DocumentCode
1667340
Title
Evaluating strategies for foreign exchange risk reduction
Author
Everson, Mark P. ; Mangin, Christophe G E ; Stumpo, Cody ; Schwartz, J. OAnn M ; Ostrowski, David A.
Author_Institution
e-Technol. Dept., Ford Res. Labs., Dearborn, MI, USA
Volume
1
fYear
2002
Firstpage
735
Lastpage
740
Abstract
Companies´ risk due to foreign exchange (FX) rates can be reduced using market-based instruments. We have used the value-at-risk methodology to evaluate FX risk, and have developed a genetic algorithm-based optimization framework for evaluating different strategies. The best strategy is to hedge an identical percentage of each FX exposure
Keywords
financial data processing; foreign exchange trading; genetic algorithms; risk management; FX exposure; company risk management; foreign exchange hedging; foreign exchange risk reduction; genetic algorithm; market-based instruments; optimization; value-at-risk methodology; Companies; Costs; Exchange rates; Fluctuations; Forward contracts; Laboratories; Portfolios; Production facilities; Reactive power; Risk management;
fLanguage
English
Publisher
ieee
Conference_Titel
Evolutionary Computation, 2002. CEC '02. Proceedings of the 2002 Congress on
Conference_Location
Honolulu, HI
Print_ISBN
0-7803-7282-4
Type
conf
DOI
10.1109/CEC.2002.1007017
Filename
1007017
Link To Document