Long Term Exchange Rate Risk and Hedging with Quantity Uncertainty in a Market that Only Provides Short Term Futures Contracts
Fuente:
Redalyc
Guardado en:
| Autor principal: | |
|---|---|
| Formato: | Artículo científico |
| Lenguaje: | en |
| Publicado: |
Consejo Latinoamericano de Escuelas de Administración
2012
|
| Materias: | |
| Acceso en línea: | |
| Etiquetas: |
Agregar Etiqueta
Sin Etiquetas, Sea el primero en etiquetar este registro!
|
| _version_ | 1876443718136889344 |
|---|---|
| author | Augusto Castillo |
| author_facet | Augusto Castillo |
| contents | Long Term Exchange Rate Risk and Hedging with Quantity Uncertainty in a Market that Only Provides Short Term Futures Contracts Augusto Castillo Rafael Aguila Jorge Niño Administración y Contabilidad hedging Risk management quantity uncertainty This paper analyzes the problem faced by an investor expecting to receive an uncertain amount of cash flow in a foreign currency on a certain future date T. The investor is also assumed to be exposed to long-term exchange rate risk, and has access only to short-term futures contracts to hedge. A closed form solution for both the optimal hedging strategy and the quality of the hedging areidentified. Next, we explored how those solutions depend on some key factors such as the volatility of the exchange rate, the volatility of the amount of foreign currency to be received and the degree of correlation between all the stochastic variables considered. 2012 artículo científico 1012-8255 https://www.redalyc.org/articulo.oa?id=71624352006 en http://www.redalyc.org/revista.oa?id=716 Academia. Revista Latinoamericana de Administración application/pdf Consejo Latinoamericano de Escuelas de Administración Academia. Revista Latinoamericana de Administración (Perú) Num.50 |
| format | Artículo científico |
| id | redalyc_71624352006 |
| institution | Redalyc |
| language | en |
| publishDate | 2012 |
| publisher | Consejo Latinoamericano de Escuelas de Administración |
| spellingShingle | Long Term Exchange Rate Risk and Hedging with Quantity Uncertainty in a Market that Only Provides Short Term Futures Contracts Augusto Castillo Administración y Contabilidad hedging Risk management quantity uncertainty Long Term Exchange Rate Risk and Hedging with Quantity Uncertainty in a Market that Only Provides Short Term Futures Contracts Augusto Castillo Rafael Aguila Jorge Niño Administración y Contabilidad hedging Risk management quantity uncertainty This paper analyzes the problem faced by an investor expecting to receive an uncertain amount of cash flow in a foreign currency on a certain future date T. The investor is also assumed to be exposed to long-term exchange rate risk, and has access only to short-term futures contracts to hedge. A closed form solution for both the optimal hedging strategy and the quality of the hedging areidentified. Next, we explored how those solutions depend on some key factors such as the volatility of the exchange rate, the volatility of the amount of foreign currency to be received and the degree of correlation between all the stochastic variables considered. 2012 artículo científico 1012-8255 https://www.redalyc.org/articulo.oa?id=71624352006 en http://www.redalyc.org/revista.oa?id=716 Academia. Revista Latinoamericana de Administración application/pdf Consejo Latinoamericano de Escuelas de Administración Academia. Revista Latinoamericana de Administración (Perú) Num.50 |
| title | Long Term Exchange Rate Risk and Hedging with Quantity Uncertainty in a Market that Only Provides Short Term Futures Contracts |
| topic | Administración y Contabilidad hedging Risk management quantity uncertainty |
| url | https://www.redalyc.org/articulo.oa?id=71624352006 |