Zajištění měnového a komoditního rizika ve vybraném podniku

Abstract

Risks are everywhere and a lot of subjects try to eliminate them. In terms of elimination of risks they can be divided into two categories which their sum is total risk. Non-Systematic risk is connected with a specific asset and can be eliminated by diversification. Systematic risk depends on whole market and can be eliminated by hedging. The goal of thesis is hedging of OKD PLC. This coal-mining company is the biggest producer of black coal in Czech Republic. Hedged risks are currency risk and commodity risk. By the means of Monte Carlo simulation was evaluated histograms of hedging effects of different hedging strategies. In total comparison were used different ratios of hedged and unhedged position. Then the different ratios of hedging by forward and options spreads were used. There is also separate chapter about using technical analysis for decision making of using hedging or staying unhedged at the end of application part of the text. In total comparison was used long strangle for currency risk hedging and short forward for commodity risk hedging.