Results 1 to 10 of about 259,263 (264)
VaR: Exchange Rate Risk and Jump Risk [PDF]
Journal of Probability and Statistics, 2010 Incorporating the Poisson jumps and exchange rate risk, this paper provides an analytical VaR to manage market risk of international portfolios over the subprime mortgage crisis. There are some properties in the model.
Fen-Ying Chen
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Management of Exchange Rate Risk in SMEs
SEISENSE Journal of Management, 2020 Exchange rate fluctuations represent a challenge for the internationalization of all firms, both big and small. This paper reflects on two aspects of the exchange rate challenge - (i) the exchange rate pass-through and (ii) hedging of exchange rate risk
Imtiaz Badshah, Trond-Arne Borgersen
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Exchange Rates and Sovereign Risk [PDF]
Management Science, 2022 An increase in a country’s sovereign risk, as measured by credit default swap spreads, is accompanied by a contemporaneous depreciation of its currency and an increase of its volatility. The relation between currency excess returns and sovereign risk is mainly driven by default expectations (rather than distress risk premia) and exposure to global ...
Pasquale Della Corte +3 more
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Risk Appetite and Exchange Rates [PDF]
SSRN Electronic Journal, 2010 We present evidence that fluctuations in the aggregate balance sheets of financial intermediaries forecast exchange rate returns—at weekly, monthly, and quarterly frequencies, both in and out of sample, and for a large set of countries. We estimate prices of risk using a cross-sectional, arbitrage-free asset pricing approach and show that balance ...
Adrian, Tobias +2 more
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The effect of hedging exchange rate risk, interest rate risk and commodity price risk with derivative instruments on firm value [PDF]
Management Science Letters, 2021 The purpose of this paper is to analyze the effects of firm value on hedging for exchange rates, interest rates and commodity price risks using derivative instruments as well as examining different types of derivative instruments, including forward ...
Almas, Nadhifah +3 more
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On the spillover of exchange rate risk into default risk [PDF]
Ekonomski Anali, 2009 In order to reduce the exchange-rate risk, banks in emerging markets are typically denominating their loans in foreign currencies. However, in the event of a substantial depreciation of the local currency, the payment ability of a foreign-currency ...
Božović Miloš +2 more
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Persistent exchange-rate changes; state variable and distress risk? [PDF]
Journal of Asset Management and Financing, 2018 exchange rate as a source of uncertainty exposes investors to some kind of risk. When investors are exposure to exchange risk, it’s expected that investors expect higher return but some empirical evidences show that exchange risk is not priced. Since the
Maryam Davallou, Mehdi Davari
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Robust Optimal Investment Strategies with Exchange Rate Risk and Default Risk
Mathematics, 2023 The problem of robust optimal investment with exchange rate risk and default risk is studied. We assume that investors are ambiguity averse and they have access not only to the domestic market but also to the foreign market.
Wei Wang, Qianyan Li, Quan Li, Song Xu
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Exchange Rate Risk and Business Cycles [PDF]
SSRN Electronic Journal, 2020 We show that currencies with a steeper yield curve tend to depreciate at business cycle horizons, in violation of uncovered interest parity (UIP), but the yield curve adds no explanatory power over and above interest differentials in explaining the exchange rate at longer horizons.
Lloyd, S. P., Marin, E. A.
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Optimal Pension Fund Management with Foreign Investment in a Stochastic Environment
Mathematics, 2022 To ensure the success of a pension plan under a self-contained defined contribution (DC) retirement plan, the inclusion of foreign assets in a local pension portfolio could be beneficial for risk diversification and the efficient improvement of a fund’s ...
Mei-Ling Tang +2 more
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