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The collapse of Pasminco: misjudgment, misfortune and miscalculation
Brown, Christine; Ma, James - In: Australian Journal of Management 36 (2011) 2, pp. 287-312
with over 10% of global output. This paper examines the hedging strategies that Pasminco had in place in the years leading …. We build a valuation model that illustrates in stark terms that the company’s hedging strategies materially reduced …
Persistent link: https://www.econbiz.de/10011135834
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ASEAN’s Response to the Rise of China: Deploying a Hedging Strategy
Shekhar, Vibhanshu - In: China Report 48 (2012) 3, pp. 253-268
. ASEAN as a regional interlocutor has responded to the new phenomenon by deploying a hedging strategy that seeks to benefit …
Persistent link: https://www.econbiz.de/10011137606
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Hedge Ratios in South African Stock Index Futures
Degiannakis, Stavros; Floros, Christos - In: Journal of Emerging Market Finance 9 (2010) 3, pp. 285-304
This article examines hedging in South African stock index futures market. The hedge ratios are estimated by six … that the ECM-GARCH model (capturing volatility clustering) provides best hedging ratios, while CCC-ARCH is superior to OLS …
Persistent link: https://www.econbiz.de/10011137875
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Risk Return Trade-offs from Hedging Oil Price Risk in Ecuador
Raju, Sudhakar S. - In: Journal of Emerging Market Finance 4 (2005) 1, pp. 27-41
This paper analyses methods to reduce the price risk of Ecuadorian oil exports through hedging in the oil futures … market. I simulate ex ante cross hedges over the 1991–96 period and find that in every case, ex ante hedging would have … been effective in reducing risk. I provide quantitative estimates of the return/risk trade-offs from hedging Ecuadorian oil …
Persistent link: https://www.econbiz.de/10011137910
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Currency Exposure and Hedging Practices among Indian Non-financial Firms
Praveen Bhagawan M.; Lukose, P.J. Jijo - In: Foreign Trade Review 49 (2014) 3, pp. 247-262
evaluate the impact of hedging strategies adopted by our sample firms on the exchange-rate exposure. Our evidence suggests that … currency derivatives for hedging and not for speculative purposes. These results are found to be robust to alternative ways of …
Persistent link: https://www.econbiz.de/10011138675
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FX Funding Risks and Exchange Rate Volatility–Korea’s Case
Ree, Jack; Yoon, Kyoungsoo; Park, Hail - International Monetary Fund (IMF) - 2012
This paper examines how exchange rate volatility and Korean banks’ foreign exchange liquidity mismatches interacted with each other during the Global Financial Crisis, and whether the vulnerability stemming from this interaction has been reduced since then. Structural and cyclical changes...
Persistent link: https://www.econbiz.de/10011142019
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Banking and Trading
Boot, Arnoud W.A.; Ratnovski, Lev - International Monetary Fund (IMF) - 2012
We study the effects of a bank's engagement in trading. Traditional banking is relationship-based: not scalable, long-term oriented, with high implicit capital, and low risk (thanks to the law of large numbers). Trading is transactions-based: scalable, shortterm, capital constrained, and with...
Persistent link: https://www.econbiz.de/10011142044
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Capital Regulation, Liquidity Requirements and Taxation in a Dynamic Model of Banking
Nicoló, Gianni De; Gamba, Andrea; Lucchetta, Marcella - International Monetary Fund (IMF) - 2012
This paper studies the impact of bank regulation and taxation in a dynamic model with banks exposed to credit and liquidity risk. We find an inverted U-shaped relationship between capital requirements and bank lending, efficiency, and welfare, with their benefits turning into costs beyond a...
Persistent link: https://www.econbiz.de/10011142059
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Securitization: Lessons Learned and the Road Ahead
Basurto, Miguel A. Segoviano; Jones, Bradley; Lindner, Peter - International Monetary Fund (IMF) - 2013
This paper examines the financial stability implications arising from securitization markets, with one eye on the past and another on the future. The paper begins by deriving a number of “lessons learned†based on an examination of key industry developments in the years before the...
Persistent link: https://www.econbiz.de/10011142086
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Capital Requirements for Over-the-Counter Derivatives Central Counterparties
Lin, Li; Surti, Jay - International Monetary Fund (IMF) - 2013
The central counterparties dominating the market for the clearing of over-the-counter interest rate and credit derivatives are globally systemic. Employing methodologies similar to the calculation of banks’ capital requirements against trading book exposures, this paper assesses the...
Persistent link: https://www.econbiz.de/10011142162