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Digital Library of the
European Council for Modelling and Simulation |
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Title: |
Risk
Modeling Of Eur/Huf Exchange Rate Hedging
Strategies |
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Authors: |
Barbara Dömötör, Dániel Havran |
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Published in:
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(2011).ECMS
2011 Proceedings edited by: T. Burczynski, J. Kolodziej, A. Byrski, M. Carvalho. European Council for Modeling and Simulation. doi:10.7148/2011 ISBN:
978-0-9564944-2-9 25th
European Conference on Modelling and Simulation, Jubilee Conference Krakow,
June 7-10, 2011
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Citation
format: |
Dömötör, B., & Havran,
D. (2011). Risk Modeling Of Eur/Huf Exchange Rate
Hedging Strategies. ECMS 2011 Proceedings edited by: T. Burczynski,
J. Kolodziej, A. Byrski, M. Carvalho (pp. 269-274).
European Council for Modeling and Simulation. doi:10.7148/2011-0269-0274 |
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DOI: |
http://dx.doi.org/10.7148/2011-0269-0274 |
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Abstract: |
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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