Risk Modeling Of Eur/Huf Exchange Rate Hedging Strategies
نویسندگان
چکیده
1 Hedging is an important topic for both financial practice and theory. The rational of hedging and the optimal hedging ratio is examined by many papers, but the choice of hedging instrument is much less investigated, or restricted to options and futures. In this paper we analyze different hedging strategies from the aspect of Hungarian exporters with a long euro position. We evaluate each strategy by calculating expected values and risk measures, based on historical simulation and GARCH methods, in order to find the motives of financial innovation. We found that more complex exchange rate models, like GARCH, provide better framework for risk management, and only a limited financial structuring is to be accepted for hedging positions.
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