Optimalni hedžing valutnim forvardima (Optimal Hedging with Currency Forwards)

Serbian abstract: Valutni forvardi su najjednostavniji valutni derivati, a obično se definišu kao ugovori o kupovini ili prodaji određene količine strane valute, po određenoj ceni, određenog dana u budućnosti. Budući da se ugovaraju privatno, forvardi mogu glasiti na bilo koji iznos strane valute i imati bilo koji rok dospeća, tako da ih preduzeće može lako prilagoditi profilu svoje izloženosti deviznom riziku. S tim u vezi, nije neobično da empirijska istraživanja ukazuju na njihovu široku primenu u poslovnoj praksi. Cilj rad je da se istaknu mogućnosti i pristupi za hedžing deviznog rizika korišćenjem valutnih forvarda, kao i da se ukaže na prostupak i značaj procene hedžing racija u kontekstu optimizacije efekata hedžinga valutnim forvardima.U radu se ističe da valutni forvardi mogu biti ugovoreni tako da obezbede eliminaciju deviznog rizika, mada to obično nije optimalno rešenje. Umesto toga, preduzeća mogu valutne forvarde ugovoriti u skladu sa optimalnim hedžing raciom, koji omogućava optimizaciju efekata hedžinga.English abstract: Currency forwards are the simplest currency derivatives, and are usually defined as contracts to buy or sell a certain amount of foreign currency, at a certain price, on a certain day in the future. Because they are negotiated privately, forwards can be denominated in any amount of foreign currency and can have any maturity, so that the company can easily adjust them to the profile of its exposure to foreign exchange risk. It is, therefore, not uncommon for empirical research to indicate their widespread application in business practice. The aim of the paper is to point out the possibilities and approaches for hedging foreign exchange risk using currency forwards, as well as the procedure and importance of assessing hedging ratio in the context of optimizing the effects of hedging with currency forwards. Paper shows that currency forwards can be negotiated to allow elimination of the foreign exchange risk, although this is usually not the optimal solution. Instead, companies can negotiate currency forwards in accordance with the optimal hedging ratio, which allows optimizing the effects of hedging