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There are some corrections to do in your thesis, please, see below:
Page 2: in Knowledge Field, put your advisor field: Economia E Finanças Internacionais;
Page 4: in Knowledge Field, put your advisor field: Economia E Finanças Internacionais;
ACKNOWLEDGMENT, Abstract, Resumo and Contents must be in capital letters and in the middle of the page.
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Alexander Buck_Masters Thesis.pdf: 814627 bytes, checksum: 3f642bd3522c9184319e19ef0fc4d2b4 (MD5)
Previous issue date: 2017-11-23 / Financial derivatives are broadly used for hedging purposes by large financial and non-financial corporations in developed countries. Thereof, currency derivatives represent the biggest class. For some currencies, foreign exchange exposure, for example arising from exports or foreign investments, cannot be hedged due to illiquid or nonexistent derivative markets. However, a third currency with liquid derivative markets exists and can be used to cross-hedge the exposure. This thesis examines whether using options with multiple strikes can improve the hedging performance in such a case. Several stochastic models commonly applied in the literature to foreign exchange markets are used for the out-of-sample hedging portfolio construction and applied to currencies in the regions Latin America, Europe and East/Southeast Asia between 2012 and 2016. This paper delivers two main results: Firstly, it is shown that adding options is not beneficial mainly due to model and estimation errors which increase risk. Secondly, it is shown that if the US-Dollar exchange rate is not cross-hedgeable, the exchange rate with the third currency must be, unless the foreign currency is highly volatile. As a consequence, cross-hedging can be successfully applied to at least one of those exchange rates. However, it is optimal to use only forwards in that case. / Derivativos financeiros são amplamente utilizados com finalidade de hedge por grandes corporações financeiras e não-financeiras em países desenvolvidos. Nesse sentido, derivativos de câmbio representam a classe mais expressiva. Para algumas moedas, a exposição cambial resultante por exemplo de exportações ou investimentos externos não pode ser coberta devido à iliquidez ou inexistência de mercados de derivativos. No entanto, existe um terceiro câmbio de mercados de derivativos líquidos que pode ser utilizado para cobrir a exposição cambial com cross-hedge. A presente tese examina se o uso de opções com múltiplos preços de exercício pode melhorar o desempenho de hedge em tal caso. Vários modelos estocásticos comumente aplicados na literatura a mercados de câmbio são utilizados para a construção out-of-sample de um portfolio de hedging e aplicados a câmbios na América Latina, Europa e Leste/Sudeste asiático entre 2012 e 2016. Esse trabalho chega a dois resultados centrais. O primeiro demonstra que não é benéfico adicionar opções sobretudo em virtude de erros de modelo e estimativa que elevam riscos. O segundo demonstra que se a taxa de câmbio do dólar americano não permite cross-hedging, a taxa de câmbio do terceiro câmbio precisa permitir, a menos que a moeda estrangeira seja altamente volátil. Consequentemente, cross-hedging pode ser aplicado com sucesso a pelo menos uma destas taxas de câmbio. Entretanto, é aconselhável utilizar apenas forwards nesse caso.
| Identifer | oai:union.ndltd.org:IBICT/oai:bibliotecadigital.fgv.br:10438/19379 |
| Date | 23 November 2017 |
| Creators | Buck, Alexander Wolfram |
| Contributors | Schiozer, Rafael Felipe, Sheng, Hsia Hua, Escolas::EAESP, Gabrielli, Marcio Fernandes |
| Source Sets | IBICT Brazilian ETDs |
| Language | English |
| Detected Language | English |
| Type | info:eu-repo/semantics/publishedVersion, info:eu-repo/semantics/masterThesis |
| Source | reponame:Repositório Institucional do FGV, instname:Fundação Getulio Vargas, instacron:FGV |
| Rights | info:eu-repo/semantics/openAccess |
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