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Displaying results 1 to 25 of 1078.

  1. Currency mismatches and vulnerability to exchange rate shocks
    nonfinancial firms in Colombia
    Author: Barajas, Adolfo; Restrepo Ochoa, Sergio Iván; Steiner, Roberto; Medellín, Juan Camilo; Pabón, César
    Published: November 2017
    Publisher:  International Monetary Fund, [Washington, D.C.]

    After building up foreign currency denominated (FC) liabilities over several years, Colombian firms might be vulnerable to a shift in external conditions. We undertake three empirical exercises to better understand these vulnerabilities. First, we... more

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    Staatsbibliothek zu Berlin - Preußischer Kulturbesitz, Haus Unter den Linden
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    After building up foreign currency denominated (FC) liabilities over several years, Colombian firms might be vulnerable to a shift in external conditions. We undertake three empirical exercises to better understand these vulnerabilities. First, we identify the determinants of FC borrowing. Second, we investigate the implications for real activity, finding a balance sheet effect that transmits exchange rate fluctuations to investment and is asymmetric, much stronger for depreciations than for appreciations. Finally, we find that foreign exchange derivatives are not used solely for hedging, due in part to monetary authority intervention to smooth exchange rate volatility. However, a full explanation remains open for future research

     
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  2. Welfare gains from market insurance
    the case of Mexican oil price risk
    Author: Ma, Chang; Valencia, Fabian
    Published: March 2018
    Publisher:  International Monetary Fund, [Washington, D.C.]

    Over the past two decades, Mexico has hedged oil price risk through the purchase of put options. We examine the resulting welfare gains using a standard sovereign default model calibrated to Mexican data. We show that hedging increases welfare by... more

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    Over the past two decades, Mexico has hedged oil price risk through the purchase of put options. We examine the resulting welfare gains using a standard sovereign default model calibrated to Mexican data. We show that hedging increases welfare by reducing income volatility and reducing risk spreads on sovereign debt. We find welfare gains equivalent to a permanent increase in consumption of 0.44 percent with 90 percent of these gains stemming from lower risk spreads

     
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  3. Canadian short-term interest rates and the BAX futures market
    an analysis of the impact of volatility on hedging activity and the correlation of returns between markets
    Author: Watt, David G.
    Published: 1997

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    W 765 (97.18)
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Print
    Series: Array ; 97,18
    Subjects: Hedging; Zinsrisiko; Derivat; Schätzung; Theorie; Kanada
    Scope: 36 S. : graph. Darst
  4. Why hedge?
    a critical review of theory and empirical evidence
    Author: Ammon, Norbert
    Published: 1998
    Publisher:  ZEW, Mannheim

    Finance theory does not provide a comprehensive framework for explaining risk management within the imperfect financial environment in which firms operate. Corporate managers, however, rank risk management as one of their most important objectives.... more

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    Staats- und Universitätsbibliothek Bremen
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    bc 1298-9818
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    Niedersächsische Staats- und Universitätsbibliothek Göttingen
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    2 : Z 2027 -98-18-
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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    W 636 (98.18)
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    Leuphana Universität Lüneburg, Medien- und Informationszentrum, Universitätsbibliothek
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    99-3789
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    Finance theory does not provide a comprehensive framework for explaining risk management within the imperfect financial environment in which firms operate. Corporate managers, however, rank risk management as one of their most important objectives. Therefore, it is not surprising that papers on the question why firms hedge are mushrooming. This paper critically reviews this literature and analyses the implications for risk management practice. It is distinguished between two competing approaches to corporate hedging: equity value maximising strategies and strategies determined by managerial risk aversion. The first category suggests that managers act in the best interest of shareholders. They hedge to reduce real costs like taxes, costs of financial distress and costs of external finance or to replace home-made hedging by shareholders. The second category considers that managers maximise their personal utility rather than the market value of equity. Their hedging strategy, therefore, is determined by their compensation plan and reputational concerns. There is ambiguous empirical evidence on the dominant hedging motive. It depends on the environment in which firms operate (e.g. tax schedule) and on firm characteristics (e.g. capital intensity). In general, one can observe that (i) hedging taxable income is of minor importance, (ii) firms with a high probability of financial distress hedge more, (iii) companies with greater growth opportunities hedge more, (iv) managers with common stockholdings hedge more than managers with option holdings and (v) high ability managers hedge more than low ability managers. The total benefits of hedging are not the sum across the various motives. Therefore, a manager has to concentrate on a primary motive to implement an effective risk management programme: If his primary motive is to minimise corporate taxes, he will hedge taxable income. If his primary concern is to reduce the costs of financial distress and if he can faithfully communicate the firm's true probability of default, his hedging strategy will focus on the market value of debt and equity. If hedging is prompted to reduce the demand for costly external finance, he will hedge cash flows. If the manager is concerned with his reputation, he will focus on accounting earnings. Once he has focused on a certain exposure, the manager has to decide whether he wants to minimise the volatility of this exposure or simply avoid large losses.

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Print
    Series: Array ; 98-18
    Subjects: Risikomanagement; Hedging; Theorie der Unternehmung; Prinzipal-Agent-Theorie; Shareholder Value; Theorie; Welt
    Scope: 43 S
    Notes:

    Literaturverz. S. 38 - 43

    Zsfassung in dt. Sprache
  5. The use of derivatives markets for hedging currency risks
    Author: Battermann, Harald L.; Broll, Udo
    Published: 1997
    Publisher:  Volkswirtschaftl. Fak., Univ., München

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    W 63 (97.18)
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Print
    Series: Münchener wirtschaftswissenschaftliche Beiträge ; 97-18
    Subjects: Währungsmanagement; Hedging; Derivat; Theorie
    Scope: 11 S., graph. Darst.
    Notes:

    Literaturverz. S. 10 - 11
  6. Hedging langfristiger Lieferverpflichtungen mit kurzfristigen Futures
    möglich oder unmöglich?
    Author: Bühler, Wolfgang; Korn, Olaf
    Published: 1998
    Publisher:  ZEW, Mannheim

    Im Laufe des Jahres 1993 war die Metallgesellschaft Refining & Marketing (MGRM), eine US-amerikanische Tochtergesellschaft der Metallgesellschaft AG, in großem Umfang die Verpflichtung eingegangen, langfristig Öl zu Festpreisen zu liefern. Das... more

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    bc 1298-9820
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    2 : Z 2027 -98-20-
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    Universitäts- und Landesbibliothek Sachsen-Anhalt / Zentrale
    Signature:
    Z 345 (98/20)
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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    W 636 (98.20)
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    Im Laufe des Jahres 1993 war die Metallgesellschaft Refining & Marketing (MGRM), eine US-amerikanische Tochtergesellschaft der Metallgesellschaft AG, in großem Umfang die Verpflichtung eingegangen, langfristig Öl zu Festpreisen zu liefern. Das dadurch entstehende Preisrisiko sollte über Derivate reduziert bzw. ausgeschaltet werden. Da die vorgesehenen Liefertermine bis zu zehn Jahre in der Zukunft lagen, existierten keine laufzeitäquivalenten Ölderivate. Statt dessen kaufte die MGRM eine dem gesamten zukünftigen Liefervolumen entsprechende Anzahl von Terminkontrakten mit kurzer Laufzeit von meist nur einem Monat. Bei Fälligkeit wurden die Positionen in den nächsten kurz laufenden Kontrakt überrollt. Diese Hedgestrategie führte letztlich zu einer Krise des gesamten Konzerns, die im Dezember 1993 in der Ablösung des Vorstandes, der schrittweisen Auflösung der Ölgeschäfte und Verlusten in Milliardenhöhe gipfelte.

     
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    Source: Union catalogues
    Language: German
    Media type: Book
    Format: Print
    Series: Array ; 98-20
    Subjects: Mineralölhandel; Rohstoffderivat; Hedging; Optionspreistheorie; Theorie; Schätzung; Ölmarkt; Welt
    Scope: 55 S, graph. Darst
    Notes:

    Literaturverz. S. 41 - 43

    Zsfassung in engl. Sprache
  7. Export and hedging decision with state-dependent utility
    Author: Broll, Udo; Eckwert, Bernhard
    Published: 1998
    Publisher:  Volkswirtschaftl. Fak., Univ., München

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    Leibniz-Institut für Wirtschaftsforschung Halle, Bibliothek
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    Mag21442
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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    W 63 (98.02)
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    Source: Union catalogues
    Language: English
    Media type: Book
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    Series: Münchener wirtschaftswissenschaftliche Beiträge ; 98-02
    Subjects: Währungsmanagement; Hedging; Außenhandelssektor; Erwartungsnutzen; Theorie
    Scope: 9 S.
  8. Futures markets and hedging real profit risk
    Author: Battermann, Harald L.; Broll, Udo
    Published: 1998
    Publisher:  Univ., München

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    Leibniz-Institut für Wirtschaftsforschung Halle, Bibliothek
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    Mag21444
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    Technische Informationsbibliothek (TIB) / Leibniz-Informationszentrum Technik und Naturwissenschaften und Universitätsbibliothek
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    KAP 10137
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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    W 63 (98.08)
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    Source: Union catalogues
    Language: English
    Media type: Book
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    Series: Münchener wirtschaftswissenschaftliche Beiträge ; 98-08
    Subjects: Währungsmanagement; Hedging; Außenhandelssektor; Risiko; Devisenmarkt; Theorie
    Scope: 10 S., graph. Darst.
    Notes:

    Literaturverz. S. 9 - 10
  9. Hedge funds
    what do we really know?
    Author: Eichengreen, Barry; Mathieson, Donald J.
    Published: 1999
    Publisher:  Internat. Monetary Fund, Washington, DC

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    Niedersächsische Staats- und Universitätsbibliothek Göttingen
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    Y AL 91:19
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    Niedersächsische Staats- und Universitätsbibliothek Göttingen
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    32 968/19
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    Leibniz-Institut für Agrarentwicklung in Transformationsökonomien, Bibliothek
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    A 3.2.9 Eich
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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    B 314730
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Print
    ISBN: 1557758492
    Series: Economic issues / International Monetary Fund ; 19
    Subjects: Investmentfonds; Hedging; Welt
    Scope: III, 22 S, Ill
  10. Zinsänderungsrisiken
    optimaler Einsatz von Futures beim Risikomanagement der Banken
    Author: Broll, Udo; Jaenicke, Johannes
    Published: 1998
    Publisher:  Univ., Volkswirtschaftl. Fak., München

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    Technische Informationsbibliothek (TIB) / Leibniz-Informationszentrum Technik und Naturwissenschaften und Universitätsbibliothek
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    KAP 10435
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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    W 63 (98.17)
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    Source: Union catalogues
    Language: German
    Media type: Book
    Format: Print
    Series: Münchener wirtschaftswissenschaftliche Beiträge ; 98-17
    Subjects: Bankrisiko; Zinsrisiko; Zinsderivat; Kreditrisiko; Hedging; Theorie
    Scope: 21 S, graph. Darst
    Notes:

    Literaturverz. S. 19 - 21
  11. Dynamic hedging under exchange rate risk
    Author: Schubert, Stefan Franz; Broll, Udo
    Published: 1998
    Publisher:  Univ., Volkswirtschaftl. Fak., München

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    Leibniz-Institut für Wirtschaftsforschung Halle, Bibliothek
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    Mag22818
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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    W 63 (98.21)
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    Language: English
    Media type: Book
    Format: Print
    Series: Münchener wirtschaftswissenschaftliche Beiträge ; 98-21
    Subjects: Währungsmanagement; Hedging; Außenhandelssektor; Währungsrisiko; Intertemporale Entscheidung; Theorie
    Scope: 22 S, a
    Notes:

    Literaturverz. S. 21 - 22
  12. Pricing and hedging of oil futures
    a unifying approach
    Author: Bühler, Wolfgang; Korn, Olaf; Schöbel, Rainer
    Published: 2000
    Publisher:  Wirtschaftswiss. Fak. der Eberhard-Karls-Univ., Tübingen ; Wirtschaftswiss. Seminar, Eberhard-Karls-Univ.

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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Print
    DDC Categories: 330; 380; 650; 670
    Series: Tübinger Diskussionsbeiträge ; Nr. 190
    Subjects: Erdölpreis; Warentermingeschäft; Warenterminhandel; Warenterminmarkt; Warenterminoption; Optionspreistheorie; Hedging; Strategie; Schätzung; Theorie; Termingeschäft ; Öl
    Other subjects: (stw)Ölpreis; (stw)Rohstoffderivat; (stw)Optionspreistheorie; (stw)Hedging; (stw)Strategie; (stw)Schätzung; (stw)Theorie; (stw)Welt; oil futures; Arbeitspapier; Graue Literatur; Buch
    Scope: 33, 4, 9 Bl., graph. Darst., 30 cm
    Notes:

    Literaturverz. Bl. 32 - 33
  13. A systematic approach to pricing and hedging of international derivates with interest rate risk
    Author: Frey, Rüdiger; Sommer, Daniel
    Published: 1996
    Publisher:  Sonderforschungsbereich 303, Bonn

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    Language: English
    Media type: Book
    Format: Print
    DDC Categories: 330; 380; 650; 670
    Edition: Rev. version
    Series: Discussion paper / Sonderforschungsbereich 303, Information und die Koordination Wirtschaftlicher Aktivitäten, B, Rheinische Friedrich-Wilhelms-Universität Bonn ; No. 306
    Subjects: Optionspreistheorie; Devisenmarkt; Zinsänderungsrisiko; Hedging; Theorie
    Other subjects: (stw)Optionspreistheorie; (stw)Devisenmarkt; (stw)Zinsrisiko; (stw)Hedging; (stw)Theorie; Arbeitspapier; Graue Literatur; Buch
    Scope: 22 S., 30 cm
  14. The pricing and hedging of options in finitely elastic markets
    Author: Frey, Rüdiger
    Published: 1996
    Publisher:  Sonderforschungsbereich 303, Bonn

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    Language: English
    Media type: Book
    Format: Print
    DDC Categories: 330; 380; 650; 670
    Series: Discussion paper / Sonderforschungsbereich 303, Information und die Koordination Wirtschaftlicher Aktivitäten, B, Rheinische Friedrich-Wilhelms-Universität Bonn ; No. 372
    Subjects: Optionspreistheorie; Preiselastizität; Hedging; Theorie
    Other subjects: (stw)Optionspreistheorie; (stw)Preiselastizität; (stw)Hedging; (stw)Theorie; Arbeitspapier; Graue Literatur; Buch
    Scope: 27 S., graph. Darst., 30 cm
  15. Locally minimizing the credit risk
    Author: Lotz, Christopher
    Published: 1998
    Publisher:  Sonderforschungsbereich 303, Bonn

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    Language: English
    Media type: Book
    Format: Print
    DDC Categories: 330; 380; 650; 670
    Series: Discussion paper / Sonderforschungsbereich 303 "Information und die Koordination wirtschaftlicher Aktivitäten" : B / Projektbereich B ; No. 433
    Subjects: Kreditrisiko; Rentenmarkt; Hedging; Theorie
    Other subjects: (stw)Kreditrisiko; (stw)Rentenmarkt; (stw)Hedging; (stw)Theorie; Arbeitspapier; Graue Literatur; Buch
    Scope: 36 S., 30 cm
    Notes:

    Literaturverz. S. 34 - 36
  16. Superreplication in stochastic volatility models and optimal stopping
    Author: Frey, Rüdiger
    Published: 1998
    Publisher:  Sonderforschungsbereich 303, Bonn

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    DDC Categories: 330; 380; 650; 670
    Series: Discussion paper / Sonderforschungsbereich 303, Information und die Koordination Wirtschaftlicher Aktivitäten, B, Rheinische Friedrich-Wilhelms-Universität Bonn ; No. 435
    Subjects: Optionspreistheorie; Volatilität; Stochastischer Prozess; Hedging; Sequenzielle Suche; Suchtheorie; Black-Scholes-Modell; Theorie
    Other subjects: (stw)Optionspreistheorie; (stw)Volatilität; (stw)Stochastischer Prozess; (stw)Hedging; (stw)Suchtheorie; (stw)Black-Scholes-Modell; (stw)Theorie; Arbeitspapier; Graue Literatur; Buch
    Scope: 21 S., 30 cm
    Notes:

    Literaturverz. S. 19 - 21
  17. Möglichkeiten des Risikomanagements für rohstoffexportierende Entwicklungsländer
    Author: Bäcker, Gabriele
    Published: 1998
    Publisher:  Inst. für Entwicklungsforschung und Entwicklungspolitik, Bochum

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    Language: German
    Media type: Book
    Format: Print
    ISBN: 9783927276529; 3927276529
    RVK Categories: QB 400
    DDC Categories: 330; 380; 650; 670
    Series: Materialien und kleine Schriften / Institut für Entwicklungsforschung und Entwicklungspolitik, Ruhr-Universität Bochum ; Bd. 166
    Subjects: Rohstoffwirtschaft; Exportpreis; Exporterlös; Hedging; Warentermingeschäft; Warenterminhandel; Warenterminmarkt; Warenterminoption; Risikomanagement
    Other subjects: (stw)Rohstoffwirtschaft; (stw)Exportpreis; (stw)Hedging; (stw)Rohstoffderivat; (stw)Risikomanagement; (stw)Entwicklungsländer; Graue Literatur; Buch
    Scope: 55 S., 30 cm
  18. Pricing and hedging of contingent claims in term structure models with exogenous issuing of new bonds
    Author: Sommer, Daniel
    Published: 1997
    Publisher:  Sonderforschungsbereich 303, Bonn

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    Language: English
    Media type: Book
    Format: Print
    DDC Categories: 330; 380; 650; 670
    Series: Discussion paper / Sonderforschungsbereich 303, Information und die Koordination Wirtschaftlicher Aktivitäten, B, Rheinische Friedrich-Wilhelms-Universität Bonn ; No. 397
    Subjects: Zerobond; Hedging; Optionspreistheorie; Zinsstruktur; Emissionsgeschäft; Theorie
    Other subjects: (stw)Zero-Bond; (stw)Hedging; (stw)Optionspreistheorie; (stw)Zinsstruktur; (stw)Emissionsgeschäft; (stw)Theorie; Arbeitspapier; Graue Literatur; Buch
    Scope: 27 S., 30 cm
  19. A systematic approach to pricing and hedging of international derivates with interest rate risk
    Author: Frey, Rüdiger; Sommer, Daniel
    Published: 1995
    Publisher:  Sonderforschungsbereich 303, Bonn

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    Source: Union catalogues
    Language: German
    Media type: Book
    Format: Print
    DDC Categories: 330; 380; 650; 670
    Series: Discussion paper / Sonderforschungsbereich 303, Information und die Koordination Wirtschaftlicher Aktivitäten, B, Rheinische Friedrich-Wilhelms-Universität Bonn ; No. 306
    Subjects: Optionspreistheorie; Devisenmarkt; Zinsänderungsrisiko; Hedging; Theorie
    Other subjects: (stw)Optionspreistheorie; (stw)Devisenmarkt; (stw)Zinsrisiko; (stw)Hedging; (stw)Theorie; Arbeitspapier; Graue Literatur; Buch
    Scope: 30 S., 30 cm
  20. Pricing and hedging of oil futures - a unifying approach -
    Author: Bühler, Wolfgang; Korn, Olaf; Schöbel, Rainer
    Published: 2000
    Publisher:  Universitätsbibliothek Tübingen, Tübingen

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  21. International equity portfolios and currency hedging
    the viewpoint of German and Hungarian investors
    Author: Bugar, Gyöngyi; Maurer, Raimond
    Published: 2001
    Publisher:  Sonderforschungsbereich 504, Mannheim

    Location:
    Max-Planck-Institut für Bildungsforschung, Bibliothek und wissenschaftliche Information
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Print
    Series: Sonderforschungsbereich Rationalitätskonzepte, Entscheidungsverhalten und Ökonomische Modellierung ; 01,10
    Subjects: Portfolio-Management; International; Portfolio-Investition; Währungsmanagement; Internationaler Finanzmarkt; Risiko; Hedging; Deutschland; Ungarn
    Scope: 27 Bl, graph. Darst
    Notes:
  22. Fair valuation of insurance liabilities
    merging actuarial judgement and market-consistency
    Author: Dhaene, Jan; Stassen, Ben; Barigou, Karim; Linders, Daniël; Chen, Ze
    Published: September 2017

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    Source: Union catalogues
    Language: English
    Media type: Article (journal)
    Format: Print
    Other identifier:
    Parent title: Enthalten in: Insurance / Mathematics & economics; Amsterdam : Elsevier, 1982; 76(2017) vom: Sept., Seite 14-27

    Subjects: Versicherungsmarkt; Hedging; Zeitkonsistenz; Finanzmathematik; Versicherungsökonomik
  23. Optimal dynamic hedging using futures under a borrowing constraint
    Author: Deep, Akash
    Published: 2002
    Publisher:  Bank for International Settlements, Basle

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    W 910 (109)
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Print
    Series: BIS working papers ; 109
    Subjects: Hedging; Derivat; Betriebliche Liquidität; Theorie; Hedging (Finance); Futures; Liquidity (Economics); Risk
    Scope: 30 S, graph. Darst
    Notes:

    Literaturverz. S. 29 - 30
  24. Hedging options in a Garch environment
    testing the term structure of stochastic volatility models
    Author: Engle, Robert F.; Rosenberg, Joshua V.
    Published: 1994

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    W 1 (4958)
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Print
    Series: Array ; 4958
    Subjects: Optionspreistheorie; CAPM; Hedging; Theorie
    Scope: 26 S
  25. Asset allocation
    investment style and hedging style of internationally diversified funds
    Author: Rudolf, Markus; Gallati, Reto Rolf
    Published: 1995

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    W 249 (9507)
    Inter-library loan:
    Unlimited inter-library loan, copies and loan
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Print
    Series: Array ; 9507
    Subjects: CAPM; Portfolio-Management; Währungsderivat; Hedging; Theorie; Schätzung; Schweiz; Welt
    Scope: 29 S. : graph. Darst