governance improved compliance with laws, regulations, and policies. The benefits of effective hedging strategies include a reduction in cost and increase in profitability. The findings may help improve the soundness of professional hedging practices, which will increase the stability of the Tanzanian banking system.
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Ziervogel, Graham. "Hedging performance of interest-rate models." Master's thesis, University of Cape Town, 2016. http://hdl.handle.net/11427/20482.

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This dissertation is a hedging back-study which assesses the effectiveness of interest- rate modelling and the hedging of interest-rate derivatives. Caps that trade in the Johannesburg swap market are hedged using two short-rate models, namely the Hull and White (1990) one-factor model and the subsequent Hull and White (1994) two-factor extension. This is achieved by using the equivalent Gaussian additive-factor models (G1++ and G2++) outlined by Brigo and Mercurio (2007). The hedges are constructed using different combinations of theoretical zero-coupon bonds. A flexible factor hedging method is proposed by the author and the bucket hedging technique detailed by Driessen, Klaasen and Melenberg (2003) is tested. The results obtained support the claims made by Gupta and Subrahmanyam (2005), Fan, Gupta and Ritchken (2007) and others in the literature that multi-factor models outperform one-factor models in hedging interest-rate derivatives. It is also shown that the choice of hedge instruments can significantly influence hedge performance. Notably, a larger set of hedge instruments and the use of hedge instruments with the same maturity as the derivative improve hedging accuracy. However, no evidence to support the finding of Driessen et al. (2003) that a larger set of hedge instruments can remove the need for a multi-factor model is found.
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Vocke, Carsten. "Hedging with multi-factor interest rate models /." [St. Gallen] : [s.n.], 2005. http://www.gbv.de/dms/zbw/503121223.pdf.

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Suppakitjarak, Nathridee. "International portfolio diversification and hedging exchange rate risk." Thesis, University of Birmingham, 1998. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.668332.

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Bhamani, Feroz. "Hedging Interest-Rate Options Using Principal Components Analysis." Master's thesis, University of Cape Town, 2018. http://hdl.handle.net/11427/29250.

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It is often a goal of the risk management of a portfolio of interest rate sensitive instruments to minimize the impact of movements in market rates on the value of the portfolio. This can be done by considering the sensitivity of the portfolio to each of the market rates that are used to bootstrap a yield curve. However, this is likely to lead to an excessive amount of trading due to an investment in a large number of hedging securities. As an alternative, we consider using principal components analysis (PCA) to condense most of the variability in the market rates into a much smaller number of risk factors, called the principal components. One can then construct a hedging portfolio so as to make the portfolio immune to shocks in these principal components, and hence to the most common movements in the yield curve. We compare the effectiveness of these two hedging strategies for hedging a portfolio of interest-rate options, both in the absence and presence of transaction costs. We also consider the additional feature of being able to update each hedging methodology on a daily basis and rebalance the hedge portfolios accordingly.
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Strom, Christopher Solon. "Pricing and hedging in an incomplete interest rate market." Thesis, University College London (University of London), 2008. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.506807.

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This thesis explores pricing models for interest rate markets. The model used to ':describe the short rate is based on the discontinuous shot noise process. As a consequence the market is incomplete, meaning that not all securities contingent on the short rate can be replicated perfectly with a dynamically adjusted portfolio of a bond and cash. This framework is still consistent with the absence of arbitrage as evidenced by the existence of an equivalent martingale measure. This measure is not unique, however, due to the incompleteness of the market. Two approaches to pricing contingent claims are pursued. The first, risk-neutral pricing, evaluates the expected value of the pay-off at expiration under an equivalent martingale measure. A parameterized class of martingales, based on the Esscher transform, allows for the definition of a flexible set of equivalent martingale measures and results in a formula for the conditional joint Laplace transform of the short rate and its time-integral. The pricing formula for a discount bond follows trivially from these results. A method for pricing a European call option is also proposed, requiring numerical inversion of the aforementioned Laplace transform. The second approach, mean-variance hedging, addresses the incompleteness of the market. A contingent claim is priced by forming a portfolio of a bond and cash. The portfolio is dynamically updated to .mimic the pay-off of the claim at expiration. The replicating portfolio is restricted to be self-financing and predictable. This approach leads to a closed-form pricing formula for a discount bond and formulae for European call and put options, requiring the numerical Laplace inversion methods mentioned above. All this is in the context of a discrete-time model that includes as a special case a discrete-time version of the shot noise process.
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Kamgaing, Moyo Clinsort. "Optimal hedging under price, quantity and exchange rate uncertainty." Thesis, Massachusetts Institute of Technology, 1986. http://hdl.handle.net/1721.1/37696.

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Thesis (M.S.)--Massachusetts Institute of Technology, Sloan School of Management, 1986.
MICROFICHE COPY AVAILABLE IN ARCHIVES AND DEWEY
Bibliography: leaf 46.
by Moyo Clinsort Kamgaing.
M.S.
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Thomas, Michael Patrick. "Long term extrapolation and hedging of the South African yield curve." Diss., Pretoria : [s.n.], 2009. http://upetd.up.ac.za/thesis/available/etd-06172009-085254.

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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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Books on the topic "Rate hedging"

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Black, Fischer. Equilibrium exchange rate hedging. Cambridge, MA: National Bureau of Economic Research, 1989.

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Murphy, J. Austin. Hedging fixed-rate mortgage investments against interest-rate risk. 4th ed. Washington, D.C. (1700 G St., NW, Washington 20552): Federal Home Loan Bank Board, Office of Policy and Economic Research, 1989.

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Murphy, J. Austin. Hedging fixed-rate mortgage investments against interest-rate risk. 4th ed. Washington, D.C. (1700 G St., NW, Washington 20552): Federal Home Loan Bank Board, Office of Policy and Economic Research, 1989.

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Murphy, J. Austin. Hedging fixed-rate mortgage investments against interest-rate risk. 4th ed. Washington, D.C. (1700 G St., NW, Washington 20552): Federal Home Loan Bank Board, Office of Policy and Economic Research, 1989.

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Murphy, J. Austin. Hedging fixed-rate mortgage investments against interest-rate risk. 4th ed. Washington, D.C. (1700 G St., NW, Washington 20552): Federal Home Loan Bank Board, Office of Policy and Economic Research, 1989.

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Murphy, J. Austin. Hedging fixed-rate mortgage investments against interest-rate risk. 4th ed. Washington, D.C. (1700 G St., NW, Washington 20552): Federal Home Loan Bank Board, Office of Policy and Economic Research, 1989.

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J, Fabozzi Frank, ed. Interest rate futures and options. Chicago, Ill: Probus Pub. Co., 1990.

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Levi, Maurice D. Erroneous and valid reasons for hedging foreign exchange rate exposure. Brussels: European Institute For Advanced Studies in Management, 1989.

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Kanas, Angelos. Modelling exchange rate operating exposure and hedging implications. Birmingham: Aston Business School, 1992.

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Suppakitjarak, Nathridee. International portofolio diversification and hedging exchange rate risk. Birmingham: University of Birmingham, 1998.

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Book chapters on the topic "Rate hedging"

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Cesari, Giovanni, John Aquilina, Niels Charpillon, Zlatko Filipović, Gordon Lee, and Ion Manda. "Interest-Rate Products." In Modelling, Pricing, and Hedging Counterparty Credit Exposure, 149–57. Berlin, Heidelberg: Springer Berlin Heidelberg, 2009. http://dx.doi.org/10.1007/978-3-642-04454-0_8.

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Narroway, Simon. "Hedging Currency and Interest Rate Risks." In BIEC Yearbook 1989–1990, 137–53. London: Macmillan Education UK, 1989. http://dx.doi.org/10.1007/978-1-349-11350-7_18.

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Kienitz, Jörg, and Peter Caspers. "More Exotic Features and Basis Risk Hedging." In Interest Rate Derivatives Explained: Volume 2, 45–55. London: Palgrave Macmillan UK, 2017. http://dx.doi.org/10.1057/978-1-137-36019-9_4.

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Ullrich, Christian. "Exchange Rate Hedging in a Simulation/Optimization Framework." In Lecture Notes in Economics and Mathematical Systems, 185–88. Berlin, Heidelberg: Springer Berlin Heidelberg, 2009. http://dx.doi.org/10.1007/978-3-642-00495-7_17.

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Martellini, Lionel, Philippe Priaulet, Frank J. Fabozzi, and Michael Luo. "Hedging Interest Rate Risk with Term Structure Factor Models." In Advanced Bond Portfolio Management, 267–89. Hoboken, NJ, USA: John Wiley & Sons, Inc., 2015. http://dx.doi.org/10.1002/9781119201151.ch11.

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Ahn, Dong-Hyun, Jacob Boudoukh, Matthew Richardson, and Robert F. Whitelaw. "Hedging the interest rate risk of Bradys: the case of Argentinian fixed and floating-rate bonds." In The New York University Salomon Center Series on Financial Markets and Institutions, 307–17. Boston, MA: Springer US, 1998. http://dx.doi.org/10.1007/978-1-4615-6197-2_18.

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Evans, Martin D. "Comments on ‘Hedging the interest rate risk of Brady bonds’ by Ahn, Boudoukh, Richardson and Whitelaw." In The New York University Salomon Center Series on Financial Markets and Institutions, 375–79. Boston, MA: Springer US, 1998. http://dx.doi.org/10.1007/978-1-4615-6197-2_22.

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Friberg, Richard. "The Instruments Commonly Used for Hedging." In Exchange Rates and the Firm, 33–35. London: Palgrave Macmillan UK, 1999. http://dx.doi.org/10.1057/9780333982372_5.

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Stojanovic, Srdjan. "FX Rates and FX Derivatives." In Neutral and Indifference Portfolio Pricing, Hedging and Investing, 201–47. New York, NY: Springer New York, 2011. http://dx.doi.org/10.1007/978-0-387-71418-9_7.

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Kasikov, Kristjan. "Currency Hedging for International Bond and Equity Investors." In Handbook of Exchange Rates, 503–43. Hoboken, NJ, USA: John Wiley & Sons, Inc., 2012. http://dx.doi.org/10.1002/9781118445785.ch18.

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Conference papers on the topic "Rate hedging"

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Dömötör, Barbara, and Daniel Havran. "Risk Modeling Of Eur/Huf Exchange Rate Hedging Strategies." In 25th Conference on Modelling and Simulation. ECMS, 2011. http://dx.doi.org/10.7148/2011-0269-0274.

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Díaz Restrepo, Carlos Andrés, and Marlen Isabel Redondo Ramírez. "Efficiency of Option Market as an Exchange Rate Risk Hedging Instrument." In 3rd International Conference on Management, Economics and Finance. Acavent, 2021. http://dx.doi.org/10.33422/3rd.icmef.2021.02.20.

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Juan, Du, Ni De-bing, and Tang Xiao-wo. "Exchange rate risk hedging and wholesale price contract under demand and exchange rate risk pooling." In 2014 11th International Conference on Service Systems and Service Management (ICSSSM). IEEE, 2014. http://dx.doi.org/10.1109/icsssm.2014.6943385.

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Reports on the topic "Rate hedging"

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Black, Fischer. Equilibrium Exchange Rate Hedging. Cambridge, MA: National Bureau of Economic Research, April 1989. http://dx.doi.org/10.3386/w2947.

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Burnside, Craig, Martin Eichenbaum, and Sergio Rebelo. Hedging and Financial Fragility in Fixed Exchange Rate Regimes. Cambridge, MA: National Bureau of Economic Research, May 1999. http://dx.doi.org/10.3386/w7143.

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Vásquez, Diego Mauricio, and Camilo Zea. Hedging alternatives for the mortgage stabilization fund (FRECH): european cap options for the real interest rate. Bogotá, Colombia: Banco de la República, October 2003. http://dx.doi.org/10.32468/be.265.

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Rincón-Torres, Andrey Duván, Kimberly Rojas-Silva, and Juan Manuel Julio-Román. The Interdependence of FX and Treasury Bonds Markets: The Case of Colombia. Banco de la República, September 2021. http://dx.doi.org/10.32468/be.1171.

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We study the interdependence of FX and Treasury Bonds (TES) markets in Colombia. To do this, we estimate a heteroskedasticity identified VAR model on the returns of the COP/USD exchange rate (TRM) and bond prices, as well as event-analysis models for return volatilities, number of quotes, quote volume, and bid/ask spreads. The data under analysis consists of 5-minute intraday bid/ask US dollar prices and bond quotes, for an assortment of bond species. For these species we also have the number of bid/ask quotes as well as their volume. We found, also, that the exchange rate conveys information to the TES market, but the opposite does not completely hold: A one percent COP depreciation leads to a persistent reduction of TES prices between 0.05% and 0.22%. However, a 1% TES price increase has a very small effect and not entirely significant on the exchange rate, i.e. a COP appreciation between 0.001% and 0.009%. Furthermore, TRM return volatility increases do not affect bond return volatility but its liquidity, i.e. the bid/ask quote number and volume. These results are coherent with the fact that the FX market more efficiently reflects the effect of shocks than the TES market, which may be due to its low liquidity and concentration on a specific habitat. These results have implications for the design of financial stability policies as well as for private portfolio design, rebalancing and hedging.
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