Speculative Investment and Risk Management of Bitcoin Exchange Rate Returns

2017 ◽  
Author(s):  
Pedro Bueno ◽  
Emilio Aragon Fortes ◽  
Konstantinos Vlachoski
Keyword(s):  
Risk Management ◽  
Exchange Rate ◽  
Speculative Investment

Equity-linked executive compensation, hedging and foreign exchange exposure: Australian evidence

2019 ◽  
Vol 45 (1) ◽  
pp. 72-93
Author(s):  
Blake Loriot ◽  
Elaine Hutson ◽  
Hue Hwa Au Yong
Keyword(s):  
Risk Management ◽  
Exchange Rate ◽  
Executive Compensation ◽  
Foreign Exchange ◽  
Jel Classification ◽  
Foreign Exchange Risk ◽  
Exchange Rate Movements ◽  
Exchange Risk ◽  
Foreign Exchange Exposure ◽  
Exchange Risk Management

Using a sample of 268 Australian firms over the period 2009–2014, we examine the relation between the equity-linked compensation (shares and options) of Australian executives – CEOs, CFOs and directors – and firms’ foreign exchange hedging programmes. We find that the greater the number of shares held by CEOs, the higher its exposure to exchange rate movements. While this suggests that remuneration in the form of shares has a critical downside, we also find evidence for a more positive and important role in foreign exchange risk management for the share- and option-related incentives provided to CFOs. JEL Classification: G32, G15, F31

scholarly journals El peso mexicano: la gestión de cobertura del riesgo cambiario mediante la teoría de los efectos olvidados

2012 ◽  
Vol 17 (32) ◽  
pp. 53-73
Author(s):  
Ricardo Salazar Garza ◽  
Keyword(s):  
Decision Making ◽  
Risk Management ◽  
Fuzzy Logic ◽  
Exchange Rate ◽  
Nonlinear Model ◽  
Lower Cost ◽  
Exchange Rate Risk ◽  
Traditional Methods ◽  
Economic Agents ◽  
Future Exchange

This paper is about developing a nonlinear model to predict the behavior of future exchange rate based on the opinion of the economic agents participating in the dollar/peso market. Such views are treated with Fuzzy Logic and a variant of it, known as the Theory of Forgotten Effects. The aim is to find a mechanism for making coverage decisions that allow us an optimal exchange rate risk management at a lower cost than that which involves operations with traditional hedging instruments. For the period of investigation and applying this model, the results support that the collective opinions of economic experts involved in the decision making risk management of exchange rate provide better results than those using traditional methods in the future markets.

scholarly journals Alarming of exchange rate crisis: A risk management approach

2016 ◽  
Vol 6 (2) ◽  
pp. 79-88
Author(s):  
Da Zhao ◽  
Tianhao Wu
Keyword(s):  
Risk Management ◽  
Exchange Rate ◽  
Foreign Exchange ◽  
Foreign Exchange Market ◽  
Management Approach ◽  
Exchange Market ◽  
Sample Data ◽  
Out Of Sample ◽  
Exchange Markets ◽  
Development Levels

Recently, with increasing volatility of foreign exchange rate, risk management becomes more and more important not only for multinational companies and individuals but also for central governments. This paper attempts to build an econometrics model so as to forecast and manage risks in foreign exchange market, especially during the eve of turbulent periods. By following McNeil and Frey’s (2000) two stage approach called conditional EVT to estimate dynamic VaR commonly used in stock and insurance markets, we extend it by applying a more general asymmetric ARMA-GARCH model to analyze daily foreign exchange dollar-denominated trading data from four countries of different development levels across Asia and Europe for a period of more than 10 years from January 03, 2005 to May 29, 2015, which is certainly representative of global markets. Conventionally, different kinds of backtesting methods are implemented ultimately to evaluate how well the model behaves. Inspiringly, test results show that by taking several specific characteristics (including fat-tails, asymmetry and long-range dependence) of the foreign exchange market return data into consideration, the violation ratio of out-of-sample data can be forecasted very well for both fixed and flexible foreign exchange regimes. Moreover, all of the violations are evenly distributed along the whole period which indicates another favorable property of our model. Meanwhile, we find evidence of asymmetry volatility in all of the studied foreign exchange markets even though the magnitudes of the most of them are weak.

Exchange Rate Risk Management: Evidence from East Asia

2000 ◽  
Author(s):  
George S. Allayannis ◽  
Gregory W. Brown ◽  
Leora F. Klapper
Keyword(s):  
Risk Management ◽  
Exchange Rate ◽  
East Asia ◽  
Exchange Rate Risk ◽  
Rate Risk

Exchange Rate Risk Management: Evidence from East Asia

2000 ◽  
Author(s):  
Leora F. Klapper ◽  
George Allayannis ◽  
Gregory W. Brown
Keyword(s):  
Risk Management ◽  
Exchange Rate ◽  
East Asia ◽  
Exchange Rate Risk ◽  
Rate Risk

Strategies of Indian Firms in Coping With Forex Risk Management: An Inquiry Through Case-Research Method

2015 ◽  
Vol 6 (1) ◽  
pp. 13
Author(s):  
P. Bala Bhaskaran ◽  
P. K. Priyan
Keyword(s):  
Risk Management ◽  
Exchange Rate ◽  
Research Method ◽  
Foreign Exchange Rate ◽  
Exposure Risk ◽  
Manufacturing Plants ◽  
Case Research ◽  
The Past ◽  
Exchange Rate Fluctuations ◽  
Generic Strategy

More and more Indian firms are becoming global in their operations - through exports and imports, by setting up manufacturing plants abroad and through joint-ventures and tie-ups. In this process most of them are dealing with multiple currencies. This has increased the overall exposure of Indian firms to foreign exchange-rate fluctuations. How have they been coping with the risk associated with the exchange-rate fluctuations? In order to explore this, the authors have engaged the case-research method. The authors studied 64 cases for this purpose. Of these 27, firms have been handling forex exposure and/or have had at least one near-crisis situation in the past. The remaining 37 cases are Indian firms from sectors like Textiles, IT, Gems and Jewelry, Pharma, Engineering, FMCG and Energy. The study focused on the context of these firms, their business model, the sources of forex exposure and the policies and practices of managing forex exposure risk. The authors have tried to identify the basic factors underlying the forex exposure and to identify patterns, if any, in the coping-strategy. They conclude that the insights would help formulate a generic strategy.

Sign in / Sign up

Export Citation Format

Share Document