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Author (up) Reus, L. doi  openurl
  Title Currency risk in foreign currency accounts for small and medium-sized businesses Type
  Year 2019 Publication Journal of Risk Abbreviated Journal J. Risk  
  Volume 22 Issue 2 Pages 59-78  
  Keywords  
  Abstract This paper estimates the currency exposure before and after the hedging of active foreign currency (FC) accounts, using stochastic models for spot exchange rates and cashflow movements. It examines a simple hedging policy that is typically applied by small and medium-sized businesses that do not have the expertise or resources to execute sophisticated strategies. The performance of the policy is measured through the derivation of analytical expressions for its profit and loss (P&L): that is, the earnings resulting from the valuation of the FC accounts and of the forward contracts taken. The results for five currencies show that the policy reduces P&L volatility compared with that for an unhedged account, without necessarily reducing the mean P&L. The mean and volatility of the P&L are not sensitive to the maturity of the contracts, and the volatility is almost linearly related to the currency volatility.  
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  Series Editor Series Title Abbreviated Series Title  
  Series Volume Series Issue Edition  
  ISSN 1465-1211 ISBN Medium  
  Area Expedition Conference  
  Notes Approved  
  Call Number UAI @ eduardo.moreno @ Serial 1084  
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