Essays about: "FX Risk"

Showing result 11 - 15 of 21 essays containing the words FX Risk.

  1. 11. Strategies for High Frequency FX Trading - The choice of bucket size

    University essay from Lunds universitet/Matematisk statistik

    Author : Malin Lunsjö; Malin Riddarström; [2017]
    Keywords : Highfrequency; FXtrading; Shiftedgeometricdistribution; MonteCarlo; Time Series Analysis; EWMA; Bucket size; TWAP.; Mathematics and Statistics;

    Abstract : This thesis aims at developing and evaluating a model for high frequency foreign exchange data, that beats the TWAP benchmark the majority of the time. This is done by dividing the total order time into smaller time buckets and trading a smaller quantity of the total order volume in each bucket. READ MORE

  3. 12. Currency Basis Swap Valuation : Theory & Practise

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

    Author : Josef Larsson; [2017]
    Keywords : Currency Basis Swap; Valuation; FX-swap;

    Abstract : Banks finance their operations in several ways, by shareholders equity, receiving deposits from customers and by borrowing from investors and other financial institutions. One widely used approach is to issue a bond. Bonds issued on the foreign capital markets is a way to increase the financing options and mitigate risk exposure. READ MORE

  4. 13. The smile of currency derivatives – PCA modelling of the FX effect

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Ola Nielsen; [2016]
    Keywords : foreign exchange; option; risk management; implied volatility; volatility smile; principal components; Business and Economics;

    Abstract : This paper investigates the non-flat volatility surface of foreign exchange options, a so-called volatility smile. Foreign exchange options are especially interesting due their liquidity and frequency in risk management. To propose a non-complex model of the determinants of variation in the smile, a principal component approach is suggested. READ MORE

  5. 14. Managing clearinghouse risk for NDF cleared contracts : Validating the HS/VaR method for NDF FX CCP Clearing risk

    University essay from KTH/Matematisk statistik

    Author : Johan Olsson; [2015]
    Keywords : ;

    Abstract : In this thesis we describe and discuss the reality for a central clearing party clearinghouse. The importance of sound risk management is discussed. We specifically validate the usage of a Historical Simulation/VaR approach for managing the risk when acting as a CCP for the Non Delivery Forward FX instrument. READ MORE

  6. 15. Exposure to FX Rate Risk - A Qualitative Analysis of German Fair Trade Importers

    University essay from Lunds universitet/Företagsekonomiska institutionen

    Author : Sebastian Brenner; Kerstin Remer; [2015]
    Keywords : Fair Trade; FX Exposure; Hedging; SMEs; Sustainable Finance; Business and Economics;

    Abstract : The aim of this paper is to investigate the exposure of Fair Trade (FT) importers in Germany, operating based on the principles of the World Fair Trade Organization (WFTO), to foreign exchange (FX) rate risk in the light of the current depreciation of the Euro. The ongoing high volatility of the Euro exchange rate strongly affects Fair Trade companies that import products mostly from developing countries and sell them in the European market. READ MORE