Zajištění měnového rizika strojírenského podniku

Abstract

The Diploma thesis is focused on hedging currency risk of ArcelorMittal Tubular Products Karviná a.s company using selected strategies for a period one year. The thesis is dividend into three main parts. Theoretical part of thesis contains description of the financial risk, methods of hedging market risk, main types of financial derivatives, GARCH and EWMA volatility models and simulation of random development of financial asset prices. The next part of the thesis includes internal and external methods of hedging and selected hedging strategies to currency risk which are used in the practical part of Diploma thesis. The practical part of Diploma thesis deals with chosen company ArcelorMittal Tubular Products Karviná a.s. with valuation of selected financial derivatives and determine the effect of this hedging strategies. At the end of this part all the hedging strategies are evaluated by selected criteria. All calculations were performed in the program Microsoft Excel. Put option was selected as the best for first and second variants and swap for third variant.