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Hedging currency risk: Does it have to be so complicated?
Haefliger, Thomas; Waelchli, Urs; Wydler, Daniel - Volkswirtschaftliche Fakultät, … - 2002
depend much on the time period chosen. Empirical evidence confirms the hypothesis that currency hedging should be fully …
Persistent link: https://www.econbiz.de/10008693568
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Two Curves, One Price :Pricing & Hedging Interest Rate Derivatives Decoupling Forwarding and Discounting Yield Curves
Bianchetti, Marco - Volkswirtschaftliche Fakultät, … - 2008
We revisit the problem of pricing and hedging plain vanilla single-currency interest rate derivatives using multiple … associated to the two yield curves, that carries on a volatility and correlation dependence. Numerical scenarios confirm that …
Persistent link: https://www.econbiz.de/10008457180
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Numeraire Invariance and application to Option Pricing and Hedging
Jamshidian, Farshid - Volkswirtschaftliche Fakultät, … - 2008
This is a short version of the paper of Exchange Options (2007), concentrating on the principle of numeraire invariance. It emphasizes application to unique pricing in arbitrage-free model, the derivation of hedge ratios and the PDE when price ratios are diffusions, explicit representations in...
Persistent link: https://www.econbiz.de/10005787005
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Resolving the Exposure Puzzle: The Many Facets of Exchange Rate Exposure
Bartram, Söhnke M.; Brown, Gregory W.; Minton, Bernadette - Volkswirtschaftliche Fakultät, … - 2009
hedges. For a typical sample firm, pass-through and operational hedging each reduce exposure by 10% to 15%. Financial hedging …
Persistent link: https://www.econbiz.de/10005787137
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A Radical Shift in Managing Risks: Practical Applications of Complexity Theory
Chichilnisky, Graciela - Volkswirtschaftliche Fakultät, … - 1998
Complexity theory is designed to bring order out of a rough-and- tumble world, something close to every insurance professional's or actuary's heart. Whether applied in the laboratory or as part of a mathematical model, it can do wonderful things . But in the real world it's just what its name...
Persistent link: https://www.econbiz.de/10005789667
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Risk Management Theory: A comprehensive empirical assessment
Klimczak, Karol Marek - Volkswirtschaftliche Fakultät, … - 2007
The aim of this paper is to develop a methodology for thorough empirical testing of major contemporary corporate risk management theories: financial theory, agency theory, stakeholder theory and new institutional economics. Unlike in previous research, the tests are organised around theories,...
Persistent link: https://www.econbiz.de/10005836311
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Corporate Cash Flow and Stock Price Exposures to Foreign Exchange Rate Risk
Bartram, Söhnke M. - Volkswirtschaftliche Fakultät, … - 2007
This paper estimates the foreign exchange rate exposure of 6,917 U.S. nonfinancial firms on the basis of stock prices and corporate cash flows. The results show that several firms are significantly exposed to at least one of the foreign exchange rates Canadian Dollar, Japanese Yen and Euro, and...
Persistent link: https://www.econbiz.de/10005836323
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Rationales for corporate risk management from stakeholders’ perspective
Klimczak, Karol Marek - Volkswirtschaftliche Fakultät, … - 2005
stakeholder groups’ interests. A study of the use of hedging instruments in 161 Polish non-financial listed companies is then … determine relationships between the hedging decision and financial standing of companies. However, company size is proved to be … the only significant factor for a hedging decision. The implications of these findings and new research questions are …
Persistent link: https://www.econbiz.de/10005837109
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Risk and Asian exchange rate regimes
Goyal, Ashima; Agarwal, Ankita - Volkswirtschaftliche Fakultät, … - 2005
A panel regression gives evidence that more flexibility in Asian exchange rates reduces risk associated with bank borrowing abroad, but deviations from mean exchange rates, and from the renminbi, increase risk. Since the exchange rate regime affects bank behavior and the incentives to hedge, the...
Persistent link: https://www.econbiz.de/10008490078
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Information, unternehmensinterne Kommunikation und Risikopolitik
Broll, Udo; Gilroy, Bernard Michael; Wahl, Jack E. - Volkswirtschaftliche Fakultät, … - 2003
of an international enterprise open currency position does not inevitably require a corresponding hedging accommodation …. Given a new risk situation, whether a revision of the hedging-strategy is appropriate will depend upon the elasticity of …
Persistent link: https://www.econbiz.de/10008529246