Essays about: "Foreign exchange rate risk"
Showing result 6 - 10 of 35 essays containing the words Foreign exchange rate risk.
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6. Daily Profit Decomposition from Fluctuations in Interest Rates and Exchange Rates Extended with Inventory
University essay from Linköpings universitet/ProduktionsekonomiAbstract : Multinational companies have consistently not been able to explain the impact currency and interest rates fluctuations have on their profits. To be able to account for these effects, thorough visibility is required. Epiroc Örebro is a global supplier of products and services within mining and infrastructure, with sales in more than 150 countries. READ MORE
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7. A STUDY ON THE DCC-GARCH MODEL’S FORECASTING ABILITY WITH VALUE-AT-RISK APPLICATIONS ON THE SCANDINAVIAN FOREIGN EXCHANGE MARKET
University essay from Uppsala universitet/Statistiska institutionenAbstract : This thesis has treated the subject of DCC-GARCH model’s forecasting ability and Value-at- Risk applications on the Scandinavian foreign exchange market. The estimated models were based on daily opening foreign exchange spot rates in the period of 2004-2013, which captured the information in the financial crisis of 2008 and Eurozone crisis in the early 2010s. READ MORE
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8. Algorithmic Trading and Prediction of Foreign Exchange Rates Based on the Option Expiration Effect
University essay from KTH/Matematisk statistikAbstract : The equity option expiration effect is a well observed phenomenon and is explained by delta hedge rebalancing and pinning risk, which makes the strike price of an option work as a magnet for the underlying price. The FX option expiration effect has not previously been explored to the same extent. READ MORE
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9. Anticipated Events’ Impact on FX Options’ Implied Volatility
University essay from Lunds universitet/Matematisk statistikAbstract : Understanding events’ impact on financial instruments are crucial for the participants in the financial markets. Here we propose an approach to model an anticipated event’s impact on the prices of FX options, represented in implied volatility. READ MORE
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10. Hedging Foreign Exchange Exposure in Private Equity Using Financial Derivatives
University essay from KTH/Matematisk statistikAbstract : 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