Home  Journals  Financial Analytics: Science and Experience  26(164) - 2013 July

Choice of effective strategy of hedging currency risks of oil company

Available online: 11 July 2013

Subject Heading: FINANCIAL STRATEGY

JEL Classification: 

In the article application of the VaR concept for management of currency risk by means of a choice of the best instruments of hedging is considered. The empirical analysis of applicability of VaR methodology on the example of the company of oil and gas sector is carried out. The major market factors influencing cash flows of the company by a method of computer simulation of Monte-Carlo are defined and predicted. Various strategies of hedging of currency risks are under construction, and the measuring force of the VaR concept is shown.

Keywords: currency risk, VaR technique, hedging, currency option, forward contract

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ISSN 2311-8768 (Online)
ISSN 2073-4484 (Print)

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