Essays about: "FX Risk"

Showing result 1 - 5 of 18 essays containing the words FX Risk.

  1. 1. Modeling the yield curve in conjunction with the FX spots

    University essay from Umeå universitet/Institutionen för fysik

    Author : Philip Lundqvist; [2022]
    Keywords : Yield Curve; FX spots; Bootstrap; Hull-White; Simulation; Calibration;

    Abstract : Interest rates and foreign exchange spots are widely used within financial products. It is important to understand the risk arising from products that depend on interest rates and/or foreign exchange spots. READ MORE

  2. 2. Factor Models for Futures Contracts to Improve Estimation of the Correlation Matrix

    University essay from Lunds universitet/Matematisk statistik

    Author : Ellen Ek; [2022]
    Keywords : Correlation matrix; Hierarchical Principal Component Analysis; Factor Model; Clusters; Portfolio Optimization; Futures Contracts; Mathematics and Statistics;

    Abstract : In this paper regularization of the correlation matrix between futures contracts is examined. With starting point in the recently established HPCA framework (Avellaneda, 2019), a couple of different extensions to the one-factor model is suggested. Extensions are made in terms of adjusting the model according to different cluster structures. READ MORE

  3. 3. Strategies for mitigating foreign exchange risk

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Fredrik Bergman; Markus Rosén; [2021]
    Keywords : FX Risk; FX Exposure; FX Hedging; Cash Flow-at-Risk; Optimal Hedging Strategy; Business and Economics;

    Abstract : Foreign exchange risk management is important for multinational companies since changes in exchange rates can have significant effects on financial results. Following their extensive international operations, Thule Group is one such organization. READ MORE

  4. 4. Hedging of a foreign exchange swapbook using Stochastic programming

    University essay from Linköpings universitet/Produktionsekonomi

    Author : Emma Bohlin; Jonatan Harling; [2021]
    Keywords : term structure measurement; optimization; hedging; foreign exchange swaps; interest rates; FX; stochastic programming;

    Abstract : A large part of the foreign exchange market concerns the trading of FX swaps. While entering a position in a FX swap does not cost any money, banks earn money on FX swaps when their customers cross the bid/ask spread, creating a perceived transaction costs for the swaps. READ MORE

  5. 5. Anomaly Detection using a Deep Learning Multi-layer Perceptron to Mitigate the Risk of Rogue Trading

    University essay from KTH/Skolan för elektroteknik och datavetenskap (EECS)

    Author : Erik Hedström; Philip Wang; [2021]
    Keywords : Deep Learning; Machine Learning; Multi-layer Perceptron MLP ; Neural network; Rogue Trading;

    Abstract : The term Rogue Trading is defined as the activity of someone at a financial organisation losing a large amount of money in bad or illegal transactions and trying to hide this. The activity of Rogue traders exposes financial organisations to huge risks and may lead to the organisation collapsing, which will affect other stakeholders like, for example, the customers. READ MORE