학술논문
A Study on the Hedging Effectiveness of Exotic Currency Options
이용수 3
- 영문명
- 발행기관
- The International Academy of Global Business and Trade
- 저자명
- Sok Tae Kim
- 간행물 정보
- 『Journal of Global Business and Trade』Vol. 6, No. 2 (2010), 27~36쪽, 전체 10쪽
- 주제분류
- 사회과학 > 무역학
- 파일형태
- 발행일자
- 2010.10.30
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국문 초록
영문 초록
The objective of this study is to examine the hedging effectiveness of the exotic currency options, especially circulated as in Korea prior to and during the global financial crisis of 2006~2008. In the view that the primary goal of hedging is to reduce the volatility of the portfolio with hedging instruments and hedged instruments combined, hedging effectiveness should be screened on three matching principles: first, there should be a match of duration between the hedging and hedged. Second, there should be a match between the money amount of the hedged instrument and the hedging instrument. Third, the material characters of the hedging and hedged should be matched throughout the hedging period. The three exotic currency options, which were introduced and damaged significantly many small and medium sized Korean firms, a lack of the three hedging principles in the three matching principles is noted. Thus, it can be concluded that those exotic currency options should not have been used as hedging instruments for non-financial exporting firms at all.
목차
I. Introduction
II. OTC Foreign Exchange Derivative and their Risk Characteristics
III. Hedging Effectiveness of the OTC Currency Options
IV. Analysis of KIKO, Pivot, and Snowball
V. Summary and Conclusion
References
해당간행물 수록 논문
- A Study on the Hedging Effectiveness of Exotic Currency Options
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