دانلود رایگان مقاله توقف ریسک نرخ ارز و تنوع چند ارز

Abstract

This article proposes a multi-currency cross-hedging strategy that minimizes the exchange risk. The use of derivatives in small and medium-sized enterprises (SMEs) is not common but, despite its complexity, can be interesting for those with international activities. In particular, the reduction in the exchange risk borne through the use of natural multi-currency cross-hedging is measured, considering Conditional Value-at-Risk (CVaR) and Value-at-Risk (VaR) for measuring market risk instead of the variance. CVaR is minimized using linear programmes, while a multiobjective genetic algorithm is designed for minimizing VaR, considering two scenarios for each currency. The results obtained show that the optimal hedge strategy that minimizes VaR is different from the minimum CVaR hedge strategy. A very interesting point is that, just by investing in other currencies, a significant risk reduction in VaR and CVaR can be obtained.

Conclusions

Movements in exchange rates are a major risk for companies with foreign currency-based activities. Different approaches, such as hedging via forwards, currency swaps, futures options and many other complex financial instruments, have been employed in order to effectively manage risk. Multi-currency cross hedging is relevant because it greatly expands the opportunity set of risk reducing alternatives. VaR and CVaR have been used for measuring currency risk exposure because they are suitable for asymmetric return distributions. This choice is consistent with the asymmetric return distribution functions exhibited in our data set.