TAILIEUCHUNG - Managing Global Financial Risk Using Currency Futures And Currency Options(pdf)

Managing Global Financial Risk Using Currency Futures and Currency Options | Second BGSU International Management Conference Global Risk Management Hyatt Regency, Cleveland, OH 17-18 April 2002 Managing Global Financial Risk Using Currency Futures and Currency Options Sung C. Bae Ashel G. Bryan/Mid American Bank Professor Department of Finance Bowling Green State University Corporate Risk Management Corporate Risk Financial Derivatives Commodity Risk Commodity Price Derivatives · Risk associated with movement in · Ex-traded commodity futures commodity prices · Ex-traded commodity options · Operational risk · Commodity swaps Interest Rate Risk Interest Rate Derivatives · Risk associated with movement in · Forward rate agreements interest rates · Ex-traded interest rate futures · Financing and Investment risk · Ex-traded interest rate options · Interest rate swaps · Over-the-counter (OTC) options Foreign Exchange Risk Foreign Exchange Derivatives · Risk associated with movement in · Forward currency contracts foreign exchange (currency) rates · Ex-traded currency futures · Operational, financing, & investment · Ex-traded currency options risk · OTC options · Currency swaps Bae 2 What Derivatives . Corporations Use? BI Greenwich II Treasury JKF 1989 1992 1992 1993 1995 Foreign Ex. Derivatives Forward contracts 99% 91% 64% 70% 93% Ex-traded futures/options 20 --- 11 9 20/17 Currency swaps 64 51 --- 6 53 OTC options 48 45 40 53 49 Interest Rate Derivatives Forward rate agreements (FRAs) 35 11 --- --- Ex-traded futures/options 25 12 29 17 Interest rate swaps 68 35 79 83 OTC Options (caps, etc.) 43 19 14 16 Commodity Price Deriv. Ex-traded futures/options 7 --- --- Commodity swaps 6 15 10 Equity Derivatives Ex-traded futures/options 10 3 Equity swaps 5 6 Bae 3 Hedging w/ Currency Futures Cash Market Futures Market Position Position Now Short Long => BUY Later Long => BUY Short => SELL Net Position Profit/Loss Loss/Profit Now Long Short => SELL Later Short => SELL Long => BUY Net position Profit/Loss Loss/Profit Bae 4 Case Study: Using Forward .

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