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.

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.

Ladygienė, Živilė. (2007) Valiutinės rizikos valdymas įmonėje. Magistro baigiamasis darbas. Kaunas Vilniaus Universiteteas, Kauno humanitarinis fakultetas. 61 p. SANTRAUKA Raktiniai žodžiai: Valiuta, valiutos kursas, valiutinė rizika, valiutinės rizikos valdymas, apsidraudimo priemonės. Darbo objektas – valiutinės rizikos valdymas. Darbo tikslas: Pateikti įmonei valiutinės rizikos valdymo sistemą. Darbo uždaviniai: 1. Apžvelgti veiksnius kurie turi įtakos valiutinės rizikos atsiradimui. 2. Įvertinti patiriamos rizikos lygį tiriamojoje įmonėje panaudojant matematines skaičiuotes. 3. Išnagrinėti priemones kurios gali turėti įtakos valiutinės rizikos valdymui. 4. Pateikti pasiūlymus kaip įmonė gali valdyti valiutinę riziką. Darbo rezultatai. Pasirinktas valiutinės rizikos valdymo modelis suteikia galimybes įvertinti valiutinę riziką, pasirinkti adekvačias apsidraudimo priemones ir prognozuoti laukiamus rezultatus. Šis modelis apima visus valiutinės rizikos valdymo ciklus. Tai leidžia įmonei išmatuoti riziką, pasirinkti finansinius valiutinės rizikos valdymo instrumentus. Pagal valiutinės rizikos valdymo modelį buvo sudarytas valiutinis balansas, apskaičiuota atvira užsienio valiutos pozicija, variacijos/kovariacijos metodu apskaičiuota rizikos vertė, parinktos tinkamiausios apsidraudimo primonės valiutinei rizikai valdyti. Buvo palyginti nuostoliai kuriuos patyrė įmonė nevaldydama valiutinės rizikos ir jei būtų pritaikytos išvestinės apsidraudimo priemonės, įmonė būtų patyrusi... [toliau žr. visą tekstą] / Ladygienė, Živilė. (2007) Currency risk managament in enterprise. MBA Graduation Paper: Kaunas Faculty of Humanities, Vilnius University. 61 p. SUMMARY Keywors: currency, currency exchange rate, currency risk, currency risk managament, hedging instruments. The object of a scientific research – currency exchange risk management. Tasks: 1) to systematise the factors influencing currency exchange risk; 2) to assess the level of risk in enterprise; 3) to analyze modern hedging methods and means aimed to control currency exchange rate risk and determine the possibility of their application in enterprise; 4) to proffer suggestion how enterprise can manage currency risk. Choosed currency exchange rate risk management model gives conditions to realistically estimate currency exchange rate risk, choose adequate hedging instruments and forecast financial results for an enterprise. This model covers all the stages of the management cycle of currency exchange rate risk. Using this model made: currency exchange balance and calculation of open currency exchange positions for determining the risk; quantitative measurement variance/covariance method for measuring risk; choosing hedging means and instruments based on terms. It allows enterprise to measure the risk, choose adequate risk management instruments, forecast financial result and cash flows of the enterprise. The results of currency exchange rate risk managing in enterprise were that damage of rate risk was 10 times smoler when not... [to full text]

[pt] Esta dissertação estuda o fenômeno da correlação positiva entre o risco país e o risco cambial. A presença deste fenômeno é nociva às economias, pois as torna mais vulneráveis a choques recessivos. O trabalho busca, primeiramente, identificar qual a extensão do fenômeno separando uma amostra de 25 países em dois grupos: os que apresentam correlação positiva entre o risco país e o risco cambial e os que não apresentam. Baseado nesta divisão, em seguida é feita uma investigação de quais seriam os fatores determinantes do fenômeno. Os resultados indicam que o descasamento cambial e o baixo grau de aprofundamento financeiro estão fortemente associados com a presença do fenômeno. / [en] This dissertation studies the positive correlation between country and currency risks observed in some countries. The presence of this phenomenon is harmful to the economies, since it brings more vulnerability to recessive shocks. The first aim of this paper is to identify the extension of this phenomenon by separating a sample of 25 countries in two groups: the one where the positive correlation is observed and the one where it is not. Based on that that taxonomy, it is implemented an investigation on what are the factors responsible for the phenomenon. The results show that exchange rate mismatch and underdeveloped financial markets are strongly associated with the presence of positive correlation between the two risks.

This paper deals with the management of foreign exchange risk and focuses on ŠKODA JS a.s. Its aim is to evaluate the process of risk managing in the company, assuming that foreign exchange risk has a substantial impact on business. The analysis itself is based on interpretation of foreign exchange position, forecasts of both exchange rate and expected losses, explicit hedge strategy and details of financial derivatives used for hedging.

Diploma thesis is focused on analysis and comparison using financial derivatives to hedge currency risk. The first part of the thesis describes instruments used for hedging: forex forwards, futures contracts and currency options. Those instruments are used for back-testing in analytical part, currency crosses used for back-testing are EUR/USD, EUR/GBP and GBP/USD. The main goal of this thesis is to evaluate the posibility of using them to hedge currency risk, comparison of their efectivity and application.

This master’s thesis explains what the term risk means, how the project of risk management is running and financial risks existing in the company ABC, s.r.o. are described. These risks are currency risk, credit risk and liquidity risk. The methods of their analysis and measurement and also instruments are stated. These procedures and project of the risk management are explained.

Diese Dissertation widmet sich der Identifikation von Währungsrisiko sowie der Analyse der Determinanten von Währungsrisiko sowie des ökonomischen Effektes.

Thesis (M.M. (Finance & Investment))--University of the Witwatersrand, Faculty of Commerce, Law and Management, Graduate School of Business Administration, 2014. / Corporate Risk management has become very important for firms who are exposed to markets risks. A firm that manages the market risks it is exposed to efficiently can ensure it remains solvent in times of extreme market volatility. This paper looks at the hedging activities of South African Airways over a 10 year period where the airline experienced significant losses due to volatility in the Rand Exchange Rate and Crude Oil prices.

This thesis studies currency premia and their connections with macroeconomics. In the first essay, I link currency premia to capital-output ratios and the well-known “Lucas Paradox”. The “Lucas Paradox” states that there are large and persistent differences in capital-output ratios across countries, suggesting capital is not flowing to countries where it is relatively scarce. In the data, capital-output ratios vary a lot cross-sectionally even within developed countries, and they are negatively correlated with currency risk premia and risk-free rates. To rationalize these patterns, I build a quantitative multi-country model of capital accumulation with external habit and heterogeneous exposures to a global productivity shock. I show that currency risk in this model generates cross-country variations in risk-free rates and capital-output ratios that are consistent with the data. I estimate the model using GDP data from countries issuing the G10 currencies and find two main results: (1) The heterogenous loadings that I extract from GDP data alone are highly correlated with capital-output ratios; and (2) when I feed the estimated loadings into the model, model-generated capital-output ratios account for roughly 55% of the cross-country variation in the data. I conclude that variation in currency risk and therefore currency risk premia have significant effects on the real economy. In the second essay, I identify a quantitative puzzle when using canonical consumption-based asset pricing models to match currency premia under complete markets. Canonical long-run risk and habit models induce a strong, negative correlation between the variance and the mean of the log stochastic discount factor to address the well-known equity premium puzzle. When applied to an open economy with complete markets, this key feature requires that differences in currency returns should arise primarily from predictable appreciations, a requirement that is at odds with the data. We term this tension between a high equity premium, smooth risk-free rates, and largely unpredictable exchange rates the currency premium puzzle and argue it is the underlying reason why existing international asset pricing models have struggled to simultaneously match data on currency returns, equity returns, and risk-free rates. In the third essay, I show that perturbation methods lead to significant computational errors when used to solve international risk-sharing models with Epstein and Zin (1989) preferences. In particular, if countries feature different sizes, the simulating results violate law of iterated expectations. Even under symmetric setups, the errors along a typical simulation path are non-negligible. I conclude that perturbation-based solutions of EZ risk-sharing models should be used with caution.