Thesis "Foreign exchange exposure and currency risk" deals with managing foreign currency exposure and foreign exchange risks when doing business in The Czech Republic. It defines foreign exchange risk, different types of foreign exchange exposures and the possibility of its ensuring, as well as internal and external methods of reducing foreign exchange exposure and foreign exchange risk. The practical part is devoted to a particular solution, respectively to the management of foreign exchange exposure and foreign currency risk in ABC, s.r.o. company.

This thesis has an aim to create a hedging strategy for currency risks for exporting company. The main reason for hedging are possible losses that can be triggered by changes in exchange rate. In the case of exchange rate changes exporting company may face three different types of exposure: transaction, translation and economic exposure. This thesis concentrates on transaction exposure and builds a hedging strategy for exporting company AAA a.s. This firm is analyzed from qualitative side as well as from quantitative which is presented in the form of historical overview of the company and its position in international group. Based on this analysis as well as on theoretical findings, the hedging strategy for AAA a.s. was proposed. This strategy uses external and internal means of hedging.

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. / 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.

Gränsöverskridande fastighetsinvesteringar har blivit allt vanligare sedan andra hälften av 1900-talet. Idag står gränsöverskridande aktörer för en relativt stor del av den årliga transaktionsvolymen i Sverige. Samtidigt har kronan under en längre tid varit svag och fluktuerat kraftigt, inte minst under senare år. Valutarisk är en vanligt förekommande risk bland multinationella företag då de ofta har intäkter och utgifter i flera olika valutor. Tillgångsvärden och löpande intäkter kan stiga lokalt men är valutakursen ofördelaktig så kan företag istället göra en förlust på sin affär, mätt i den valutan man redovisar i. Syftet med denna studie har varit att analysera sambandet mellan den svenska kronan och utländska fastighetsinvesterares beslutsprocess när de överväger investeringar i Sverige. Studien syftade till att undersöka hur valutarisk uppfattas och hanteras i transaktionsprocesser som involverar köpare, säljare, rådgivare och finansiärer. Dessutom genomfördes försök att kvalitativt undersöka de mest utbredda valutasäkringsverktygen och strategierna som används av utländska investerare för att mildra rörelser i den svenska kronan. Studien syftade också till att utvärdera effektiviteten av befintliga valutasäkringsinstrument i fastighetsinvesteringssammanhang. Studien avslöjade att den främsta oron bland gränsöverskridande investerare är marknadens likviditet. Den svenska fastighetsmarknaden har dock uppvisat en betydande likviditet de senaste åren, vilket rönt stort intresse från utländska investerare. Den svenska kronans volatilitet och oförutsägbarhet är dock fortfarande relevanta frågor i dagens globala landskap. Baserat på studiens resultat varierade synpunkterna på effekterna av en volatil krona, och att kvantifiera dessa effekter visade sig vara utmanande. Studien visade dock att den svenska kronan har viss inverkan på utländska investerares intresse för Sverige, om än i begränsad omfattning. Även om växelkurser inte rankas bland de mest kritiska faktorerna som påverkar investeringsbeslut, visar studien att det är viktigt att inte underskatta betydelsen av att överväga växelkursens dynamik, eftersom det kan påverka avkastningen på en investering avsevärt. Särskilt för investerare som följer lågrisk-strategier så kan den svenska kronans volatilitet utgöra en betydande utmaning. Studien identifierade ett fåtal fall där utländska fastighetsinvesterare valt bort Sverige på grund av kronans volatilitet. För att minska valutarisken finns olika instrument och strategier tillgängliga. Studien fann att finansiering i lokal valuta framstod som den mest använda strategin bland utländska investerare, eftersom den naturligt säkrar sig mot växelkursfluktuationer. Andra vanliga strategier inkluderar valutaswappar och utnyttjande av terminskontrakt. Studien visade dock att dessa strategier inte är optimalt utformade för fastighetsinvesteringar, eftersom de kan vara kostsamma och ofta har korta löptider. Icke desto mindre visade resultaten att dessa instrument inte är så illa lämpade för fastighetsmarknaden som man tidigare trott, eftersom det blev tydligt tidigt i studien att de flesta investerare inte hade reflekterat över deras begränsningar. / Cross-border real estate investments have become increasingly common since the secondhalf of the 20th century. Today, cross-border actors account for a relatively large share of the annual transaction volume in Sweden. At the same time, the Swedish krona has been weak for a long time and has fluctuated considerably, not least in recent years. Currency risk is a common risk among multinational companies as they often have income and expenses in several different currencies. Asset values and current income can increase locally, but if the exchange rate is unfavorable, companies can instead make a loss on their business, measured in the currency they report in. The purpose of this study has been to analyze the relationship between the Swedish krona and the decision-making process of foreign real estate investors when considering investments in Sweden. The study aimed to investigate how currency risk is perceived and managed in transaction processes involving buyers, sellers, advisors, and financiers. In addition, attempts were made to qualitatively examine the most widespread currency hedging tools and strategies used by foreign investors to mitigate movements in the Swedish krona. The study also aimed to evaluate the effectiveness of existing currency hedging instruments in the real estate investment context. The study revealed that the main concern among cross-border investors is market liquidity. However, the Swedish real estate market has shown considerable liquidity in recent years, which has attracted considerable interest from foreign investors. However, the volatility and unpredictability of the Swedish krona remain relevant issues in today's global landscape. Based on the results of the study, views on the effects of a volatile Swedish krona varied, and quantifying these effects proved challenging. However, the study showed that the Swedish krona has some impact on foreign investors' interest in Sweden, albeit to a limited extent. Although exchange rates do not rank among the most critical factors affecting investment decisions, the study shows that it is important not to underestimate the importance of considering the dynamics of the exchange rate, as it can significantly affect the return on an investment. Especially for investors following low-risk strategies, the volatility of the Swedish krona can pose a significant challenge. The study identified a few cases where foreign real estate investors opted out of Sweden due to the volatility of the Swedish krona. To mitigate currency risk, various instruments and strategies are available. The study found that local currency financing emerged as the most widely used strategy among foreign investors, as it naturally hedges against exchange rate fluctuations. Other common strategies include currency swaps and the use of forward contracts. However, the study found that these strategies are not optimally designed for real estate investments, as they can be costly and often have short maturities. Nevertheless, the results showed that these instruments are not as poorly suited to the real estate market as previously thought, as it became clear early in the study that most investors had not reflected on their limitations.

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.

Text in Afrikkans / Summaries in English and Afrikaans / The capital-adequacy problem is essentially concerned with the amount of capital that a bank should maintain in order to conduct its operations in a prudent manner. Because one of the primary functions of bank capital is to act as a risk cushion for the protection of a bank's depositors, a bank's capital funds are often regarded as comprising an insurance element. The capital-adequacy concept, therefore, may be seen as part of the overall banking risk, or prudential management. An attempt has been made to indicate that bank supervisors should use not only capital ratios when analysing a bank's capital position. Other factors, such as asset quality and other financial risks, should also be taken in consideration. Financial ratio analysis, however, provides bank supervisors with useful information. When combining ratio analysis with non-quantifiable factors, bank supervisors may indeed achieve their goal of determining capital adequacy. / Die kapitaaltoereikendheidsprobleem is hoofsaaklik gebaseer op die hoeveelheid kapitaal waaroor 'n bankinstelling moet beskik, ten einde die bankbesigheid op 'n verstandige wyse te bedryf. Een van die primere funksies van kapitaal is om te dien as verliesabsorberingsbuffer ter beskerming van 'n bankinstelling se deposante, en daarom word toereikende kapitaal dikwels geag om 'n soort versekeringselement te bevat. Die konsep van kapitaaltoereikendheid kan dus beskou word as deel van die totale risikobestuurskonsep. Daar is tydens die studie gepoog om aan te dui dat banktoesighouers nie net kapitaalverhoudings behoort te gebruik om 'n bankinstelling se kapitaalposisie te ontleed nie. Ander faktore, soos batekwaliteit en antler finansiele risiko's, moet ook in ag geneem word. Finansiele verhoudingsgetalontledings voorsien banktoesighouers van waardevolle inligting. Indien verhoudingsgetalle egter met nie-gekwantifiseerde inligting gekombineer sou word, kan banktoesighouers hul doel om kapitaaltoereikendheid te bepaal, bereik. / M.Com. (Business Management)

Text in Afrikkans / Summaries in English and Afrikaans / The capital-adequacy problem is essentially concerned with the amount of capital that a bank should maintain in order to conduct its operations in a prudent manner. Because one of the primary functions of bank capital is to act as a risk cushion for the protection of a bank's depositors, a bank's capital funds are often regarded as comprising an insurance element. The capital-adequacy concept, therefore, may be seen as part of the overall banking risk, or prudential management. An attempt has been made to indicate that bank supervisors should use not only capital ratios when analysing a bank's capital position. Other factors, such as asset quality and other financial risks, should also be taken in consideration. Financial ratio analysis, however, provides bank supervisors with useful information. When combining ratio analysis with non-quantifiable factors, bank supervisors may indeed achieve their goal of determining capital adequacy. / Die kapitaaltoereikendheidsprobleem is hoofsaaklik gebaseer op die hoeveelheid kapitaal waaroor 'n bankinstelling moet beskik, ten einde die bankbesigheid op 'n verstandige wyse te bedryf. Een van die primere funksies van kapitaal is om te dien as verliesabsorberingsbuffer ter beskerming van 'n bankinstelling se deposante, en daarom word toereikende kapitaal dikwels geag om 'n soort versekeringselement te bevat. Die konsep van kapitaaltoereikendheid kan dus beskou word as deel van die totale risikobestuurskonsep. Daar is tydens die studie gepoog om aan te dui dat banktoesighouers nie net kapitaalverhoudings behoort te gebruik om 'n bankinstelling se kapitaalposisie te ontleed nie. Ander faktore, soos batekwaliteit en antler finansiele risiko's, moet ook in ag geneem word. Finansiele verhoudingsgetalontledings voorsien banktoesighouers van waardevolle inligting. Indien verhoudingsgetalle egter met nie-gekwantifiseerde inligting gekombineer sou word, kan banktoesighouers hul doel om kapitaaltoereikendheid te bepaal, bereik. / M.Com. (Business Management)

La gestion du risque est un sujet primordial au niveau d’une entreprise et au niveau de l’Etat. Cette thèse investigue ce thème au travers de trois essais empiriques. Le premier essai s’intéresse à la gestion du risque de change par les entreprises. Les résultats montrent que les Fusions & Acquisitions transfrontalières offrent une couverture opérationnelle contre le risque de change. De plus, cette technique de couverture crée de la valeur pour les actionnaires. La baisse de l’exposition au risque de change (en valeur absolue) est positivement associée avec les rentabilités anormales cumulées (CAR) pour les acquéreurs. Le deuxième et le troisième essai se concentrent sur la gestion du risque au niveau de l’État - le plan de sauvetage (dit « plan Paulson ») pendant la crise financière récente aux États-Unis. Le deuxième essai confirme dans un premier temps l’effet positif du plan sur les CAR et la réduction des probabilités de défaut pour les banques participantes autour de son annonce initiale. Pourtant, l’effet du plan n’est pas neutre au sein des banques : les grands joueurs ont été les gagnants. Le dernier essai analyse les effets de bord du plan Paulson sur les pratiques d’octroi de prêts. Nos résultats révèlent qu’il y a un effet de bord positif et significatif de l’intervention gouvernementale sur la maturité des prêts syndiqués pendant la période postérieure à la crise, de 2010 à 2012. Néanmoins, cet impact positif n’apparaît pas pour la taille des prêts syndiqués. En somme, cette thèse empirique met en lumière d’une part les moyens efficaces d’une gestion du risque de change pour les entreprises, comme par exemple la couverture opérationnelle, et ses implications positives pour les actionnaires des acquéreurs, et d’autre part les résultats attendus d’une intervention de l’Etat, comme celle du plan Paulson, les effets de bord et les effets hétérogènes entre les établissements financiers. / The risk management is a crucially important topic at firm and country level. This thesis investigates this subject across three empirical essays. The first essay is interested in firm’s currency risk management. The results show that the cross-border Mergers & Acquisitions offer an operational hedging to the currency risk. Moreover, this hedging creates value for acquirers’ shareholders. The decrease in currency risk exposure (in absolute value) is positively associated with acquirers’ cumulative abnormal returns (CAR). The second and the third essay concentrate on the risk management at country level - the bailout plan (the Paulson plan) during the recent financial crisis in United States. The second essay in a first step confirms the positive effect of the plan on bank participants’ CAR and on the decrease of default probability around the plan’s initial announcement. Nevertheless, the effect of the plan is not neutral among banks and big players were the winners. The last essay analyzes the Paulson plan’s spillover effect on the loan supply. Our results reveal that there is a positive and significant spillover effect of the government intervention on syndicated loans’ maturities during the post-crisis period from 2010 to 2012. However, this positive impact is not found for the size of syndicated loans. In sum, this empirical thesis from one side sheds light on the efficient ways of firm’s currency risk management, such as the operational hedging, and its positive effect for acquirers’ shareholders; from another side for the country-level government intervention, it highlights the Paulson plan’s spillover effect on syndicated loans and the heterogeneous impact among financial institutions.

保險法第146條之4規範國外投資總額最高不得超過各該保險業資金45%，而2014年修正增列保險業依保險法規定投資於國內證券市場上市或上櫃買賣之外幣計價股權或債券憑證之投資金額，可不計入其國外投資限額。且因我國市場長期處於低利環境，壽險業即大量以台幣作為融資貨幣買入國外高利率環境下之標的貨幣進行利差交易，本研究擬以經濟資產模型進行資產與負債之模擬，衡量壽險公司的經濟資本與清償風險。 依據現行壽險公司資金運用決定投資之標的，並以Cox-Ingersoll-Ross (1985)模型模擬國內外短期利率，在無拋補利率平價說下建立匯率模型，以Heston (1993)隨機過程描述資產的變化，並考量壽險公司投資策略決定投資比率，再加入資產之相關性進行模擬；以與壽險公司投資連結之利率變動型年金為商品，加入各項風險因子進行負債價值模擬，諸如死亡率、解約率等因子；資產與負債皆在風險中立測度下以蒙地卡羅法進行模擬10,000次，探討公允價值下壽險公司之清償能力。 而現行清償能力指標為資本適足比率，但此標準下尚無法完整考慮各風險之相關性，本研究除考量資本適足比率中風險資本總額，亦加入經濟資本進行分析，可得以下結果： I.現行RBC風險資本總額介於VaR 99.5%與95%所計算之經濟資本間。 II.當匯率波動度與國外投資比例增加時，經濟資本亦將顯著增加。 III.隨國外債券投資比例增加，風險資本總額增加之幅度亦會加速成長。 IV.利率變動型年金商品宣告利率之擬定將顯著影響公司面臨之違約風險。 / The amendment of Article 146-4 of Insurance Act extended the overseas investment ceiling in 2014 that the International Bond was not included to be counted in overseas investment. Since we have been suffering from the low interest rate for a long time, life insurance industry often uses carry trade to enlarge their earnings. In this paper, the investment targets are chosen on the basis of the current life insurance industry. We simulate the short-term interest rate based on Cox-Ingersoll-Ross (1985) model, establish the exchange rate model by Uncovered Interest Rate Parity, and use Heston (1993) model to simulate stochastic process of assets. Then we consider the life insurance industry’s investment strategy to determine the investment ratio and also import the asset correlation into our models. The interest sensitive annuity policies we used to evaluate the liabilities are linked with life insurance companies’ investment. Some risk factors are also been considered, such as mortality, surrender rate and other factors. Through Monte Carlo simulations by 10,000 times, we analysis the life insurance companies’ solvency under risk neutral measurement by using Risk-Based Capital and Economic Capital. The results show that： I.Risk-Based Capital is between Economic Capital calculated by VaR 99.5% and 95%. II.When the volatility of exchange rate and overseas investment ratio increase, the Economic Capital will also increase significantly. III.With the increase in the proportion of foreign bond investment, the increase in the Risk-Based Capital will accelerate the growth. IV.The declaring interest rate of interest sensitive annuity policy will significantly affect the default risk faced by the life insurance company.

Aim of my master’s thesis on the topic „International Tax Planning and its Impact on Company's Economy“ is to evaluate current business model of the firm Jelko which is using it for products selling to the Slovakia. Based on the currect model analysis I will introduce other models, which could cause higher efficiency of advantageousness. I will analyse advantages and disadvantages of each model and following this analysis I will choose the best model which I will recommend to the firm in order to consider it and eventually to implement it.