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Hedging of exchange rate risk and regression dependence

Broll, Udo; Kit, Pong Wong - 1997

The paper presents a model of a risk-averse exporting firm under exchange rate risk. We focus on the economic implications of basis risk. It is shown that the regression dependence assumptions between spot and futures exchange rates are essential in analyzing optimal hedging and export...

Persistent link: https://www.econbiz.de/10009623408

Information, unternehmensinterne Kommunikation und Risikopolitik

Broll, Udo; Gilroy, Bernard Michael; Wahl, Jack E. - 2003

Based upon the foundations of mean-variance decision-making theory, we demonstrate that a change in the risk situation …

Persistent link: https://www.econbiz.de/10010506638

A Note on Hedging a Loan Portfolio

Welzel, Peter; Broll, Udo - 2003

In the framework of the industrial economics approach to banking we extend the analysis of hedging against default on loans to the case of two types of credit risk. Standard results on the optimal hedge volume and the hedging effectivity from the single?risk case are shown to carry over to the...

Persistent link: https://www.econbiz.de/10010263007

Transparency in the Interbank Market and the Volume of Bank Intermediated Loans

Broll, Udo; Eckwert, Bernhard - 2004

In this paper we study the impact of more transparency in the interbank market on the volume of bank intermediated loans and on the profitability of the banking business. Transparency is modeled by means of the informational content of publicly observable signals correlated to the random...

Persistent link: https://www.econbiz.de/10010296785

Differential Taxation and Corporate Futures-Hedging

Wahl, Jack E.; Broll, Udo - 2007

Using a two-moment decision model this paper analyzes corporate hedging behavior in the presence of unified and differential income taxation. We start with the well-known result that risk-taking may increase when income tax rates increase and, therefore, the incentive for hedging reduces. We...

Persistent link: https://www.econbiz.de/10010296818

The Competitive Firm Under Price Uncertainty: The Role of Information and Hedging

Broll, Udo; Eckwert, Bernhard - 2007

We study the impact of transparency in a commodity market on the decision problem of a competitive firm under price uncertainty and hedging opportunities. Market transparency is modeled by means of the informational content of publicly observable signals which are correlated with the random...

Persistent link: https://www.econbiz.de/10010296824

Export production, hedging exchange rate risk: the duopoly case

Broll, Udo; Wahl, Jack E.; Wessel, Christoph - 2008

This paper studies a Cournot duopoly in international trade so that the firms are exposed to exchange rate risk. A hedging opportunity is introduced by a forward market where the foreign currency can be traded on. We investigate two settings: First we assume that hedging and output decisions are...

Persistent link: https://www.econbiz.de/10010300615

Modelling information and hedging: the exporting firm

Broll, Udo; Eckwert, Bernhard - 2009

The paper examines the economic role of modelling information on the decision problem of an exporting firm under exchange rate risk and hedging. Information is described in terms of market transparency, i.e., a publicly observable signal conveys more information about the random foreign exchange...

Persistent link: https://www.econbiz.de/10010300624

Mitigation of foreign Direct investment risk and hedging

Wahl, Jack E.; Broll, Udo - 2009

Instruments of risk mitigation play an important role in managing country risk within the foreign direct investment (FDI) decision. Our study assesses country risk by state-dependent preferences and introduces futures contracts as a tool of risk mitigation. We show that country risk assessments...

Persistent link: https://www.econbiz.de/10010301354

Prospect theory and hedging risks

Broll, Udo; Egozcue, Martín; Wong, Wing-Keung; … - 2010

The prospect theory is one of the most popular decision-making theories. It is based on the S-shaped utility function …, unlike the von Neumann and Morgenstern (NM) theory, which is based on the concave utility function. The S-shape brings in … mathematical challenges: simple extensions and generalizations of NM theory into the prospect theory cannot be frequently achieved …

Persistent link: https://www.econbiz.de/10010301357