Sökning: "Linda Clement"

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  1. 1. The natural effect of multi-currency cross-hedging

    Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Lina Berg; Linda Clement; [2018]
    Nyckelord :Multi-currency cross-hedging; Small- and medium-sized enterprises; Conditional Value at Risk; Exchange rate risk; Business and Economics;

    Sammanfattning : This thesis investigates the power and accuracy of the natural effect of multi-currency cross-hedging, based on the non-zero correlation between currency pairs, with the purpose of deter-mining if this could be a suitable hedging strategy for small- and medium-sized enterprises hav-ing transaction exposure to currency risk. The investigation, performed through an out-of-sample approach, is based on the minimization of the risk measure Conditional Value at Risk. LÄS MER