by Chau Chi-Man. / Thesis (M.B.A.)--Chinese University of Hong Kong, 1987. / Bibliography: leaves 76-78.

Zimbabwe's economy has shrunk by 40 percent over five years (Bratton and Masununngure 2006:23). The country currently faces an unemployment rate of at least 80 percent, and an inflation rate of 165 000 per cent (BBC News, 8 /10/2008). Many Zimbabweans have turned to the informal sector as a source of livelihood and survival with formal employment estimated to constitute only 16 percent of the labour force in 2006 (Tibaijuka, 2005). The violation of political and civil rights as well as the state's approach to regulation of the economy has translated into low investor confidence. In addition the country has serious foreign currency shortages. The sheer scale of informality combined with radical attempts by the state to regulate these and other economic activities make Zimbabwe a unique context within which to understand the nature of the informal economy. Recent research on the Zimbabwean informal economy has focused on its destruction through the Operation Murambatsvina (Potts, 2007; Tibaijuka, 2005) as well as the nature and extent of cross border trading (Muzvidziwa, 1998). Other authors have explored the nature of the informal economy in crisis states in particular Zaire / Democratic Republic of Congo (MacGaffey, 1997; Dehart and Marysse, 1997). There however is no research which explores the dynamics of informal foreign currency trading in this or other contexts. The objective of this study is to explore the nature of informal foreign currency trading in Zimbabwe. The research aims to investigate the dynamics of informal foreign currency trading by tracing the role of state regulation in these operations, linkages between the formal sector and informal currency traders, the role of social networks, the lived experiences of traders involved and the social-economic benefits derived by these operations. The research approach drew on ethnographic methods. The researcher spent considerable time with the people whose realities the research aims to understand. In total 10 traders were observed and interviewed in January 2008. This research shows that excessive state intervention in the foreign exchange market leads to the emergence of informal foreign currency trading on the 'black market'. As the black market premium widens, the intensity of informality with regards to foreign currency trading increases. The existence of informal—formal linkages is strongly demonstrated by this research. It shows that there is a strong relationship between the informal currency traders and the private sector including other government entities. In order for this relationship to be sustained the research also reveals that social networks are essential for informal foreign currency traders. The study shows that informal foreign currency traders operate mainly from the streets and rented office space although deals can done from any environment as long as it is secured from law enforcement agencies. The benefits of informal foreign currency trading accrue more at the household level (micro level) rather than the macro level. This research reveals that in a state of economic crisis the formal economy fails to provide adequate basic services and commodities. As a result, an informal economy is created to ensure the supply of scarce goods and services. The study shows that Zimbabwe's economy has managed to sustain itself despite economic collapse. Informal activities are identified as playing critical role in sustaining the population of the country. The study shows that foreign currency is being traded entirely on the parallel market. Private sector and government entities totally rely on informal foreign currency traders for their supplies of foreign currency. Chapter 2 reviews the literature on the informal economy. Various theoretical approaches to the informal economy are outlined. Much of the research on informality draws attention to the role of networks of trust and reciprocity - social capital. Debates about this notion are also reviewed. In Chapter 3 the background to the Zimbabwean economic and political crisis generally and the foreign currency problems facing the country particularly is outlined. The foreign currency regulations of Zimbabwe and how they have changed over time are also considered. International experience of parallel exchange rate regimes and currency crises are also reviewed. Chapter 4 reflects the research methodology. This chapter explains how the data was collected, analyzed and interpreted. The ethical concerns and potential biases arising from the methodology are explored. Chapter 5 presents the findings from the interviews. It analyses and interprets the various views gathered from the participants. The concluding chapter, Chapter 6 reflects back on the literature and outlines the policy recommendations drawing from the research findings. / Thesis (M.A.)-University of KwaZulu-Natal, Durban, 2008.

Thesis (M.B.A.)--University of Hong Kong, 1992.

No description available.

Since its inception in the early 1980s, the global market for swaps has grown to over $3 trillion in notional principal outstanding, leading some regulators and others to express concern about risks posed for the financial system. Notional principal, however, is not a measure of the risks of swaps. As a result, it is important to both businesses using swaps and regulators to develop appropriate measures of these risks. For credit risk, for example, current replacement cost measures the credit exposure in the event of default today, but does not account for the possibility of default in the future. Additional measures are required. This thesis focuses on estimating the credit risk of swaps, accounting for both current and potential future exposure, and measuring the sensitivity or credit risk to changes in volatility. The model used is based on Monte Carlo techniques, drawing on Mark Ferron and George Handjinicolaou's article "Understanding Swap Credit Risk: The Simulation Approach". The model provides an estimate of the expected replacement cost of a swap, averaging across numerous interest rate scenarios. The sensitivity of the model's estimate of swap credit risk to different volatility assumptions is also determined and compared to the results of Ferron and Handjinicolaou. This analysis demonstrates that swap credit risk is highly sensitive to volatility. For example, starting with a 15% volatility level, a 100 basis point increase in volatility results in a 6.7% increase in the estimate of expected replacement cost. More generally, a given increase in volatility (e.g. from 20% to 25%) results in a proportional increase in replacement cost. / Master of Arts

This study investigates the simultaneous use of interest rate and currency futures markets to hedge the exchange and interest rate risks faced by banks. Banks in this study accept short-term variable rate deposits, hold many different foreign currencies, and make long-term fixed rate loans. The expected utility maximization model shows that in a two-period framework the bank’s optimal simultaneous hedge ratios for risks associated with exchange rate, interest rate, and anticipatory positions are given by the coefficients of the theoretical multivariate multiple regression of returns from trading the (spot) instruments being hedged on those from trading the futures contracts. Unlike previous studies, capital adequacy is shown in this study to be an important factor determining the bank’s optimal futures position. The bank’s decisions on loan extensions and interest rate futures positions are shown to be affected by the existence of foreign exchange operations and the availability of foreign currency futures contracts. It is also shown that the (optimal) hedging decisions anticipated for later time periods influence current decisions, which implies that hedge positions are intertemporally dependent. Based on the theoretical analyses, five testable hypotheses are derived: (i) Capital adequacy irrelevance hypothesis, (ii) Naive-single market hypothesis, (iii) Own market hypothesis, (iv) Intertemporal position irrelevance hypothesis, and (v) International banking hypothesis. These hypotheses are tested using the generalized method of moments procedure. The empirical results show that (a) capital adequacy is highly relevant for the bank’s decision on optimal futures positions, (b) it is not optimal for the bank to take a naive position in the corresponding futures contracts to hedge a specific type of spot position, (c) cross-hedging is necessary to increase hedging performance, (d) the bank’s anticipated positions in foreign currency spot and futures contracts next period affect the current decisions on optimal spot and futures positions, and (e) international banking activity, as it is interrelated with domestic and international credit markets, must be considered when the bank makes decisions on optimal futures positions. Finally, the optimal hedge ratio estimates demonstrate strong evidence that banks should use the futures markets to a substantially greater extent for hedging overall market risk compared to when they hedge each component of market risk separately. / Ph. D.

by Chan Yeung-Ki. / Thesis (M.B.A.)--Chinese University of Hong Kong, 1991. / Includes bibliographical references (leaves 54-55). / ABSTRACT --- p.1 / TABLE OF CONTENTS --- p.2 / Chapter I. --- BACKGROUND --- p.3 / Chapter II. --- THEORETICAL FRAMEWORK --- p.7 / Purchasing Power Parity --- p.7 / Real Exchange Rate --- p.9 / Monetary Approach --- p.12 / Explaining the model --- p.16 / Chapter III. --- APPLICATION --- p.23 / Scenario 1 --- p.39 / Scenario 2 --- p.41 / Chapter IV. --- CONCLUSION --- p.44 / EXHIBIT --- p.47 / BIBLIOGRAPHY --- p.54

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.

本論文共分七章二十七節。主要內容如下： 第一章為緒論。說明撰寫本論文之動機和目的、研究方法、範圍暨限制以及論文架構。 第二章為金融創新之本質與金融商品開放之理由。介紹金融創新的定義、種類、源起及發展，並探討外匯期貨暨選擇權在金融創新中之歸類、定位，以及金融商品應開放之理由。 第三章為我國現行的外匯管理制度及避險工具。首先說明我國目前外匯管理制度的特色，其次就外匯風險之類型加以分類，並介紹我國現有之主要匯率避險工具－遠期外匯暨其它匯率避險工具，最後則針對我國遠期外匯市場交易清淡之原因進行探討。 第四章為外匯期貨契約。除了介紹外匯期貨契約的起源、經濟功能及法律概念與規範意義外，並對保證金之制度及法律性質加以說明。另外，則對美、日、新加坡之外匯期貨交易制度進行比較，並特別介紹互相結轉沖銷系統(MOS)及全球交易系統 (Globex)。最後，則針對外匯期貨交易中之避險及投機操作，逐一舉例說明分析。 第五章為外匯選擇權契約。本章首先介紹外匯選擇權之起源、定義及種類；接著說明其法律性質、規範意義與實務操作，並綜合比較遠期外匯、外匯期貨暨選擇權；最後則對我國國外期貨交易法加以評釋。 第六章為金融規範分析-Laffer Curve 於政府修法時之應用。本章為法律之經濟分析，筆者嘗試將成本效益分析、博弈理論(Game Theory)及諮商(Negotiation)策略應用到政府之立法上面。探討法令規範之最適規模及其與時間函數之關係，並檢討「立法從嚴、執法從寬」暨「惡法亦法」之不當。 第七章為結論與建議。本章以摘要方式將前述章節內容做一總結，並對正草擬中之國內期貨交易法提出筆者淺見，俾供參考。 / GATT is the most important organization which governedrld trade since it was founded in 1948. since China15th trader in the world,so it certainly cannotutside of GATT.China's special case has given rise to certain legalonomic problems,which have made its participation intill remain unsolved.legal issues come from China's request for "resumptioninal membership".This request will cause difficult whens to some rights and obligations under GATT such asion ticket,grandfather clause and non-application clause.ms GATT will "acknowledge" China's orginal seat,butneeds to negotiate is terms and obligations as a newant.economic problems are caused by China's non-marketic system and its claim for developing country status.hough China has carried out many reforms on economicure,major GATT contracting parties still think China'sy and trade regime are not liberlized enough to fit GATT.ina's great potential export power makes other countriesant to give China special treatment which other developingies enjoy.to China's reform of its trade system,China only has toake tariff concession without undertaking other importments which some East European countries have made. Chinareally like to avoid discriminatory quantity restriction special safeguard clauses,but other contracting partiest likely to permit this.use of changes in international circumstances, theation of China's participation has made no progress during991.After 1992,the negotiation begin to accelerate,butcan' t reach a certain conclusion.