ANALISIS SENSITIVITAS PERUBAHAN VOLATILITAS VALUTA ASING TERHADAP KEBUTUHAN HEDGING DAN STRATEGI EUROPEAN CURRENCY OPTIONS UNTUK MINIMISASI VARIASI ARUS KAS AKIBAT EKSPOSUR TRANSAKSI MENGGUNAKAN MONTE CARLO SIMULATION
Management accountant role had changed in last few decades. Inline with the change of business environment which is become more complex and subject to rapid change, management accountant now plays their role as corporate�s internal business consultant. As the consequence, management accountant is...
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| Format: | Thesis |
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[Yogyakarta] : Universitas Gadjah Mada
2013
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| author | , HAFIDH JATI HUSODO , Bambang Riyanto L.S., M.B.A., Ph.D, CMA |
| author_facet | , HAFIDH JATI HUSODO , Bambang Riyanto L.S., M.B.A., Ph.D, CMA |
| author_sort | , HAFIDH JATI HUSODO |
| collection | UGM |
| description | Management accountant role had changed in last few decades. Inline with the change of business environment which is become more complex and subject to rapid change, management accountant now plays their role as corporate�s internal business consultant. As the consequence, management accountant is required to have more analytical skill to analyze the change and uncertainty of business environment. In international business context, one of those uncertainties is the risk and exposure of exchange rate movement.
This study conducts a sensitivity analysis of exchange rate�s volatility to determine when hedging is needed and what european currency options strategy to be used using Monte Carlo simulation. Currency hedging is important as an alternative to minimize the effect of transaction exposure which raises cash flow variation or earnings.
In this study, the exchange rate of Indonesian Rupiah to the U.S. Dollar is used. Exchange rate data divided into four scenarios which is based on their volatility. Empirical data of exchange rate is used to build an estimation model for data generating process. Using Black-Scholes model modified Garman-Kohlhagen as options valuation model, simulation 10.000 times runs for each scenario.
The simulation results show hedging is needed when exchange rate has 3%-12% volatility. When hedging is needed, all simulated strategy is not effective yet to minimize cash flow variation caused by transaction exposure since the break-even probability is under 95%. Nevertheless, strangle strategy always gives a higher break-even probability than straddle. |
| first_indexed | 2024-03-13T22:51:39Z |
| format | Thesis |
| id | oai:generic.eprints.org:120075 |
| institution | Universiti Gadjah Mada |
| last_indexed | 2024-03-13T22:51:39Z |
| publishDate | 2013 |
| publisher | [Yogyakarta] : Universitas Gadjah Mada |
| record_format | dspace |
| spelling | oai:generic.eprints.org:1200752016-03-04T08:38:17Z https://repository.ugm.ac.id/120075/ ANALISIS SENSITIVITAS PERUBAHAN VOLATILITAS VALUTA ASING TERHADAP KEBUTUHAN HEDGING DAN STRATEGI EUROPEAN CURRENCY OPTIONS UNTUK MINIMISASI VARIASI ARUS KAS AKIBAT EKSPOSUR TRANSAKSI MENGGUNAKAN MONTE CARLO SIMULATION , HAFIDH JATI HUSODO , Bambang Riyanto L.S., M.B.A., Ph.D, CMA ETD Management accountant role had changed in last few decades. Inline with the change of business environment which is become more complex and subject to rapid change, management accountant now plays their role as corporate�s internal business consultant. As the consequence, management accountant is required to have more analytical skill to analyze the change and uncertainty of business environment. In international business context, one of those uncertainties is the risk and exposure of exchange rate movement. This study conducts a sensitivity analysis of exchange rate�s volatility to determine when hedging is needed and what european currency options strategy to be used using Monte Carlo simulation. Currency hedging is important as an alternative to minimize the effect of transaction exposure which raises cash flow variation or earnings. In this study, the exchange rate of Indonesian Rupiah to the U.S. Dollar is used. Exchange rate data divided into four scenarios which is based on their volatility. Empirical data of exchange rate is used to build an estimation model for data generating process. Using Black-Scholes model modified Garman-Kohlhagen as options valuation model, simulation 10.000 times runs for each scenario. The simulation results show hedging is needed when exchange rate has 3%-12% volatility. When hedging is needed, all simulated strategy is not effective yet to minimize cash flow variation caused by transaction exposure since the break-even probability is under 95%. Nevertheless, strangle strategy always gives a higher break-even probability than straddle. [Yogyakarta] : Universitas Gadjah Mada 2013 Thesis NonPeerReviewed , HAFIDH JATI HUSODO and , Bambang Riyanto L.S., M.B.A., Ph.D, CMA (2013) ANALISIS SENSITIVITAS PERUBAHAN VOLATILITAS VALUTA ASING TERHADAP KEBUTUHAN HEDGING DAN STRATEGI EUROPEAN CURRENCY OPTIONS UNTUK MINIMISASI VARIASI ARUS KAS AKIBAT EKSPOSUR TRANSAKSI MENGGUNAKAN MONTE CARLO SIMULATION. UNSPECIFIED thesis, UNSPECIFIED. http://etd.ugm.ac.id/index.php?mod=penelitian_detail&sub=PenelitianDetail&act=view&typ=html&buku_id=60083 |
| spellingShingle | ETD , HAFIDH JATI HUSODO , Bambang Riyanto L.S., M.B.A., Ph.D, CMA ANALISIS SENSITIVITAS PERUBAHAN VOLATILITAS VALUTA ASING TERHADAP KEBUTUHAN HEDGING DAN STRATEGI EUROPEAN CURRENCY OPTIONS UNTUK MINIMISASI VARIASI ARUS KAS AKIBAT EKSPOSUR TRANSAKSI MENGGUNAKAN MONTE CARLO SIMULATION |
| title | ANALISIS SENSITIVITAS PERUBAHAN VOLATILITAS VALUTA ASING TERHADAP KEBUTUHAN HEDGING DAN STRATEGI EUROPEAN CURRENCY OPTIONS UNTUK MINIMISASI VARIASI ARUS KAS AKIBAT EKSPOSUR TRANSAKSI MENGGUNAKAN MONTE CARLO SIMULATION |
| title_full | ANALISIS SENSITIVITAS PERUBAHAN VOLATILITAS VALUTA ASING TERHADAP KEBUTUHAN HEDGING DAN STRATEGI EUROPEAN CURRENCY OPTIONS UNTUK MINIMISASI VARIASI ARUS KAS AKIBAT EKSPOSUR TRANSAKSI MENGGUNAKAN MONTE CARLO SIMULATION |
| title_fullStr | ANALISIS SENSITIVITAS PERUBAHAN VOLATILITAS VALUTA ASING TERHADAP KEBUTUHAN HEDGING DAN STRATEGI EUROPEAN CURRENCY OPTIONS UNTUK MINIMISASI VARIASI ARUS KAS AKIBAT EKSPOSUR TRANSAKSI MENGGUNAKAN MONTE CARLO SIMULATION |
| title_full_unstemmed | ANALISIS SENSITIVITAS PERUBAHAN VOLATILITAS VALUTA ASING TERHADAP KEBUTUHAN HEDGING DAN STRATEGI EUROPEAN CURRENCY OPTIONS UNTUK MINIMISASI VARIASI ARUS KAS AKIBAT EKSPOSUR TRANSAKSI MENGGUNAKAN MONTE CARLO SIMULATION |
| title_short | ANALISIS SENSITIVITAS PERUBAHAN VOLATILITAS VALUTA ASING TERHADAP KEBUTUHAN HEDGING DAN STRATEGI EUROPEAN CURRENCY OPTIONS UNTUK MINIMISASI VARIASI ARUS KAS AKIBAT EKSPOSUR TRANSAKSI MENGGUNAKAN MONTE CARLO SIMULATION |
| title_sort | analisis sensitivitas perubahan volatilitas valuta asing terhadap kebutuhan hedging dan strategi european currency options untuk minimisasi variasi arus kas akibat eksposur transaksi menggunakan monte carlo simulation |
| topic | ETD |
| work_keys_str_mv | AT hafidhjatihusodo analisissensitivitasperubahanvolatilitasvalutaasingterhadapkebutuhanhedgingdanstrategieuropeancurrencyoptionsuntukminimisasivariasiaruskasakibateksposurtransaksimenggunakanmontecarlosimulation AT bambangriyantolsmbaphdcma analisissensitivitasperubahanvolatilitasvalutaasingterhadapkebutuhanhedgingdanstrategieuropeancurrencyoptionsuntukminimisasivariasiaruskasakibateksposurtransaksimenggunakanmontecarlosimulation |