Risk management with derivatives : interest rate and foreign exchange rate.
This thesis examines if a company risk management policy to hedge interest rate risk and foreign exchange rate risk affects the volatility of the stock and the default risk of the corporation. This paper would focus predominantly on the usage and effectiveness of financial derivatives in a firm’s ri...
| Main Authors: | , , |
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| Other Authors: | |
| Format: | Final Year Project (FYP) |
| Language: | English |
| Published: |
2012
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| Subjects: | |
| Online Access: | http://hdl.handle.net/10356/48114 |
| _version_ | 1826125741696221184 |
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| author | Ong, Shui Qi. Choon, Liyao. Ooi, Xue Qi. |
| author2 | Nanyang Business School |
| author_facet | Nanyang Business School Ong, Shui Qi. Choon, Liyao. Ooi, Xue Qi. |
| author_sort | Ong, Shui Qi. |
| collection | NTU |
| description | This thesis examines if a company risk management policy to hedge interest rate risk and foreign exchange rate risk affects the volatility of the stock and the default risk of the corporation. This paper would focus predominantly on the usage and effectiveness of financial derivatives in a firm’s risk management practices to reduce interest rate risk and foreign exchange rate risk.
Next, we also attempt to profile the type of firms that are inclined to use financial derivatives to hedge their interest rate risk and foreign exchange rate risk as opposed to the use of non-derivatives hedging techniques.
The investigation was conducted on stocks traded on S&P1500 using datasets in 2008 (accounting data etc.) and 2009 (observed volatility etc.).
Based on our regression results, we find that the use of financial derivatives reduces both the volatility and default risk (measured by KMV model) of the stock; after controlling several accounting measures variables. We are also able to obtain a reasonable profile of firms that are more attuned to the use of financial derivatives to hedge their risk in interest rates and foreign exchange. |
| first_indexed | 2024-10-01T06:41:18Z |
| format | Final Year Project (FYP) |
| id | ntu-10356/48114 |
| institution | Nanyang Technological University |
| language | English |
| last_indexed | 2024-10-01T06:41:18Z |
| publishDate | 2012 |
| record_format | dspace |
| spelling | ntu-10356/481142023-05-19T07:23:14Z Risk management with derivatives : interest rate and foreign exchange rate. Ong, Shui Qi. Choon, Liyao. Ooi, Xue Qi. Nanyang Business School Zhang Lei DRNTU::Business::Finance::Derivatives This thesis examines if a company risk management policy to hedge interest rate risk and foreign exchange rate risk affects the volatility of the stock and the default risk of the corporation. This paper would focus predominantly on the usage and effectiveness of financial derivatives in a firm’s risk management practices to reduce interest rate risk and foreign exchange rate risk. Next, we also attempt to profile the type of firms that are inclined to use financial derivatives to hedge their interest rate risk and foreign exchange rate risk as opposed to the use of non-derivatives hedging techniques. The investigation was conducted on stocks traded on S&P1500 using datasets in 2008 (accounting data etc.) and 2009 (observed volatility etc.). Based on our regression results, we find that the use of financial derivatives reduces both the volatility and default risk (measured by KMV model) of the stock; after controlling several accounting measures variables. We are also able to obtain a reasonable profile of firms that are more attuned to the use of financial derivatives to hedge their risk in interest rates and foreign exchange. BUSINESS 2012-03-16T04:50:28Z 2012-03-16T04:50:28Z 2012 2012 Final Year Project (FYP) http://hdl.handle.net/10356/48114 en Nanyang Technological University 71 p. application/pdf |
| spellingShingle | DRNTU::Business::Finance::Derivatives Ong, Shui Qi. Choon, Liyao. Ooi, Xue Qi. Risk management with derivatives : interest rate and foreign exchange rate. |
| title | Risk management with derivatives : interest rate and foreign exchange rate. |
| title_full | Risk management with derivatives : interest rate and foreign exchange rate. |
| title_fullStr | Risk management with derivatives : interest rate and foreign exchange rate. |
| title_full_unstemmed | Risk management with derivatives : interest rate and foreign exchange rate. |
| title_short | Risk management with derivatives : interest rate and foreign exchange rate. |
| title_sort | risk management with derivatives interest rate and foreign exchange rate |
| topic | DRNTU::Business::Finance::Derivatives |
| url | http://hdl.handle.net/10356/48114 |
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