Cross-Hedging of Exchange-Rate Risk
โ Scribed by Udo Broll; Bernhard Eckwert
- Book ID
- 111005615
- Publisher
- John Wiley and Sons
- Year
- 1996
- Tongue
- English
- Weight
- 330 KB
- Volume
- 4
- Category
- Article
- ISSN
- 0965-7576
No coin nor oath required. For personal study only.
๐ SIMILAR VOLUMES
In an intertemporal model the impact of exchange rate risk on an international firm is studied under the assumption that no forward markets are existing in the foreign currency. However, there is a forward traded financial asset, whose spot price is highly correlated with the random spot exchange ra
## Abstract We construct models which enable a decision maker to analyse the implications of typical time series patterns of daily exchange rates for currency risk management. Our approach is Bayesian where extensive use is made of Markov chain Monte Carlo methods. The effects of several model char