Essays about: "EXCHANGE RATE EXPOSURE"

Showing result 6 - 10 of 39 essays containing the words EXCHANGE RATE EXPOSURE.

  1. 6. Greenhouse Gas Footprint Minimization of Credit Default Swap Baskets

    University essay from Umeå universitet/Institutionen för matematik och matematisk statistik

    Author : Oscar Britse; Johan Jarnmo; [2018]
    Keywords : credit default swap; CDS; CDS basket; greenhouse gas; emission; iTraxx; CDX; portfolio optimization; ECOBAR; Markowitz;

    Abstract : Global bond market capitalization amounts to approximately $100 trillion, compared to $60 trillion in the equity markets. Despite debt financing being a large part of the global financial market, the measurements and greenhouse gas reduction investment strategies to date are not nearly as thorough as for equity financing. READ MORE

  3. 7. The natural effect of multi-currency cross-hedging

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Lina Berg; Linda Clement; [2018]
    Keywords : Multi-currency cross-hedging; Small- and medium-sized enterprises; Conditional Value at Risk; Exchange rate risk; Business and Economics;

    Abstract : This thesis investigates the power and accuracy of the natural effect of multi-currency cross-hedging, based on the non-zero correlation between currency pairs, with the purpose of deter-mining if this could be a suitable hedging strategy for small- and medium-sized enterprises hav-ing transaction exposure to currency risk. The investigation, performed through an out-of-sample approach, is based on the minimization of the risk measure Conditional Value at Risk. READ MORE

  4. 8. Hedging Foreign Exchange Exposure in Private Equity Using Financial Derivatives

    University essay from KTH/Matematisk statistik

    Author : Filip Kwetczer; Carl Åkerlind; [2018]
    Keywords : Private Equity; Foreign Exchange Exposure; Hedging; Black-Scholes Model; Financial Derivatives; Private Equity; Valutaexponering; Hedging; Black-Scholes Modell; Finansiella Derivat;

    Abstract : This thesis sets out to examine if and how private equity funds should hedge foreign exchange exposure. To our knowledge the field of foreign exchange hedging within private equity, from the private equity firms’ point of view, is vastly unexplored scientifically. READ MORE

  5. 9. Determinants of Exchange Rate Risks in the Automotive Industry

    University essay from Göteborgs universitet/Graduate School

    Author : Daria Pilat; [2016-10-14]
    Keywords : determinants of foreign currency exposure; currency risk hedging; automotive industry;

    Abstract : The thesis details the analysis of foreign currency exposure determinants based on 21 companies in the automotive industry. The analysis confirms theoretical suggestions that the automotive industry is prone to foreign currency exposure and risks being influenced by competition intensity, functional currency, export ratio, geographic distribution of sales and production networks and operational flexibility. READ MORE

  6. 10. CVA for IR-Swaps under Wrong Way Risk. A numerical evaluation using a semi-analytical model

    University essay from Göteborgs universitet/Graduate School

    Author : Berglind Halldórsdóttir; Weili Zhang; [2016-09-21]
    Keywords : Credit Value Adjustment; Wrong Way Risk; Interest Rate Swap; Credit Default Swap; Homogeneous CVA Portfolio; Heterogeneous CVA Portfolio; Semi-Analytical Model;

    Abstract : This thesis examines the background and nature of credit value adjustment (CVA), a concept that has heightened in its importance in the financial market after the 2008 financial crisis. Credit value adjustment is defined as a price deducted from the risk-free value of a bilateral derivative to adjust for the counterparty credit risk (CCR). READ MORE