Results 81 to 90 of about 928 (114)
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Currency Risk and Relative Price Risk
The Journal of Financial and Quantitative Analysis, 1984This paper demonstrates the strong linkages that exist between currency risk, represented by inflation risk and exchange rate changes, and relative price risk. These linkages affect the optional quantities of forward exchange contracts, nominal debt, and fixed price sales (purchase) contracts to use in hedging against these risks.
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Pricing currency risk : facts and puzzles from currency boards [PDF]
, 2002 The authors investigate the patterns and determinants of the currency risk premium in two currency boards-Argentina and Hong Kong. Despite the presumed rigidity of currency boards, currency premium is almost always positive and at times very large.
Sergio L. Schmukler, Luis Serven
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Measurements of Currency Risks
1988We have discussed two fundamental questions so far: 1. Why is a company worried about exchange rate swings in the first place? 2. What specific risks does it have?
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Credit Risk Exposure with Currency Swaps
European Financial Management, 1997Most countries have adopted the proposals of the Bank for International Settlements (BIS) to cover credit risks incurred by banks and security institutions. For derivatives the exposed amount has been defined as the positive marked‐to‐market value plus an add‐on factor.
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Dealer Risk Limits and Currency Returns
Federal Reserve Bank of Boston Research Department Working PapersWe leverage supervisory microdata to uncover the role of global banks' risk limits in driving exchange rate dynamics. Consistent with a model of currency intermediation under risk constraints, shocks to dealers' risk limits lead to price and quantity adjustments in the foreign exchange market. We show that dealers adjust their net position and increase
Barbiero, Omar +3 more
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Equity tail risk and currency risk premiums
Journal of Financial Economics, 2022Zhenzhen Fan, Juan M Londono
exaly
2017
Emerging country governments increasingly issue local currency denominated bonds and foreign investors have been increasing their holdings of these assets. By issuing debt denominated in local currency, emerging country governments eliminate exchange rate risk.
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Emerging country governments increasingly issue local currency denominated bonds and foreign investors have been increasing their holdings of these assets. By issuing debt denominated in local currency, emerging country governments eliminate exchange rate risk.
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The time-varying risk price of currency portfolios
Journal of International Money and Finance, 2022Joseph P Byrne +2 more
exaly
Global currency hedging with common risk factors
Journal of Financial Economics, 2020Steven J Riddiough
exaly