Posouzení metody částečného hedgingu na případu řízení měnového rizika nefinanční instituce
| 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.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.format.extent | 829167 bytes | |
| dc.format.mimetype | application/pdf | |
| dc.identifier.citation | Ekonomická revue. 2009, roč. 12, č. 2, s. 69-81 : il. | cs |
| dc.identifier.doi | 10.7327/cerei.2009.06.03 | |
| dc.identifier.issn | 1212-3951 | |
| dc.identifier.uri | http://hdl.handle.net/10084/90095 | |
| 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.rights.access | openAccess | |
| dc.title | Posouzení metody částečného hedgingu na případu řízení měnového rizika nefinanční instituce | cs |
| dc.type | article | |
| dc.type.status | Peer-reviewed | |
| dc.type.version | publishedVersion |
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