Examination of basic currency risk hedging approaches for non-financial institutions

Result code in IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F07%3A00014635" target="_blank" >RIV/61989100:27510/07:00014635 - isvavai.cz</a>

Result on the web

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DOI - Digital Object Identifier

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Result language

čeština

Original language name

Posouzení základních metod hedgingu měnového rizika nefinančních institucí

Original language description

By using the term hedging the elimination of financial risks (stock price risk, foreign currency exchange rate risk, commodity price risk, interest rate risk, etc.) is commonly understood. Usually, it can be done by opening positions in financial derivatives, such as forwards, futures, swaps or options. In this paper we examine the simplest hedging strategies (forward and vanilla options). We suppose a producing-like company with exposition to the foreign currency exchange rate risk. We compare variousstrategies considering possible riskless rate differences (zero, positive, negative) and we also study the effect of true drifts.

Czech name

Posouzení základních metod hedgingu měnového rizika nefinančních institucí

Czech description

By using the term hedging the elimination of financial risks (stock price risk, foreign currency exchange rate risk, commodity price risk, interest rate risk, etc.) is commonly understood. Usually, it can be done by opening positions in financial derivatives, such as forwards, futures, swaps or options. In this paper we examine the simplest hedging strategies (forward and vanilla options). We suppose a producing-like company with exposition to the foreign currency exchange rate risk. We compare variousstrategies considering possible riskless rate differences (zero, positive, negative) and we also study the effect of true drifts.

Type

J_x - Unclassified - Peer-reviewed scientific article (Jimp, Jsc and Jost)

CEP classification

AH - Economics

OECD FORD branch

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Project

<a href="/en/project/GP402%2F05%2FP085" target="_blank" >GP402/05/P085: Application of replication methods in pricing and hedging of financial derivatives at non-perfect market</a><br>

Continuities

P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Publication year

2007

Confidentiality

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Name of the periodical

Ekonomická revue

ISSN

1212-3951

e-ISSN

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Volume of the periodical

10

Issue of the periodical within the volume

1

Country of publishing house

CZ - CZECH REPUBLIC

Number of pages

17

Pages from-to

24-41

UT code for WoS article

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EID of the result in the Scopus database

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