کد مقاله کد نشریه سال انتشار مقاله انگلیسی ترجمه فارسی نسخه تمام متن
1009084 938828 2016 6 صفحه PDF ندارد دانلود رایگان
عنوان انگلیسی مقاله
Hedging foreign exchange rate risk: Multi-currency diversification
ترجمه فارسی عنوان
مصون سازی ریسک نرخ ارز: تنوع چند ارز
کلمات کلیدی
مصونیت متقابل ؛ ارزش در معرض خطر شرطی ؛ ارزش در معرض خطر؛ تنوع چند ارز؛ الگوریتم ژنتیک چند هدفه
G 11; G 32; C 63Cross-hedging; Conditional Value-at-Risk; Value-at-Risk; Multi-currency diversification; Multiobjective genetic algorithm
موضوعات مرتبط
علوم انسانی و اجتماعی مدیریت، کسب و کار و حسابداری مدیریت فناوری و نوآوری
چکیده انگلیسی

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.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: European Journal of Management and Business Economics - Volume 25, Issue 1, 4 January 2016, Pages 2–7
نویسندگان
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