Hedging měnového rizika v podniku Biocel Paskov, a. s.

Abstract

Bc. TUMLÍŘOVÁ H. Hedging of FX rate risk in Biocel Paskov, a. s. Thesis , Ostrava : VŠB - Technical University of Ostrava , 2014 , 86 pages.

This thesis is focused to select appropriate strategies for hedging currency risks in the company Biocel Paskov , a. s. using specific hedging strategies , including the determination of the impact of these strategies on the value of the chosen company .

The thesis is divided into five chapters , the first and the last chapter is devoted to the introduction and conclusion . The second and third part focuses on the theory and they form the basis for the practical part. In the second part is characterized financial risk and its classification. Following are described the methods of hedging and financial derivatives. The next part of the chapter focuses on the description of stochastic processes in financial assets. At the end of the chapter describes methods for the valuation of options.

The third chapter is focused on describing the currency risk and the use of hedging motives . The following are the basic ways to hedging currency risks , which are divided into internal and external methods . Within the external methods is deeper described method of forwards, currency options and basic option strategies (long straddle , long strangle , long strap , long strip ) and short range forward . Since the objective is to determine the impact of selected hedging strategies on value of company , is also described this issue.

In the fourth chapter, are practical to apply the theoretical knowledge of the second and third chapters , which are used to model for Biocel Paskov , as that is the introduction chapter introduced. Subsequently is formed the Monte Carlo simulation , based on pre-defined input parameters for the exchange rate CZK / EUR using Brownian and Lévy process. Then, apraise the derivatives and to determine the resulting effects of selected hedging strategies that are based on the specified parameters, relative risk and return, the slope of the investor to the risk and start up costs evaluated. Furthermore, the calculated impact of hedging on the enterprise value using risk- adjusted weighted average cost of capital. In conclusion, an overall evaluation of individual hedging strategies evaluated and selected the best hedging strategy.