González-Aréchiga, Bernardo; Tinoco, Jaime Díaz; … - In: Economía Mexicana NUEVA ÉPOCA X (2001) 2, pp. 259-290
In this paper, we develop a model to hedge cash flows denominated in dollars against both exchange-rate and interest-rate risks by means of futures contracts on US currency. The robustness of the derived strategies is assessed in terms of their value at risk. The effects of the market risk on...