Couverture dynamique optimale du risque de change de long terme pour une entreprise

Abstract : Chapter 1 : Optimal dynamic level risk hedging for a corporation. An optimal hedging of the exchange rate risk for a firm is considered. The concept of the long term exchange rate risk is defined by opposition to the classic exchange rate risk. The optimal hedge of the intertemporal long term exchange rate risk is derived by the method of stochastic optimal control, in a model where the exchange rate follows a Gaussian process with return to the level of parity. It is demonstrated that such a hedge is a hedge in value, that stabilizes the dividends flow paid to shareholders and depends on the level of the exchange rate with respect to the level parity. The model is rich in practical recommendation for risk management policy in a firm. It appears that the corporation would have to hedge more if the level of the exchange rate is above the level of parity -so as to freeze profits- and to adopt an inverse behavior in the opposite case. Chapter 2 : Optimal dynamic level risk hedging for a corporation in incomplete market. We solve an incomplete markets hedging problem for a corporation exposed to a long term risk of revenue level and endowed with non-exchangeable assets. The incompleteness is generated in the model by a multiplicative and non-hedgeable risky component assimilated to the size of the cash-flow coming from abroad. The optimal policy is obtained by the method of fictitious completion. It is demonstrated that the incompleteness reduces considerably the size of the hedge, as compared to that observed in complete markets. Chapter 3 : Hedging, information arrival & investment. This article approaches aspects concerning the optimal hedging and investment decision making in a corporation. It is shown that depending on the information arrival timing and costs of external financing the optimal risk management position on the forward market varies from true hedging to pure speculation. The presence of non-tradable assets seems to be crucial.
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Rafal Wojakowski. Couverture dynamique optimale du risque de change de long terme pour une entreprise. Economies et finances. HEC PARIS, 1997. Français. ⟨NNT : 1997EHEC0047⟩. ⟨pastel-00995269⟩

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