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Risk management with default-risky forwards
Korn, Olaf - 2008
This paper studies the impact of counter-party default risk of forward contracts on a firm's production and hedging …
Persistent link: https://www.econbiz.de/10010302529
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The term structure of currency hedge ratios
Korn, Olaf; Koziol, Philipp - 2009
Many firms face product price risk in foreign currency, uncertain costs in home currency and exchange rate risk. If prices and exchange rates in different countries interact, natural hedges of foreign exchange risk might result. If the effectiveness of such hedges depends on the hedge horizon,...
Persistent link: https://www.econbiz.de/10010302548
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Hedging with regret
Korn, Olaf; Rieger, Marc Oliver - 2016
This paper investigates corporate hedging under regret aversion. Regret-averse firms try to avoid deviations of their … hedging policy from the ex post best policy, an intuitive consideration if one has to justify one's decisions afterward. The … aversion reduces the hedging of price risk to avoid large regret in the case of increasing prices. The results show that regret …
Persistent link: https://www.econbiz.de/10011539238
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How to hedge if the payment date is uncertain?
Korn, Olaf; Merz, Alexander - 2016 - [revised]
This paper is the first to study the hedging of price risk with uncertain payment dates, a frequent problem in practice …. It derives a variance-minimizing hedging strategy for two settings, the first employing linear contracts with different …
Persistent link: https://www.econbiz.de/10011506271
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The term structure of currency hedge ratios
Korn, Olaf; Koziol, Philipp - In: International journal of theoretical and applied finance 14 (2011) 4, pp. 525-557
Persistent link: https://www.econbiz.de/10009269361
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Risk management with default-risky forwards
Korn, Olaf - Institut für Finanzmarktforschung, Wirtschafts- und … - 2008
This paper studies the impact of counter-party default risk of forward contracts on a firm's production and hedging …
Persistent link: https://www.econbiz.de/10008683755
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The term structure of currency hedge ratios
Korn, Olaf; Koziol, Philipp - Institut für Finanzmarktforschung, Wirtschafts- und … - 2009
Many firms face product price risk in foreign currency, uncertain costs in home currency and exchange rate risk. If prices and exchange rates in different countries interact, natural hedges of foreign exchange risk might result. If the effectiveness of such hedges depends on the hedge horizon,...
Persistent link: https://www.econbiz.de/10008683758
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Hedging price risk when payment dates are uncertain
Korn, Olaf - Institut für Finanzmarktforschung, Wirtschafts- und … - 2009
This paper studies the hedging of price risk when payment dates are uncertain, a problem that frequently occurs in … practice. It derives and establishes the variance minimizing dynamic hedging strategy, using forward contracts with different … static hedging strategy is sufficient. …
Persistent link: https://www.econbiz.de/10010957194
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Risk Management with Default-Risky Forwards
Korn, Olaf - In: Schmalenbach Business Review (sbr) 62 (2010) 2, pp. 102-125
To study the impact of counter-party default risk of forward contracts on a firm’s production and hedging decisions, I …
Persistent link: https://www.econbiz.de/10008595774
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Hedging with regret
Korn, Olaf; Rieger, Marc Oliver - 2016
This paper investigates corporate hedging under regret aversion. Regret-averse firms try to avoid deviations of their … hedging policy from the ex post best policy, an intuitive consideration if one has to justify one's decisions afterward. The … aversion reduces the hedging of price risk to avoid large regret in the case of increasing prices. The results show that regret …
Persistent link: https://www.econbiz.de/10011539574