Aplikace hedgingových strategií pří řízení měnového rizika textilního podniku

Abstract

The diploma thesis is focused on the issue of currency risk management in a selected textile company through the application of selected hedging strategies. The aim of the thesis is to analyse the company’s currency risk and propose an appropriate method of its hedging. The second chapter contains theoretical background focused on financial derivatives, volatility prediction, and stochastic processes. The third chapter represents the methodological part of the thesis focused on currency risk, currency option pricing, and selected hedging methods. The practical part deals with the analysis of a specific company and modelling the future development of the USD/EUR exchange rate using Monte Carlo simulation. Subsequently, variants of an unhedged position, a forward contract, and selected option strategies including their combinations are compared. Individual strategies are evaluated according to selected criteria in terms of costs and risk. Based on the results, the most suitable variant of currency risk hedging for the company was selected.