• Title/Summary/Keyword: 헤징

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Analysis on the Hedging Effects of Complex Hedging Considering LNG Price and Exchange Rate Risks (LNG 가격과 환율 변동을 고려한 복합헤징 효과 분석)

  • Yun, Won-Cheol
    • Environmental and Resource Economics Review
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    • v.19 no.4
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    • pp.753-769
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    • 2010
  • This study empirically analyzes the comparative advantages between separate hedging and complex hedging in terms of hedging effectiveness when there exist multiple risks of LNG price and exchange rate. According to the empirical ex-ante analysis, the mean of procurement costs could be reduced through hedging regardless of hedging type. In addition, the standard deviation of procurement costs could also be reduced by way of hedging, implying that a hedging should contribute to the stabilization of revenue flows. More importantly, complex hedging could be more effective for some hedging periods than separate hedging in terms of revenue stabilization. Therefore, one could verify that the hedging effects improve by making use of the variance-covariance relationship existing between commodity price and exchange rate.

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Analysis on the Procurement Hedging Strategies for Bituminous Coal Considering Multiple Risk Factors (복수의 위험요인을 고려한 유연탄 조달헤징전략 분석)

  • Yun, Won-Cheol;Sonn, Yang-Hoon
    • Environmental and Resource Economics Review
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    • v.16 no.4
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    • pp.855-872
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    • 2007
  • This study suggests an imported coal procurement model that simultaneously considers the risk factors of coal price, ocean freight rate and foreign exchange rate. In addition, it quantitatively analyses the superiority of this model compared to the previous one m terms of procurement cost saving and stabilization. According to the empirical results, a separate hedging could stabilize the procurement cost flow, but this is not the end of story. That is, a complex hedging would reduce the standard deviations of cost flow. Thus, one could improve hedging effects by fully considering the inherent variance-covariance relationship among coal price, ocean freight rate and foreign exchange.

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The Analysis and Comparison of the Hedging Effectiveness for Currency Futures Markets : Emerging Currency versus Advanced Currency (통화선물시장의 헤징유효성 비교 : 신흥통화 대 선진통화)

  • Kang, Seok-Kyu
    • The Korean Journal of Financial Management
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    • v.26 no.2
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    • pp.155-180
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    • 2009
  • This study is to estimate and compare hedging effectiveness in emerging currency and advanced currency futures markets. Emerging currency futures includes Korea won, Mexico peso, and Brazil real and advanced currency futures is Europe euro, British pound, and Japan yen. Hedging effectiveness is measured by comparing hedging performance of the naive hedge model, OLS model, error correction model and constant condintional correlation bivariate GARCH(1, 1) hedge model based on rolling windows. Analysis data is used daily spot and futures rates from January, 2, 2001 to March. 10, 2006. The empirical results are summarized as follows : First, irrespective of hedging period and model, hedging using Korea won/dollar futures reduces spot rate's volatility risk by 97%. Second, Korea won/dollar futures market produces the best hedging performance in emerging and advanced currency futures markets, i.e. Mexico peso, Brazil real, Europe euro, British pound, and Japan yen. Third, there are no difference of hedging effectiveness among hedging models.

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A Methodology for Hedging Equity Linked Warrant Using Artificial Neural Network (인공신경망을 이용한 주식워런트증권(ELW)의 헤징 방안)

  • Ryu, Jae-Pil;Shin, Hyun-Joon
    • Journal of the Korea Academia-Industrial cooperation Society
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    • v.13 no.3
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    • pp.1091-1098
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    • 2012
  • From the perspective of risk management, financial organization that have issued ELW require an efficient hedging methodology due to recently increased trade volume of ELW. This study presents an ELW hedging methodology using artificial neural network(ANN) to minimize hedging costs. The performance of the presented methodology in this study is examined by analysis utilizing the prices and volatilities of underlying assets, risk free interest rates, and maturities and computational experiments show that the proposed method is superior to existing dynamic delta hedging(DDH) technique in terms of hedging costs ranged from 25% to 250%.

Testing the Valuation Effect of Foreign Exchange Risk Insurance in Korea (환헤지가 기업가치를 높이는가? : 환변동보험의 기업가치 효과)

  • Song, Hong-Sun;Hahn, Sang-Buhm
    • The Korean Journal of Financial Management
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    • v.27 no.2
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    • pp.63-84
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    • 2010
  • We investigate whether FX hedging materially increases firm value by testing the valuation effect of Foreign Exchange Risk Insurance in Korea, using our sample of 84 listed firms with 617 observations between 2000 and 2008, Employing Tobin's Q as a proxy of firm value and foreign exchange risk insurance as a proxy of hedging instrument, we find a positive relation between firm value and the use of foreign exchange risk insurance. The hedging premium is statistically significant and is on average 7.4% of sample firm value. We also find our empirical results consistent with the preceding evidence that firm uses the hedging instrument in order to alleviate economic frictions and then hedging causes an increase in firm value.

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Risk Management Strategies Using Futures and Options for Importing Crude Oil (원유수입을 위한 선물 및 옵션 활용 위험관리 전략)

  • Yun, Won-Cheol;Sonn, Yang-Hoon
    • Environmental and Resource Economics Review
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    • v.18 no.1
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    • pp.139-158
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    • 2009
  • With the sample of Middle East crude oil imported to South Korea, this study empirically analyzes the effectiveness of the risk management strategies using derivatives such as futures and options. Assuming the hedging period of one to twelve months, it considers a spot purchasing strategy, 1 : 1 futures hedge strategy, OLS-based minimum-variance futures hedge strategy, buying call option strategy, and collar transaction strategy. According to the ex-ante result, using the derivatives of futures or options makes lower the procurement costs when the crude oil prices is increasing. With the hedging period less than or equal to six months, the hedging strategy using futures turns out to be superior in terms of procurement cost reduction and hedging effectiveness improvement. In contrast, the hedging strategies of buying call option and collar transaction would generate better results when the hedging program last over six months.

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A Study on the Change of Hire Payment Method to Reduce the FFA Basis Risk (FFA 베이시스위험 축소를 위한 용선료 지급기준 변경의 타당성 검토)

  • Lee, Seung-Cheol;Yun, Heesung
    • Journal of Navigation and Port Research
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    • v.46 no.4
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    • pp.359-366
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    • 2022
  • While the Forward Freight Agreement (FFA) has emerged as an effective hedging tool since early 1990, the basis risk and cash flow distortions have been addressed as obstacles to the active use of FFAs. This research analyses the basis risk of FFAs and provides a feasible suggestion to reduce it. Basis risk is divided into timing basis, route basis, size basis, and low liquidity basis. The timing basis is defined as the difference between the physical hire, fixed on the specific contract date and the FFA settlement price, calculated by averaging spot rates for a certain period. Timing basis is considered the worst in eroding the effectiveness of FFAs. This paper suggests a change of hire payment criterion from contract date to 15-day moving average, as a means of mitigating the basis risk, and analyzed the effectiveness through historical simulation. The result revealed that the change is effective in mitigating the timing basis. This study delivers a meaningful implication to shipping practice in that the change of hire payment criterion mitigates the basis risk and eventually activates the use of FFAs in the future.

Hedging Transaction in the Stock Index Futures (주가지수선물의 헤징거래)

  • 윤석곤
    • Journal of the Korea Society of Computer and Information
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    • v.3 no.4
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    • pp.139-144
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    • 1998
  • Introduced into korea to diversify risk coming from the fluctuation of stock price with opening of the domestic capital market to foreigners, Suppress the turbulence of the dentistic securities market caused by the short term funds from foreign countries and vitalize investment in stock, the hedging transaction of stock index futures will promote the introduction of financial futures and commodity futures transaction. and it will contribute to enhancing the introduction all over the country and accelerating the advancement of the korea banking market. In addition, it is expected to make a great contribution to economic stability and smooth comic activity through its function of risk diversification and price decrement with the launch of the stock index futures.

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