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Reducing exchange rate risk and exposure: The value of foreign exchange currency hedging strategiesMcCarron, Sean 01 January 2004 (has links)
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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Evaluation of hedging effectiveness of Hong Kong and U.S. stock index futures.January 2000 (has links)
by Wong Man Kit, Andy, Yu Miu Ki. / Thesis (M.B.A.)--Chinese University of Hong Kong, 2000. / Includes bibliographical references (leaves 53-54). / ABSTRACT --- p.ii / ACKNOWLEDGEMENT --- p.iii / TABLE OF CONTENTS --- p.iv / Chapter / Chapter I. --- INTRODUCTION --- p.1 / Credit Risk --- p.2 / Operational risk --- p.3 / Liquidity risk --- p.3 / Legal risk --- p.3 / Market Risk --- p.3 / Model risk --- p.4 / Chapter II. --- LITERATURE REVIEW --- p.5 / Value at Risk (VaR) --- p.5 / Minimum Variance --- p.7 / Dollar equivalence --- p.8 / Statistical Hedging --- p.8 / Risk and Return in an Imperfect Hedge --- p.8 / Expected return and standard deviation in a hedged position --- p.9 / Risk and Return in an actual hedge --- p.11 / Optimal Hedge Ratio --- p.13 / Deriving Optimal Hedge Ratio h* --- p.15 / Computing the minimum risk hedge ratio by regression --- p.16 / Basis Risk --- p.18 / Sources of Basis Risk --- p.19 / Variation in the equilibrium price relationship between cash and futures --- p.19 / "Random ""noise"" in the price process" --- p.19 / Mismatch between cash position and the underlying for the future --- p.20 / Hedging Effectiveness --- p.21 / Chapter III. --- DATA AND METHODOLOGY --- p.25 / Data --- p.25 / Data Collection --- p.25 / Data Selection --- p.25 / Data Manipulation --- p.26 / Methodology --- p.27 / Part I: The Selection of the Portfolios --- p.27 / Part II: The Determination of the Hedge Ratio --- p.28 / Part III: Hedged vs. Unhedged --- p.29 / Part IV: Data Analysis & Comparison --- p.31 / Chapter IV. --- FINDINGS --- p.35 / High volatility of Hong Kong market --- p.35 / Manipulation of institutional investors --- p.36 / Hong Kong financial market are less mature --- p.36 / Less efficient information flow --- p.37 / Less Sophisticated Investors --- p.38 / Results and Discussion --- p.39 / Empirical Results --- p.40 / Explanation for the differences --- p.42 / Limitations --- p.47 / Learning Period --- p.47 / Cross Hedging --- p.47 / Mismatch between the futures and the underlying index --- p.48 / Missing Stock Data in the S&P500 --- p.49 / Chapter V. --- CONCLUSION --- p.50 / Tradeoff between risk and return --- p.50 / Hedge Effectiveness --- p.51 / BIBLIOGRAPHY --- p.53
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Minimization of currency risk exposures by developing foreign currency trading strategies for a multinational United States companyCam, Korhan 01 January 2004 (has links)
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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The use of derivatives by South African agricultural co-operatives to hedge financial risksBotha, Erika 30 June 2005 (has links)
The agricultural sector plays an important role in the South African economy through job creation and earning foreign exchange. The role of agricultural co-operatives increased substantially over the last few decades.
The research focuses firstly on the identification of derivative instruments in the market and their applicability to mitigate financial risks co-operatives experience. Secondly, research is conducted about the extent to which co-operatives use these derivatives to hedge financial risks.
The research shows that most co-operatives are exposed to financial risks through different activities. It is, however, evident that although the derivative instruments are available, not all co-operatives make use of these instruments.
Recommendations for further research include the development of a risk management framework and determining the different economic factors that have an influence on the use of derivatives by South African agricultural co-operatives. / Business Management / M.Comm.
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Rainfall derivatives for Hong Kong Disneyland.January 2003 (has links)
by Ng Wing-Sze Cecilia. / Thesis (M.B.A.)--Chinese University of Hong Kong, 2003. / Includes bibliographical references (leaves 92-93). / ABSTRACT --- p.ii / TABLE OF CONTENT --- p.iii / CHAPTER / Chapter 1. --- COMPANY PROFILE --- p.1 / The Walt Disney Parks --- p.1 / Hong Kong Disneyland --- p.1 / Location --- p.1 / Park Developer & Operator --- p.2 / Financing --- p.2 / Infrastructure --- p.3 / Schedule of Operation --- p.4 / Chapter 2. --- HONG KONG DISNEYLAND BUSINESS MODEL --- p.6 / Revenue Model --- p.7 / Customer Base --- p.7 / Pricing Strategy --- p.8 / Financial Performance Variable --- p.9 / Risk Management Program --- p.10 / The Walt Disney Company Risk Management --- p.10 / HKDL Risk Management --- p.13 / Risk Management on Book Record --- p.13 / Chapter 3. --- PRECIPITATION RISK EXPOSURE --- p.15 / Introduction to Precipitation --- p.15 / Distinguish between Weather and Climate --- p.16 / Rainfall Risk Exposure --- p.16 / Precipitation in Hong Kong --- p.17 / Overview --- p.17 / Rainstorm Warning System --- p.18 / Practices on Rainy Days --- p.20 / Theme Park Industry --- p.20 / The Ocean Park --- p.21 / Rainfall Risk Mitigation --- p.21 / Chapter 4. --- WEATHER DERIVATIVES --- p.24 / Evolution --- p.24 / The Birth of Weather Derivatives --- p.24 / Weather Risk Management Association --- p.24 / Year 1999 --- p.25 / Year 2000 --- p.25 / Year 2001 --- p.26 / Year 2002 --- p.26 / Precipitation Derivatives --- p.27 / Market & Market Players --- p.28 / Types of Product --- p.30 / Index Derivatives --- p.30 / Event-Basis Derivatives --- p.32 / Chapter 5. --- Hedging Against Rainfall Risk with Weather Derivatives --- p.33 / Formation of Hedging Strategy --- p.34 / Hedging Objectives --- p.34 / Hedging Target --- p.35 / Dimension of Precipitation Impacts --- p.35 / Normal Revenue without Rainfall Risk --- p.40 / Revenue Forecasting for Year 1 --- p.41 / Specifications on the Contracts --- p.46 / Chapter 6. --- General Recommendations to HKDL for hedging with all kinds of Rainfall Derivatives --- p.49 / Choice of Market and Counter Parties --- p.49 / Index Model Design --- p.50 / Dimensions of Variables & Time Scale --- p.50 / Accumulated Rainfall Index --- p.51 / Methodologies of Rainfall Measurements --- p.54 / Location of Rainfall Measuring Stations --- p.54 / Measuring Instrument --- p.56 / Historical Data Consistency --- p.58 / Data Availability and Reliability --- p.59 / Choice of Strike Level --- p.59 / Tick Size and Maximum Payments --- p.62 / Pricing Approach --- p.63 / Chapter 7. --- Example of Rainfall Derivatives --- p.66 / Black/Red Rainstorm Signal Call --- p.66 / Specifications --- p.66 / Revenue model under Different Scenario --- p.68 / Chapter 8. --- Portfolio Management --- p.70 / Risk Management Information System --- p.70 / Issues on Book Keeping --- p.71 / Chapter 9. --- CONCULSION --- p.72
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The use of derivatives by South African agricultural co-operatives to hedge financial risksBotha, Erika 30 June 2005 (has links)
The agricultural sector plays an important role in the South African economy through job creation and earning foreign exchange. The role of agricultural co-operatives increased substantially over the last few decades.
The research focuses firstly on the identification of derivative instruments in the market and their applicability to mitigate financial risks co-operatives experience. Secondly, research is conducted about the extent to which co-operatives use these derivatives to hedge financial risks.
The research shows that most co-operatives are exposed to financial risks through different activities. It is, however, evident that although the derivative instruments are available, not all co-operatives make use of these instruments.
Recommendations for further research include the development of a risk management framework and determining the different economic factors that have an influence on the use of derivatives by South African agricultural co-operatives. / Business Management / M.Comm.
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Théorie des options et fonctions d'utilité : stratégies de couverture en présence des fluctuations non gaussiennes / Options theory and utility functions : hedging strategies in the presence of non-gaussian fluctuationsHamdi, Haykel 04 March 2011 (has links)
L'approche traditionnelle des produits dérivés consiste, sous certaines hypothèses bien définies, à construire des stratégies de couverture à risque strictement nul. Cependant,dans le cas général ces stratégies de couverture "parfaites" n'existent pas,et la théorie doit plutôt s'appuyer sur une idée de minimisation du risque. Dans ce cas, la couverture optimale dépend de la quantité du risque à minimiser. Dans lecadre des options, on considère dans ce travail une nouvelle mesure du risque vial'approche de l'utilité espérée qui tient compte, à la fois, du moment d'ordre quatre,qui est plus sensible aux grandes fluctuations que la variance, et de l'aversion aurisque de l'émetteur d'une option vis-à-vis au risque. Comparée à la couverture endelta, à l'optimisation de la variance et l'optimisation du moment d'ordre quatre,la stratégie de couverture, via l'approche de l'utilité espérée, permet de diminuer lasensibilité de la couverture par rapport au cours du sous-jacent. Ceci est de natureà réduire les coûts des transactions associées / The traditional approach of derivatives involves, under certain clearly defined hypothesis, to construct hedging strategies for strictly zero risk. However, in the general case these perfect hedging strategies do not exist, and the theory must be rather based on the idea of risk minimization. In this case, the optimal hedging strategy depends on the amount of risk to be minimized. Under the options approach, we consider here a new measure of risk via the expected utility approach that takes into account both, the moment of order four, which is more sensitive to fluctuations than large variance, and risk aversion of the investor of an option towards risk. Compared to delta hedging, optimization of the variance and maximizing the moment of order four, the hedging strategy, via the expected utilitiy approach, reduces the sensitivy of the hedging approach reported in the underlying asset price. This is likely to reduce the associated transaction costs.
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