optimal hedge ratio given the outcome of past hedging decisions and future expectations. The model implies that the optimal … 2015 and find strong evidence for the model's predictions. By adding a dynamic regret approach to the hedging and FX … literature we shed further light on the rationale behind selective hedging. …

the optimal hedge ratio for a multi-national corporate that aims to minimize the cost of hedging at a given tolerance … level of expected loss arising out of FX movement. The paper illustrates both parametric and historical methods of VaR … of hedges, and condensation of the parameters governing hedging decision into a single, intuitively-appealing number. The …

the optimal hedge ratio in the case of hedging transaction risks with forwards is described. -- Currency Risk … ; Transaction Risk ; Currency Forwards ; Optimal Hedging …

Contemporary corporate risk management with its diverse facets and categories commonly involves the usage of derivative … risk categories in terms of derivative usage are foreign exchange (FX) and interest rate (IR) risk. Empirical evidence in … these areas is rare and often relies on alternative indicators of derivative usage due to a limited availability of adequate …

domestic portfolio. We propose modeling the currency hedging strategy as a function of characteristics proxying for expected … hedging. Proxies for risk, such as volatility, skewness, beta on volatility, and equity sensitivity are irrelevant in our …

This article proposes a multi-currency cross-hedging strategy that minimizes the exchange risk. The use of derivatives … international activities. In particular, the reduction in the exchange risk borne through the use of natural multi-currency cross-hedging …

This study aims to determine whether the use of derivatives in non-financial companies in Indonesia as a hedging … use hedging instruments and those that do not. In other words, firms' exposure to changes in the exchange rate is … symmetrical. Thus, we doubt the benefit of using a costly hedging instrument for Indonesian firms. However, this finding might …

investigate whether hedging facilitates outbound income shifting. Consistent with hedging lowering costs associated with exchange …