Foreign Exchange Exposure on the Spanish Stock Market: Sources of Risk and Hedging
نویسندگان
چکیده
منابع مشابه
conditional copula-garch methods for value at risk of portfolio: the case of tehran stock exchange market
ارزش در معرض ریسک یکی از مهمترین معیارهای اندازه گیری ریسک در بنگاه های اقتصادی می باشد. برآورد دقیق ارزش در معرض ریسک موضوع بسیارمهمی می باشد و انحراف از آن می تواند موجب ورشکستگی و یا عدم تخصیص بهینه منابع یک بنگاه گردد. هدف اصلی این مطالعه بررسی کارایی روش copula-garch شرطی در برآورد ارزش در معرض ریسک پرتفویی متشکل از دو سهام می باشد و ارزش در معرض ریسک بدست آمده با روشهای سنتی برآورد ارزش د...
Hedging Demand and Foreign Exchange Risk Premia
This paper develops and tests a model of unobservable risk premia in the foreign exchange market. Risk premia in our model are driven by non-marketable income shocks which risk averse agents attempt to hedge by trading foreign currency. We test our model using data on hedging demand in currency futures and find that our proxy for risk premia explains approximately 45 percent of the variation in...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 1998
ISSN: 1556-5068
DOI: 10.2139/ssrn.110777