Aplikace hedgingových strategií při eliminaci měnového rizika

Abstract

The tenure of foreign currencies means currency risk, that´s the reason why company wants to be prepared for this. The thesis works with three ways, which can remove or reduce this risk. The thesis consists of two parts – the first is theoretical and methodological part, the second is application part. The first part includes the second and the third chapter, the second part includes the fourth chapter. The main objective is application hedging strategies during eliminating currency risk, when we search for optimal quantity of hedging instruments. This process is gradually – for 30 days, for 60 days and in the end for 90 days. The main objective is to minimalized the variance. The hedging portfolio of company consists from three risk currencies (USD, PLN, BRL) which create one risk portfolio, and from three hedging instruments (JPY, HKD and forward to USD). The static hedging on the basis to reduce variance was choosen for practical representation. This hedging searchs optimal quantity of hedging instruments. These instruments were searching for individual periods gradually. The hedging portfolio consists from risk portfolio and hedging instruments. Hedging portfolio is compared with risk portfolio nowadays. The hedging strategy helped to reduce the risk about 15 % in all of periods.