Posouzení metody částečného hedgingu na případu řízení měnového rizika nefinanční instituce

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

Numerický model oceňování evropské kupní opce

In this paper a mathematical model of European call options prizing is presented. This model is based on reduced Black-Scholes partial differential equation, discretized employing the finite difference method. The results of this model and of the exact solution of Black-Scholes equation are compared

Assessment of Hedging Strategy Using Monte Carlo Simulation

Cílem práce je posouzení vhodné hedgingové strategie s aplikací metody simulace Monte Carlo. V teoretické části jsou popsány metody statistického odhadu pravděpodobnostního rozdělení výnosů, simulace Monte Carlo a v neposlední řadě jsou zde popsány finanční deriváty, riziko a možnosti zajištění proti riziku. V praktické části jsou nejprve sestavena optimální akciová portfolia, každé v jedné ze dvou vybraných měn. Tato portfolia jsou dále zajišťována proti měnovému riziku s aplikací zvolených metod hedgingu. V závěru práce jsou jednotlivá hedgingová portfolia porovnána podle zvolených parametrů a podle požadavků investora.The aim of the thesis is to evaluate appropriate hedging strategies using Monte Carlo simulation. Teoretical part is focused on the description of statistical estimation of return's probability distribution, Monte Carlo simulation and last but not least there are characterised financial derivatives, risk and hedging against risk possibilities. In practical part there are two optimal stock portfolios built, each in a different currency. These portfolios are hedged agaist the currency risk using chosen methods of hedging. At the end of the work there are compared each hedging portfolios according to chosen parametres and investor requests.154 - Katedra financívýborn

Hedging of Currency Risks

Bakalářská práce „Hedging měnového rizika“ je v první části věnována teoretickým východiskům finančních derivátů. Na začátku jsou popsány a charakterizovány jednotlivé kategorie a druhy finančních derivátů. Dále zde bude nastíněn právní, účetní a daňový pohled na danou problematiku. V praktické části následuje podrobný popis možností zajištění subjektů proti měnovému riziku a souhrnný přehled nabídky zajišťovacích instrumentů ze strany českých bank.Bachelord thesis "Hedging of currency risk" in the first part deals with the theoretical issues of financial derivatives. At the beginning is described and characterized the different categories and types of financial derivatives. There will be also outlined legal, accounting and tax perspective on the issue. In the practical part is detailed description of the possibility of hedging against currency risk and comprehensive overview of the hedging instruments from Czech banks.

Replication Methods in the Pricing and Hedging of Barrier Options

This paper considers various options replication methods. Firstly, a specific type of barrier option, an up-and-out call, is considered. Other barrier options are briefly also described, and various types of barriers are considered. Secondly, a general definition of replication methods is provided. Two methods are thus examined in detail: The first one, based on ever-changing positions in replicating portfolio, is referred to as a dynamic replication method. The second one is denoted as a static replication method ? its aim is to create a static basket of simple assets that will replicate the option payoff. However, in the real world it is difficult to attain perfect replication; therefore, the expected replication error of both methods is studied via simulation technique.Options; barrier options; replication methods; dynamic and static replication; replication error

Enhancing Conservation Options: An Argument for Statutory Recognition of Options to Purchase Conservation Easements (OPCEs)

The most dynamic component of the conservation movement in the United States for the past three decades has been land conservation transactions. In the United States, land conservation organizations have protected roughly 40 million acres of land through transactions. Most of these acres have been protected using conservation easements. Climate change threatens the vast conservation edifice created by land conservation transactions. The tools of land conservation transactions are, traditionally, stationary. Climate change means that the resources that land conservation transactions were intended to protect may no longer remain on the land protected. Options to purchase conservation easements (OPCEs) have long played a modest but important role in conservation law practice. In the world climate change is creating, with its substantial uncertainties and shifting windows of opportunity, OPCEs can serve more complicated and strategic purposes. The ability of OPCEs to serve important roles in protecting land in the context of uncertainty would be significantly increased if state legislatures amend current conservation easement statutes to (1) specifically recognize OPCEs, (2) immunize OPCEs from a range of potential common law challenges, (3) guarantee the durability and transferability of OPCEs, and (4) integrate OPCEs into the burgeoning body of conservation easement law. These statutory amendments would do for OPCEs what conservation easement statutes have done for conservation easements: transform them into an essential multi-purpose tool for conservation in a changing world

The Currency Exchange Effect on the Financial Situation of the Company

Tato práce se zabývá vlivem kurzu koruny na finanční situaci podniku, jehož příjmy jsou tvořeny zejména exportem. Teoretická část je zaměřena na definici základních pojmů jako je měna, měnový kurz, měnové riziko, apreciace a terminologie z finanční analýzy. Druhá část teorie se věnuje derivátům finančního trhu. V praktické části je uvedena finanční analýza vybrané společnosti a její změna při kolísání kurzu koruny. V poslední části jsou uvedeny návrhy na zlepšení zajištění proti měnovému riziku.This work deals with the currency exchange effects on the financial situation of the company, whose incomes are made up of exports in particular. The theoretical part is aimed at the definition of basic concepts such as currency, exchange rate, currency risk, appreciation and terminology of the financial analysis. The second part deals with the theory of financial derivatives market. The practical part is concentrated on the financial analysis of selected company and its change because of the fluctuation rate of the Czech crown. In the last section provides suggestions for improvement of protection against foreign exchange risk.

From Financial Liberalization to Banking Failure: Starting on the Wrong Foot?

In this paper we attempt to identify the characteristics of banks that are most likely to be at the origin of a banking crisis following a financial liberalization (FL) process. We do this analysis in response to the observed fact that FL processes arse often followed by banking crisis that cost taxpayers large amounts of resources in rescue operations. To accomplish this objective we identify a sample of ''failed'' and ''healthy'' banks following a FL and then compare their financial data at the onset of FL. We also attempt to identify to what extent the quality of the loan portfolio and the management and risk- taking practices of banks affect the outcome. The results are surprisingly robust and they mean that it may be possible to identify with an anticipation of at least 4 years the banks that could be responsible for an eventual banking crisis! Further, both quality of loans and management and risk-taking practices play a role. The results suggest that banks that are more conservative and thus those that are less likely to incur in moral hazard, or are more capable of absorbing important macro shocks given their capitalization, are the ones that are more likely to remain solvent. The study is based on a sample of 82 banks from Greece, Indonesia, Korea, Malaysia, Mexico, Thailand and Taiwan.Financial liberalization, Deregulation, Commercial banking, Systemic risk, Banking crises, Bank failure

Mitochondrial DNA Variations in Colombian Creole Sheep Confirm an Iberian Origin and Shed Light on the Dynamics of Introduction Events of African Genotypes

The genetic origins and diversity of Creole sheep from five regions of Colombia were investigated based on mitochondrial DNA (mtDNA) variations across 89 sequences from five breeds: one wool Creole sheep (CL) and four hair Creole sheep, including Ethiopian (OPCE), Sudan (OPCS), Pelibuey (OPCP) and Wayúu (OPCW). A global comparison was done using 62 haplotypes from Iberian, African, Indian, Caribbean, Mexican, Caucasian and European sheep based on sequences retrieved from GenBank. This study aimed to identify the maternal origin of Colombian Creole sheep and their genetic relationships at a global level. The results showed 31 different haplotypes from Colombian Creole sheep, which can be assigned to maternal lineage B, the most common lineage found in European sheep breeds and the only one found in several Iberian breed (e.g., Churra, Spanish Merino) that most likely participated in the Creole formation. Additional analyses showed that wool and hair sheep retained a broad genetic identity despite being geographically separated. The global-level phylogenetic analysis revealed that Colombian Creole sheep belong to a distinct and defined genetic lineage that is likely the result of a founder effect with ecotypes of Iberian descent and the subsequent introduction of foreign breeds. This is consistent with historical reports on the presence of sheep in South America and, particularly, Colombia