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Currency Risk and Country Risk in International Banking
The Journal of Finance, 1985ABSTRACTThis paper focuses on the conditions under which banks are subject to currency and country risks on their dollar‐denominated loans to foreign firms and governments. We conclude that currency risk is a function of the rates of domestic and foreign inflation, deviations from purchasing power parity, and the effect of these deviations on the firm ...
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Vision: The Journal of Business Perspective, 1998
With market frontiers expanding and financial price volatility and risk going up, management of foreign exchange risk assumes importance. The implications of increased involvement of Indian companies in international trade and finance require managers to measure the foreign exchange exposure and manage it to maximise profitability, net cash flow and ...
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With market frontiers expanding and financial price volatility and risk going up, management of foreign exchange risk assumes importance. The implications of increased involvement of Indian companies in international trade and finance require managers to measure the foreign exchange exposure and manage it to maximise profitability, net cash flow and ...
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Currency Risk in Currency Unions
2013Sovereign yield spreads within currency unions may reflect the risk of outright default. Yet, if exit from the currency union is possible, spreads may also reflect currency risk. In this paper, we develop a New Keynesian model of a small member country of a currency union, allowing both for default within and exit from the union.
Kriwoluzky, Alexander +2 more
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Firms, do you know your currency risk exposure? Survey results [PDF]
Journal of Empirical Finance, 2000 This paper surveys the currency risk management practices of Swiss industrial corporations. We find tha industrials do not quantify their currency risk exposure and investigate possible reasons.
Pichler, Karl +3 more
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2018
This book demonstrates how exporters’ decisions regarding choice of invoice currency can be influenced by many factors including firm size, product competitiveness, intra/inter-firm trades, and the geography of export destination. The aim is to enhance our understanding of exporters’ behavior in terms of managing currency risk.
Junko Shimizu +3 more
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This book demonstrates how exporters’ decisions regarding choice of invoice currency can be influenced by many factors including firm size, product competitiveness, intra/inter-firm trades, and the geography of export destination. The aim is to enhance our understanding of exporters’ behavior in terms of managing currency risk.
Junko Shimizu +3 more
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1990
We have seen in Chapter 10 methodologies whereby to represent uncertainty and manipulate uncertainty-affected propositions. One particular class of uncertainty is the likelihood of the loss (or gain) of an asset or of return on it, which in a generic way can be one definition of “risk”.
Louis F. Pau, Claudio Gianotti
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We have seen in Chapter 10 methodologies whereby to represent uncertainty and manipulate uncertainty-affected propositions. One particular class of uncertainty is the likelihood of the loss (or gain) of an asset or of return on it, which in a generic way can be one definition of “risk”.
Louis F. Pau, Claudio Gianotti
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Pricing Risks Across Currency Denominations
SSRN Electronic Journal, 2015We use principal component analysis on 55 bilateral exchange rates of 11 developed currencies to identify two important global risk sources in foreign exchange (FX) markets. The risk sources are related to Carry and Dollar but are not spanned by these factors.
Thomas A. Maurer +2 more
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Evaluating Currency Risk in Emerging Markets
Acta Applicandae Mathematicae, 2007zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Novak, S. Y., Dalla, V., Giraitis, L.
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Currency Risk in Emerging Equity Markets
SSRN Electronic Journal, 2002Abstract The paper develops an international capital asset-pricing model (ICAPM), which includes foreign currency risk, and examines the impact of capital market liberalisation on the pricing of risks. It applies the model to data from Pacific Basin financial markets and finds substantial evidence that not only currency risk is priced in both pre ...
Kate Phylaktis, Fabiola Ravazzolo
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Differences in Beliefs and Currency Risk Premia
SSRN Electronic Journal, 2009This paper investigates how heterogeneous beliefs of professional investors impact on the currency options market. Using a unique data set with detailed information on the foreign-exchange forecasts of about 50 market participants over more than ten years, we construct an empirical proxy for differences in beliefs.
Beber, A., Breedon, F., Buraschi, A.
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