ABSTRACT
With the trend toward global economic and financial integration, liberalization of financial market, increasing of new fashioned financial products and capital mobility, banks may consciously or inadvertently hold large open foreign exchange positions. It in turns may suffer loses due to adverse exchange rate movements. Thus, the bank may even seriously damage to their capital base. Therefore, study in foreign exposure problem has special and important meaning for banks operation and risk management.
Although The Basle Committee has compromised the regulation of measuring foreign exchange position ¡V NAP and GAP to BAP, in view of the theory of studying such position measurement, it¡¦s necessary to develop a more generalized concept of weighted aggregate position (WAP) to make it closely to ¡§theoretically correct position¡¨.
An empirical test of a typical local foreign exchange bank¡¦s foreign currency position appeared that both BAP and GAP provide a more significant effect for the foreign exchange exposure than NAP. Nevertheless, by considering the cost of hedge, proposing of BAP may be more practical than GAP.
| Identifer | oai:union.ndltd.org:NSYSU/oai:NSYSU:etd-0826102-165018 |
| Date | 26 August 2002 |
| Creators | Shen, Chiou- Kuei |
| Contributors | Henry Y. Lo, Chau-Jung Kuo, David S. Shyu |
| Publisher | NSYSU |
| Source Sets | NSYSU Electronic Thesis and Dissertation Archive |
| Language | Cholon |
| Detected Language | English |
| Type | text |
| Format | application/pdf |
| Source | http://etd.lib.nsysu.edu.tw/ETD-db/ETD-search/view_etd?URN=etd-0826102-165018 |
| Rights | withheld, Copyright information available at source archive |
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