| dc.contributor.author | Tichý, Tomáš | |
| dc.date.accessioned | 2012-02-01T10:56:46Z | |
| dc.date.available | 2012-02-01T10:56:46Z | |
| dc.date.issued | 2009 | |
| dc.identifier.citation | Ekonomická revue. 2009, roč. 12, č. 2, s. 69-81 : il. | cs |
| dc.identifier.issn | 1212-3951 | |
| dc.identifier.uri | http://hdl.handle.net/10084/90095 | |
| dc.format.extent | 829167 bytes | |
| dc.format.mimetype | application/pdf | |
| dc.language.iso | cs | |
| dc.publisher | Vysoká škola báňská - Technická univerzita Ostrava | cs |
| dc.relation.ispartofseries | Ekonomická revue | cs |
| dc.relation.uri | http://dx.doi.org/10.7327/cerei.2009.06.03 | |
| dc.rights | © Vysoká škola báňská - Technická univerzita Ostrava | cs |
| dc.title | Posouzení metody částečného hedgingu na případu řízení měnového rizika nefinanční instituce | cs |
| dc.type | article | |
| dc.description.abstract-en | Financial risk management is an inherent part of each business activity. The analysis of available hedging
strategies, theirs interconnection with efficient market and firm value theories, as well as various empirical
studies are regular theme of scientific papers. In this study we focus on an alternative approach to hedging of
financial risk of non-financial institutions – the partial hedging approach with shortfall acceptation. This
approach initiates from Föllmer and Leukert (1999) method of quantile hedging. It is also related to cashflow at
risk approach of Stein et al. (2001). The approach to hedging presented in this paper is based on a combined
option position, so that a substantial decrease in initial capital needs can be achieved by accepting of some
probability of shortfall. The strategy is studied under various circumstances given e.g. by risk neutral and real
market probabilities. Simultaneously, it is compared to more standard strategies of hedging. Finally, we present
two interesting findings: (i) real world probability of shortfall significantly differs from the risk neutral one, (ii)
at first sight insignificant error in simulation results can have important influence on the interpretation of partial
hedging strategies. | cs |
| dc.identifier.doi | 10.7327/cerei.2009.06.03 | |
| dc.rights.access | openAccess | |
| dc.type.version | publishedVersion | |
| dc.type.status | Peer-reviewed | |