Optimalni hedžing valutnim forvardima (Optimal Hedging with Currency Forwards)

In: Janjić, V. i ostali (red.), Računovodstvena znanja kao činilac ekonomskog i društvenog napretka, Ekonomski fakultet Univerziteta u Kragujevcu, pp. 146-157 (2021)

12 Pages Posted: 28 Jun 2021

See all articles by Milan Cupic

Milan Cupic

University of Kragujevac - Faculty of Economics

Date Written: June 17, 2021

Abstract

Serbian abstract: Valutni forvardi su najjednostavniji valutni derivati, a obično se definišu kao ugovori o kupovini ili prodaji određene količine strane valute, po određenoj ceni, određenog dana u budućnosti. Budući da se ugovaraju privatno, forvardi mogu glasiti na bilo koji iznos strane valute i imati bilo koji rok dospeća, tako da ih preduzeće može lako prilagoditi profilu svoje izloženosti deviznom riziku. S tim u vezi, nije neobično da empirijska istraživanja ukazuju na njihovu široku primenu u poslovnoj praksi. Cilj rad je da se istaknu mogućnosti i pristupi za hedžing deviznog rizika korišćenjem valutnih forvarda, kao i da se ukaže na prostupak i značaj procene hedžing racija u kontekstu optimizacije efekata hedžinga valutnim forvardima.U radu se ističe da valutni forvardi mogu biti ugovoreni tako da obezbede eliminaciju deviznog rizika, mada to obično nije optimalno rešenje. Umesto toga, preduzeća mogu valutne forvarde ugovoriti u skladu sa optimalnim hedžing raciom, koji omogućava optimizaciju efekata hedžinga.

English abstract: Currency forwards are the simplest currency derivatives, and are usually defined as contracts to buy or sell a certain amount of foreign currency, at a certain price, on a certain day in the future. Because they are negotiated privately, forwards can be denominated in any amount of foreign currency and can have any maturity, so that the company can easily adjust them to the profile of its exposure to foreign exchange risk. It is, therefore, not uncommon for empirical research to indicate their widespread application in business practice. The aim of the paper is to point out the possibilities and approaches for hedging foreign exchange risk using currency forwards, as well as the procedure and importance of assessing hedging ratio in the context of optimizing the effects of hedging with currency forwards. Paper shows that currency forwards can be negotiated to allow elimination of the foreign exchange risk, although this is usually not the optimal solution. Instead, companies can negotiate currency forwards in accordance with the optimal hedging ratio, which allows optimizing the effects of hedging.

Note: Downloadable document is in Serbian.

Keywords: currency forwards, foreign exchange risk, foreign exchange risk hedging, optimal hedging ratio

JEL Classification: G23, G32

Suggested Citation

Čupić, Milan, Optimalni hedžing valutnim forvardima (Optimal Hedging with Currency Forwards) (June 17, 2021). In: Janjić, V. i ostali (red.), Računovodstvena znanja kao činilac ekonomskog i društvenog napretka, Ekonomski fakultet Univerziteta u Kragujevcu, pp. 146-157 (2021), Available at SSRN: https://ssrn.com/abstract=3867516

Milan Čupić (Contact Author)

University of Kragujevac - Faculty of Economics ( email )

Djure Pucara Starog 3
Kragujevac, 34000
Serbia
+38134303500 (Phone)
+38134303516 (Fax)

HOME PAGE: http://www.ekfak.kg.ac.rs/en/node

Do you have a job opening that you would like to promote on SSRN?

Paper statistics

Downloads
7
Abstract Views
83
PlumX Metrics