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Tesi sul tema "Currency hedging"

Autore: Grafiati

Pubblicato: 4 giugno 2021

Ultima modifica: 19 febbraio 2022

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1

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 shor

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3

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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Submitted by Alexander Buck (alexanderwolfram.buck@student.unisg.ch) on 2017-12-13T18:40:57Z No. of bitstreams: 1 Alexander Buck_Masters Thesis.pdf: 814162 bytes, checksum: 581ec59995af7545d603be8b2da6e30e (MD5)<br>Rejected by Josineide da Silva Santos Locatelli (josineide.locatelli@fgv.br), reason: Dear Alexander, There are some corrections to do in your thesis, please, see below: Page 2: in Knowledge Field, put your advisor field: Economia E Finanças Internacionais; Page 4: in Knowledge Field, put your advisor field: Economia E Finanças Internacionais; ACKNOWLEDGMENT, Abstract, Re

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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/Z

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5

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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6

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

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7

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

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8

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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9

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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10

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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11

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 contrac

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12

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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13

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 tha

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14

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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15

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

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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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17

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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18

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 adv

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19

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 hed

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20

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,

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21

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 ri

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22

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 m

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23

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

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24

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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25

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

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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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27

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

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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 fi

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31

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 again

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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 aprese

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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 ma

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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 sy

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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 currenc

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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

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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

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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.

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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

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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.

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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 ris

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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.

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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

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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.

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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 marke

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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.

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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 hed

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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.

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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 d

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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.

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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 pre

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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.

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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 envir

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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.

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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 b

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